[This message was posted by Pritam Kamat of PapaKilo <[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/be9915b9 - PLEASE DO NOT REPLY BY MAIL.]
that does clarify things - thanks all for your inputs. > 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.
