[This message was posted by Lisa Taikitsadaporn of Brook Path Partners, Inc. <[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/74efc054 - PLEASE DO NOT REPLY BY MAIL.]
Just to clarify what Jay Hurley said below and provide some history on the decision between Quote and Market Data messages for streaming prices. When the Global FX Committee looked to enhance FIX to fully support FX as an asset class there was awareness by the committee members that there were some people using Quote messages for streaming prices in FIX 4.2. However, as a committee it was agreed to make the distinction between dealable/executable streaming prices (Market Data) vs. "one off" quoting (e.g. quote request/quote) in case negotiation is needed. Streaming prices are not negotiable - that's the distinction the committee was trying to make. With the enhancements to fully support FX that became part of FIX 5.0, the recommendation is that price providers (banks) use Market Data messages to stream prices to their customers or to aggregators. Aggregators stream prices out using Market Data messages as well to end customers. As Jay said, the Quote message is recommended for use to mimic the voice negotiation trading model. This distinction would allow parties that receive both dealable streaming prices to handle Market Data messages differently than Quote messages. > 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.
