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ECNs, Exchanges
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Re: How to send list of trades and Last
Rikard Hedberg / NASDAQ OMX
20 May 2008 2:05AM ETOksana,
that is more problematic using standard messages and values. An MDEntryType of "Last Price" / "Exchange Last" / "Trading Session Last" or similar would be needed. As you probably noticed, there are MDEntryType's of "Trading Session High" etc available - so another one for "Last" only complement the picture.
One alternative is to add your own enum. As the datatype is String, that should be an allowed option. You could also propose an extension to the FIX standard (the Global Exchanges and Markets Committee e.g.).
Another alternative is to add a user-defined message for "statistics". Although statistics are somewhat covered in the Market Data messages, they are not suitable for all types of statistics. Expanding the FIX standard with such a new message is on the Global Exchanges and Markets Committee (GEMC) agenda. Many markets send out periodic snapshots of a number of statistics, a separate message would, as I see it, be a good complement to FIX.
Regards
Rikard
> Rikard,
>
> Thank you a lot for your answer.
>
> What do you think about subscription?
>
> For example, if one user wants to subscribe only to Exchange Last, and
> another user wants to subscribe for list of trades. As far as I
> understand Snapshots for these subscriptions are significantly
> different. Snapshot for subscription to Exchange Last will return one
> record, but Snapshot for subscription to list of trades will return all
> trade records from the beginning of trading day/session.
>
> Unfortunately we cannot use TradeCondition to distinguish between
> these two subscriptions because this tag is not defined in Market
> Data Request.
>
> Thank you in advance.
>
>
> > Oksana,
> >
> > 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
Re: How to send list of trades and Last
Rikard Hedberg / NASDAQ OMX 20 May 2008 2:05AM ET
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