Imported from previous forum
TotalVolumeTraded(387) disapears 4.3->4.4. It isn’t listed as deprecated; there’s no remark in Fix-44_FIXML_MigrationGuide_20030618.pdf; It just goes away without a trace.
We have a theory that the total volume of an instrument in a day (or session) shall be sent in MDEntrySize(271) of an MDEntry with MDEntryType(269) = TradeVolume(B).
One might think TradeVolume(B) is for sending the last trade’s volume, but “MDOWG_Book_Mgt v20.doc” clearly shows that last volume is to be sent in the same MDEntry as last price with MDEntryType(269) = Trade(2).
Unfortunately we were unable to find any documentation to confirm our theory. MDEntryType(269)'s values could be documented better.
You are correct that 387 was omitted from the release notes. However, I believe your theory can be confirmed by looking at Volume 6-E No. 19 which covers TotalVolumeTradedDate(449) and TotalVolumeTradedTime(450). The difference with 387 is that it was also used in the TradingSessionStatus message and thus not deprecated like the other two. It was merely removed from two messages but this could have been noted in the release notes.
FIX 4.4 only added two MDEntryTypes, i.e. B=TradeVolume and C=OpenInterest. From that I derive that B is the new value to be used to cover 387, 449 and 450 in the market data messages. I guess the omission of “Total” was done to avoid long entry type names.
I agree that some of the enum values of fields could be documented better as the names are not always self-explanatory. This also depends on the effort of people coming forward with FIX extension requests. Best practice should be to provide a short explanation for every new enum value, also to avoid multiple enums having the same semantic. It is not necessary that every FIX user has his exact terminology in the specification. The semantic needs to be covered and “TradeVolume” sounds right to me for what you are trying to cover.
Regards,
Hanno.
TotalVolumeTraded(387) disapears 4.3->4.4. It isn’t listed as
deprecated; there’s no remark in Fix-
44_FIXML_MigrationGuide_20030618.pdf; It just goes away without a trace.We have a theory that the total volume of an instrument in a day (or
session) shall be sent in MDEntrySize(271) of an MDEntry with
MDEntryType(269) = TradeVolume(B).One might think TradeVolume(B) is for sending the last trade’s volume,
but “MDOWG_Book_Mgt v20.doc” clearly shows that last volume is to be
sent in the same MDEntry as last price with MDEntryType(269) = Trade(2).Unfortunately we were unable to find any documentation to confirm our
theory. MDEntryType(269)'s values could be documented better.