|
ECNs, Exchanges
< Previous Next >
Re: Last Traded Prices
Rikard Hedberg / OMX
18 Nov 2007 4:27AM ET 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
Rikard Hedberg / OMX 18 Nov 2007 4:27AM ET
|
