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FIX 4.2 Currenex "top of book" and "full book" Market Data Request - Incremental update
Alexander Lewis / Grab LLC
9 May 2011 11:56PM ET Hi everyone,
I am writing my own trading platform based on QuickFix Engine C++ for Linux, connecting to Currenex using FIX 4.2.
I have some specific questions regarding the MarketDataIncrementalRefresh response to MarketDataRequest using incremental updates, full-book market depth, and non-aggregated book.
I understand I can specify Market Depth tag 264 to be "0" full-book or "1" top of book, however I would like to use both in my application.
The first problem is that when I try to make two separate MarketDataRequests for the same instrument, say "EUR/USD," both full-book and top of book, I get a duplicate subscription error even though I use a separate MDReqID for each.
Instead, I figure I should just use "0" full-book non-aggregated for complete market depth and then calculate "top of book" myself in my client. The problem here is when I use the full-book to calculate "highest bid" and "lowest offer" the orders that I find do not match the orders returned when using 264=1 "top of book".
If anyone could provide any help in explaining what I am doing wrong or provide another way of obtaining both full-book and top of book at the same time I would greatly appreciate it.
Regards,
Alex Lewis
FIX 4.2 Currenex "top of book" and "full book" Market Data Request - Incremental update
Alexander Lewis / Grab LLC 9 May 2011 11:56PM ET
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