[This message was posted by Alexander Lewis of Grab LLC <[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/b90f9ab8 - PLEASE DO NOT REPLY BY MAIL.]
Hi everyone, I am writing my own trading platform based on QuickFix Engine C++ for Linux, connecting to Currenex using FIX 4.2. I have some specific questions regarding the MarketDataIncrementalRefresh response to MarketDataRequest using incremental updates, full-book market depth, and non-aggregated book. I understand I can specify Market Depth tag 264 to be "0" full-book or "1" top of book, however I would like to use both in my application. The first problem is that when I try to make two separate MarketDataRequests for the same instrument, say "EUR/USD," both full-book and top of book, I get a duplicate subscription error even though I use a separate MDReqID for each. Instead, I figure I should just use "0" full-book non-aggregated for complete market depth and then calculate "top of book" myself in my client. The problem here is when I use the full-book to calculate "highest bid" and "lowest offer" the orders that I find do not match the orders returned when using 264=1 "top of book". If anyone could provide any help in explaining what I am doing wrong or provide another way of obtaining both full-book and top of book at the same time I would greatly appreciate it. Regards, Alex Lewis [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.
