[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/50dea94e - PLEASE DO NOT REPLY BY MAIL.]
OK. I believe I found my answers here: http://www.google.com/url?sa=t&source=web&cd=1&ved=0CBkQFjAA&url=http%3A%2F%2Fftp.rts.ru%2Fpub%2Fsupport%2FFAST%2Foldest%2FMessage%2520Types%2520and%2520Interpretation.pdf&rct=j&q=how%20to%20sort%20orders%20in%20book%20market%20data%20incremental%20refresh&ei=VpjLTYOMD-zRiALiufGdBQ&usg=AFQjCNEB8bXIVMWnFS1cqhPOCIHzqF6B-g&sig2=g503Kz0WaD9Re09bvoTWVA&cad=rja thanks! > > 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.
