Imported from previous forum
Hi
I’m just wondering what drove the choice for using the MarketData set of messages to provide streaming rates for FX in FIX5.0 SP2.
In my experience so far I’ve noticed that the Quote (message type S) is frequently used. I realise this is not the most efficient especially when pricing the same currency pair across multiple volumes - a lot of data is repeated. I wondered why the MassQuote message was overlooked (or was it?) as the migration for many of the users I’ve come across would be a little more straight forward.
Thanks for any replies
pritam
We have been recommending the use of MarketData messages to provide streaming quotes from a market outward.
A market maker would use quotes and mass quotes to provide quotes into a a market.
Hi
I’m just wondering what drove the choice for using the MarketData set of
messages to provide streaming rates for FX in FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message type S) is
frequently used. I realise this is not the most efficient especially
when pricing the same currency pair across multiple volumes - a lot of
data is repeated. I wondered why the MassQuote message was overlooked
(or was it?) as the migration for many of the users I’ve come across
would be a little more straight forward.Thanks for any replies
pritam
Hi Jim
I’ve seen the recommendations but was just curious as to why really ? It may be just me but the Quote messages seems a better fit to provide FX Quotes both inwards and outwards.
pritam
We have been recommending the use of MarketData messages to provide
streaming quotes from a market outward.A market maker would use quotes and mass quotes to provide quotes into
a a market.Hi
I’m just wondering what drove the choice for using the MarketData set
of messages to provide streaming rates for FX in FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message type S)
is frequently used. I realise this is not the most efficient
especially when pricing the same currency pair across multiple volumes
- a lot of data is repeated. I wondered why the MassQuote message was
overlooked (or was it?) as the migration for many of the users I’ve
come across would be a little more straight forward.Thanks for any replies
pritam
[ original email was from Jay Hurley - Jay.Hurley@morganstanley.com ]
The quote message certainly matches the voice trading model of asking for a price and getting a quote then hit/taking the quote. For dealable streaming prices it is more like a market data stream - which was already being used by some ECNs and several counterparties.
The mass quote message was discussed extensively, however, it was ruled out. The market data message has significant efficiency advantages as the incremental refresh is more suitable for FX price distribution than mass quote which fits well with options quoting where a single underlier updates many prices at the same time.
Hi Jim I’ve seen the recommendations but was just curious as to why
really ? It may be just me but the Quote messages seems a better fit to
provide FX Quotes both inwards and outwards.pritam
We have been recommending the use of MarketData messages to provide
streaming quotes from a market outward.A market maker would use quotes and mass quotes to provide quotes into
a a market.Hi
I’m just wondering what drove the choice for using the MarketData
set of messages to provide streaming rates for FX in FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message type S)
is frequently used. I realise this is not the most efficient
especially when pricing the same currency pair across multiple
volumes
- a lot of data is repeated. I wondered why the MassQuote message
was overlooked (or was it?) as the migration for many of the users
I’ve come across would be a little more straight forward.Thanks for any replies
pritam
I think the reason we didn’t view quote messages as being appropriate for streaming had more to do with having an exchange perspective at the time - we were focused on a model where there was an intermediate market where Quotes came in from market makers and market data messages were published as a result.
In Fixed Income Quote messages are interchanged by counterparties directly.
I am not sure we have a case where an exchange or market disseminates or broadcasts Quote messages - we have strongly encouraged folks to use the MarketData messages for that purpose.
The quote message certainly matches the voice trading model of asking
for a price and getting a quote then hit/taking the quote. For dealable
streaming prices it is more like a market data stream - which was
already being used by some ECNs and several counterparties.The mass quote message was discussed extensively, however, it was ruled
out. The market data message has significant efficiency advantages as
the incremental refresh is more suitable for FX price distribution than
mass quote which fits well with options quoting where a single underlier
updates many prices at the same time.Hi Jim I’ve seen the recommendations but was just curious as to why
really ? It may be just me but the Quote messages seems a better fit
to provide FX Quotes both inwards and outwards.pritam
We have been recommending the use of MarketData messages to provide
streaming quotes from a market outward.A market maker would use quotes and mass quotes to provide quotes
into a a market.Hi
I’m just wondering what drove the choice for using the MarketData
set of messages to provide streaming rates for FX in FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message type
S) is frequently used. I realise this is not the most efficient
especially when pricing the same currency pair across multiple
volumes
- a lot of data is repeated. I wondered why the MassQuote message
was overlooked (or was it?) as the migration for many of the
users I’ve come across would be a little more straight forward.Thanks for any replies
pritam
Just to clarify what Jay Hurley said below and provide some history on the decision between Quote and Market Data messages for streaming prices.
