[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/e53ecb5e - PLEASE DO NOT REPLY BY MAIL.]
Thanks for the quick response Hanno. In addition to publishing sector/market level statistics, some may wish to publish historical data (e.g. 52-week high, all time low, etc.). At present, the FIX protocol is, to a large extent, focused on real-time market data (which is all that is required for most markets). Are statistics and/or historical data areas the FIX protocol may expand to support? Or are they seen as being outside the scope of the protocol? > Your request goes into the area of market data statistics that go beyond > the high, low, volume available today on a per instrument level. My > assumption is that one would create new messages (e.g. > MarketDataStatisticsRequest/Report) to support this capability and not > extend the existing market data messages. These new messages could have > MarketID, MarketSegmentID and the Instrument block (with ProductComplex, > SecurityGroup, SecurityType etc.) to support various levels of > granularity. The parameters such as high, low, volume could then be > further qualified with time ranges defined through > Trading(Sub)SessionIDs or explicit start and end dates/times. > > > The market data messages of FIX (e.g. Market Data Incremental Refresh) > > are geared to publish information at an instrument level. Has anyone > > used FIX to publish market data for higher level constructs such as > > sectors, markets, boards, etc? For example, could the Market Data > > Incremental Refresh message be used to publish volume for a sector or > > the entire market? [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.
