[This message was posted by Hanno Klein of Deutsche Börse Systems <[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/12ce342f - PLEASE DO NOT REPLY BY MAIL.]
Correct, use Change and Delete to convey new information about existing orders in an order-depth scenario. Please also refer to http://www.fixprotocol.org/documents/4419/MDOWG_Book_Mgt_Final_draft.doc posted to the FPL Global Exchanges & Markets website. > 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 -~----------~----~----~----~------~----~------~--~---
