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ECNs, Exchanges
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Re: Last Traded Prices
Ainhoa Dewisme / Reuters
19 Nov 2007 3:52AM ET Thanks Rikard,
If this is the case, we will take the route of ignoring MarketDepth tag.
Thanks again.
Regards
Ainhoa
> Ainhoa,
>
> MarketDepth (264) has no meaning if what you subscribe to does not have
> a depth. So if your publish a stream of subscribable snapshot statistics
> separately, I would recommend users to enter "0" in the request and the
> receiver to ignore the field entirely.
>
> To be honest I think defining the MarketDepth as a required field was a
> mistake. Market Data, especially the various MDEntryTypes, has become so
> much more than initially envisioned. For book updates it may certainly
> be relevant. Some markets allow publication of aggregated trade prices
> too, so it may be relevant there too. In other cases the producer of the
> statistics does not acknowledge a depth at all or provides a single
> depth. In those latter cases I question the meaning of validating the
> MarketDepth of a request message.
>
> By the way, most marketplaces publish primary market data feeds (book
> updates, trade ticker information, basic statistics and trading
> session/security state changes) that are not subject to requests
> (subscriptions). Multicast is often used.
>
>
> Regards
>
> Rikard
>
>
> > Thanks Bernt, I have been following that document "Recommended
> > Practices For Book Management" version 2.00 but could not get my
> > question answered ... I could only find information in Chapter 4,
> > Market Statistics, where it does describe what an update message would
> > contain but could not see in the document whether FIX apps may need to
> > subcribe to this data explicitly in order to receive it. I have may
> > missed it...
> >
> > Thanks & Regards
> >
> > Ainhoa
> >
> > > Ainoa,
> > >
> > > Please refer to "Book Management, Best Practices" document, posted
> > > on the Market Data Optimization Work Group. It gives a lot of best
> > > practices for streaming trades.
> > >
> > > Regards, Bernt
> > >
> > > > Hello,
> > > >
> > > > what is the recommended message workflow to stream last traded
> > > > prices?
> > > >
> > > > should the FIX client application send a separate Market Data
> > > > Request to receive Last Traded Prices? (this would be my prefered
> > > > option) Or if the FIX client application subscribes for order book
> > > > or price-depth data for a particular security/symbol, last traded
> > > > prices would be streamed within incremental refresh messages?
> > > >
> > > > If the former,I understand that MDEntryType = 2(trade) but what
> > > > should be MarketDepth mandatory) set to?
> > > >
> > > > Thanks and Regards Regards
> > > >
> > > > Ainhoa
Re: Last Traded Prices
Ainhoa Dewisme / Reuters 19 Nov 2007 3:52AM ET
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