[This message was posted by Lalin Dias of Millennium Information Technologies <[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/ac380a55 - PLEASE DO NOT REPLY BY MAIL.]
Thanks for the feedback Hanno. I presume your suggestion that MDUpdateAction (279) should always be New (0) would only apply if the order book is disseminated by price depth (i.e. quantity at each price point is aggregated). The MDUpdateActions Change (1) and Delete (2) would probably be required for market orders if the order book is disseminated by order depth (i.e. the details of each order is disseminated). > I cannot answer your first question as valid values are being issued by > FPL in the order in which Extension Packs are being implemented. The > values you mention are likely but cannot be guaranteed. > > MDPriceLevel is an optional field and can thus be omitted when sending > market order information. They do not really belong to a specific price, > e.g. level 1 but also level 0 might be confusing for users when > implementing MDUpdateAction and shifting entries up or down. I suggest > to keep the information separate. MDUpdateAction for market orders would > then always be 0=NEW, i.e. you simply overwrite what you have. > > > We are currently working on an implementation at an exchange that, > > like the ISE, may require the dissemination of market orders in the > > order book in its market data feed. The support for this requirement > > proposed in the extension would be most helpful. > > > > I have two questions in this regard: > > 1. In terms of the proposed new values for MDEntryType (269), would it > > be correct to assume that, if the proposal is approved, the values > > that will be assigned for Market Bid and Market Offer will be “b” > > and “c” respectively? > > 2. What is the recommendation for the MDPriceLevel (1023) of market > > orders? Is there a need to include a MDPriceLevel (1023) for market > > orders? [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 -~----------~----~----~----~------~----~------~--~---
