[This message was posted by Jim Northey of The LaSalle Technology Group <[email protected]> to the "Foreign Exchange" discussion forum at http://fixprotocol.org/discuss/1. You can reply to it on-line at http://fixprotocol.org/discuss/read/09b3a999 - PLEASE DO NOT REPLY BY MAIL.]
I think the reason we didn't view quote messages as being appropriate for streaming had more to do with having an exchange perspective at the time - we were focused on a model where there was an intermediate market where Quotes came in from market makers and market data messages were published as a result. In Fixed Income Quote messages are interchanged by counterparties directly. I am not sure we have a case where an exchange or market disseminates or broadcasts Quote messages - we have strongly encouraged folks to use the MarketData messages for that purpose. > The quote message certainly matches the voice trading model of asking > for a price and getting a quote then hit/taking the quote. For dealable > streaming prices it is more like a market data stream - which was > already being used by some ECNs and several counterparties. > > The mass quote message was discussed extensively, however, it was ruled > out. The market data message has significant efficiency advantages as > the incremental refresh is more suitable for FX price distribution than > mass quote which fits well with options quoting where a single underlier > updates many prices at the same time. > > > Hi Jim I've seen the recommendations but was just curious as to why > > really ? It may be just me but the Quote messages seems a better fit > > to provide FX Quotes both inwards and outwards. > > > > pritam > > > > > > > We have been recommending the use of MarketData messages to provide > > > streaming quotes from a market outward. > > > > > > A market maker would use quotes and mass quotes to provide quotes > > > into a a market. > > > > > > > Hi > > > > > > > > I'm just wondering what drove the choice for using the MarketData > > > > set of messages to provide streaming rates for FX in FIX5.0 SP2. > > > > > > > > In my experience so far I've noticed that the Quote (message type > > > > S) is frequently used. I realise this is not the most efficient > > > > especially when pricing the same currency pair across multiple > > > > volumes > > > > - a lot of data is repeated. I wondered why the MassQuote message > > > > was overlooked (or was it?) as the migration for many of the > > > > users I've come across would be a little more straight forward. > > > > > > > > Thanks for any replies > > > > > > > > pritam [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.
