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ECNs, Exchanges
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Re: How to send list of trades and Last
Rikard Hedberg / NASDAQ OMX
19 May 2008 3:36AM ETOksana,
you are right, but should use add TradeCondition (277) = "U" (Exchange Last) to represent a trade at last in cases where not all trades create a new last. The TradeCondition is not normally used in cases where all trades create a new official last. As trades are expected to be sent in sequential order, the last trade received is considered to carry the current official last price.
Regards
Rikard
> Dear All,
>
> Could you please help me with the following question about subscription
> for market data?
>
> We need to publish trade statistics (Last, High, Low, Open, Close) and
> list of trades for current trading day.
>
> We use Market Data messages (FIX 4.4), and as far as I understand
> MDEntryType(269) = '2' (Trade) should be used to send Last. However, it
> looks like MDEntryType(269) = '2' (Trade) should also be used to send
> information about one trade.
>
> So how can these two entries can be differentiated by client?
>
> Thank you in advance.
Re: How to send list of trades and Last
Rikard Hedberg / NASDAQ OMX 19 May 2008 3:36AM ET
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