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ECNs, Exchanges
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Book Management
Colin Cullen / ICAP <>
1 Sep 2010 10:51AM ET Hi,
I have a question specifically regarding the MDWG's "Recommended Practices for Book Management" (RPBM) 2.00.
We currently provide a single market data "view" via the Snapshot/Full Refresh (W) and Incremental Refresh-Update (X) messages. We are investigating expanding our Market Data messages to provide more Order Book information, with three (and possible more) "views" or book types (as in MDBookType, tag=1021). Several of these book types are similar the ones discussed in sections 5.2 - 5.4 of the RPBM: Top of Book, Price Depth, and Order Depth. The RPBM speaks to these book types as individual market data messages. We would like to consolidate multiple book types into a single market data message by creating a repeating group out of MDBookType, pushing the book type and its associated fields down a "level" in the message. We would define a new field, NoBookTypes to specify the count for the repeating group and then MDBookType would become the first field within the repeating group, the second field of the repeating group would be NoMDEntries, which starts the market data repeating group.
The reason for this modification to the recommended usage is to provide the client with all market data for a specific timeslice in a single atomic message.
FYI, we are the exchange in this scenario.
I would like to know people's thoughts on this approach.
A more general question is: does FIX "allow" for this type of flexibility in its specification?
Has anyone seen a need for something similar?
Best Regards,
Colin Cullen
ICAP
Book Management
Colin Cullen / ICAP 1 Sep 2010 10:51AM ET
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