When the Global FX Committee looked to enhance FIX to fully support FX as an asset class there was awareness by the committee members that there were some people using Quote messages for streaming prices in FIX 4.2. However, as a committee it was agreed to make the distinction between dealable/executable streaming prices (Market Data) vs.
“one off” quoting (e.g. quote request/quote) in case negotiation is needed. Streaming prices are not negotiable - that’s the distinction the committee was trying to make.
With the enhancements to fully support FX that became part of FIX 5.0, the recommendation is that price providers (banks) use Market Data messages to stream prices to their customers or to aggregators. Aggregators stream prices out using Market Data messages as well to end customers.
As Jay said, the Quote message is recommended for use to mimic the voice negotiation trading model.
This distinction would allow parties that receive both dealable streaming prices to handle Market Data messages differently than Quote messages.
The quote message certainly matches the voice trading model of asking
for a price and getting a quote then hit/taking the quote. For dealable
streaming prices it is more like a market data stream - which was
already being used by some ECNs and several counterparties.The mass quote message was discussed extensively, however, it was ruled
out. The market data message has significant efficiency advantages as
the incremental refresh is more suitable for FX price distribution than
mass quote which fits well with options quoting where a single underlier
updates many prices at the same time.Hi Jim I’ve seen the recommendations but was just curious as to why
really ? It may be just me but the Quote messages seems a better fit
to provide FX Quotes both inwards and outwards.pritam
We have been recommending the use of MarketData messages to provide
streaming quotes from a market outward.A market maker would use quotes and mass quotes to provide quotes
into a a market.Hi
I’m just wondering what drove the choice for using the MarketData
set of messages to provide streaming rates for FX in FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message type
S) is frequently used. I realise this is not the most efficient
especially when pricing the same currency pair across multiple
volumes
- a lot of data is repeated. I wondered why the MassQuote message
was overlooked (or was it?) as the migration for many of the
users I’ve come across would be a little more straight forward.Thanks for any replies
pritam
that does clarify things - thanks all for your inputs.
Just to clarify what Jay Hurley said below and provide some history
on the decision between Quote and Market Data messages for
streaming prices.When the Global FX Committee looked to enhance FIX to fully support FX
as an asset class there was awareness by the committee members that
there were some people using Quote messages for streaming prices in FIX
4.2. However, as a committee it was agreed to make the distinction
between dealable/executable streaming prices (Market Data) vs. “one off”
quoting (e.g. quote request/quote) in case negotiation is needed.
Streaming prices are not negotiable - that’s the distinction the
committee was trying to make.With the enhancements to fully support FX that became part of FIX 5.0,
the recommendation is that price providers (banks) use Market Data
messages to stream prices to their customers or to aggregators.
Aggregators stream prices out using Market Data messages as well to end
customers.As Jay said, the Quote message is recommended for use to mimic the voice
negotiation trading model.This distinction would allow parties that receive both dealable
streaming prices to handle Market Data messages differently than
Quote messages.The quote message certainly matches the voice trading model of asking
for a price and getting a quote then hit/taking the quote. For
dealable streaming prices it is more like a market data stream - which
was already being used by some ECNs and several counterparties.The mass quote message was discussed extensively, however, it was
ruled out. The market data message has significant efficiency
advantages as the incremental refresh is more suitable for FX price
distribution than mass quote which fits well with options quoting
where a single underlier updates many prices at the same time.Hi Jim I’ve seen the recommendations but was just curious as to why
really ? It may be just me but the Quote messages seems a better fit
to provide FX Quotes both inwards and outwards.pritam
We have been recommending the use of MarketData messages to
provide streaming quotes from a market outward.A market maker would use quotes and mass quotes to provide quotes
into a a market.Hi
I’m just wondering what drove the choice for using the
MarketData set of messages to provide streaming rates for FX in
FIX5.0 SP2.In my experience so far I’ve noticed that the Quote (message
type
S) is frequently used. I realise this is not the most efficient
especially when pricing the same currency pair across
multiple volumes
- a lot of data is repeated. I wondered why the MassQuote
message was overlooked (or was it?) as the migration for many
of the users I’ve come across would be a little more straight
forward.Thanks for any replies
pritam