[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/f0f4724b - 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 I was able to receive some help regarding this issue, so far my solution has been to setup two separate sessions and use one for querying the top of book and another for querying the full book. I now understand that I should be able to find the top of book by sorting the order entries according to their position tag, 290=MDEntryPositionNo. The problem is that none of the Market Data Incremental Refresh messages contain the tag 290. Can anyone answer how I am supposed to determine the order of the book if I do not receive tag 290? [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.
