[This message was posted by Mikael Brannstrom of Nordic Growth Market <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/525786cb - PLEASE DO NOT REPLY BY MAIL.]
Hi, I've been trying to figure out how quotes are supposed to work, regarding volume updates and snapshot recovery (QuoteStatusRequest/Report). After digging the specs and the discussion forum, e.g. http://www.fixprotocol.org/discuss/read/e247c633 http://fixprotocol.org/discuss/read/f3582df8 ... there are still some pieces I don't understand. I haven't been able to find how to interpret the BidSize (total volume or visible volume). The only reasonable way to implement volume in quotes seem to be to interpret the BidSize and OfferSize as the total executed volume + available volume, i.e. similar to OrderQty which is (in general) CumQty + LeavesQty. However, OrigBidSize has been added to the custom fields indicating that BidSize might be interpreted as the visible volume (LeavesQty): http://www.fixprotocol.org/specifications/fields/search?search=OrigBidSize Well, I treat it as the total volume for the rest of this post. Whenever a fill occurs, CumQty and LeavesQty are reported back in an ExecutionReport. In case the quote issuer need to request a snapshot of all quotes, it will receive QuoteStatusReport messages. However, the QuoteStatusReport does not include CumQty nor LeavesQty. How should the client know what to set the BidSize to if it does not know the CumQty? What is common practice here? Cancel all quotes and start over with CumQty=0? Or can this information be found somewhere in a snapshot reply? Or have I misunderstood it all? [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] --~--~---------~--~----~------------~-------~--~----~ You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected] To unsubscribe from this group, send email to [email protected] For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en -~----------~----~----~----~------~----~------~--~---
