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FAST Protocol
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Re: Yes
William Hooper / NA
24 Dec 2008 10:30AM ET 20%... I am saying by not using bit 8 in the stream you have lost 1/8 of the data possibly.. Sorry that is 12.5%
The Fast Fix documentation and sample code. For eample just to understand what the message structure is I have on page 44 a few words about "Transfer Encoding" with no diagrams etc.
The translation of FIX into Fast is something else again.
The documents are really really hard to get to grips with. Also the sample code is very limited. String Delta operation for example. Unless I am missing something you have not bothered with that in the c# sample code but it used all the time.
I used to get EBS LIVE via XML and the code was trivial - literally a few days work. I am trying to use their new Fast Fix feed but it's really a nighmare. So far it has taken me about a week and I have still not logged on properly.
Even when i have done all this I see EBS LIVE sends strings like "SPOT.EUR/USD" down the line. It is all a mess.
What would I do instead? I don;t pretend to have an answer to that but for EBS LIVE they could have written a much easier format which saved a lot of space and was super easy to pass. Using Fast Fix was a nighmare and a waste of time unless you own a fast fix engine already. Why bother with mantissa and exponent when all their prices could be sent as integer? they have no text data to send just prices so I would have had no strings in the messages at all. Why send body length and checksums in the fix over fast stuff. Just more work. Why send string timestamps when it takes 40us to turn a time to a string when you could send an int64 tick time. By trying to do everything it just turn into a nightmare and is slow to boot.
Yes William Hooper / NA 23 Dec 2008 8:30AM ET Re: Yes Rolf Andersson / Pantor Engineering 23 Dec 2008 9:49AM ET Re: Yes
William Hooper / NA 24 Dec 2008 10:30AM ET Re: Yes Rolf Andersson / Pantor Engineering 24 Dec 2008 2:14PM ET Re: Yes Clive Browning / Rapid Addition Ltd 24 Dec 2008 4:52PM ET Re: Yes Ravi Ravisankar / IBM 23 Dec 2008 8:55PM ET Re: Yes Rolf Andersson / Pantor Engineering 24 Dec 2008 12:59AM ET Re: Yes Ravi Ravisankar / IBM 25 Dec 2008 9:39PM ET Re: Yes Hanno Klein / Deutsche Börse Systems 28 Jan 2009 5:37AM ET Re: Yes William Hooper / NA 24 Dec 2008 10:46AM ET Re: Yes Rufus Me / Self 28 Dec 2008 8:43PM ET
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