[Quickfix-developers] About Market Data

[<Nil...@co...>]

Hi



I am working on Market Data Component for server side and client side.
Application needs to provide the following information as Market Data,
Top of the book, Price Depth, Order Depth, Price & Volume information
and Ticker (Symbol and LTP). In this regard I have following questions,
would appreciate if you can provide any pointer to solve this:



a) I am able to provide the Price & Order Depth for one level, but when
try to provide the information for multiple levels, say 5 level. The
server reports the following error before send message, "Tag appears
more than once". Its tag no 269, even though tag 268=5.



b) What tags to use, to request/provide the price and volume
information?



c) How do I provide the Ticker information, I mean what type of message
and tag to use?



d) Does QF support multicasting?



I understand that (please correct me if I am wrong any where)



Market Data Request - Client can request for any of the market data as
snapshot or snapshot + refresh. The refresh can be of two types, full
refresh or incremental refresh. Client can request the market data for
one symbol or set of symbols (is the max limit here)



Market Data Snapshot/ Full Refresh: The server provides the snapshot of
the market data or full refreshes using this message type. The server
provides the market data for one or more symbols (based on the client
request)



I see that FIX specs don't talk about the refresh frequency. That means,
the application needs to decide at frequency it wants to provide the
refresh (every second or every five seconds etc..)



Market Data - Incremental Refresh: The server provides the incremental
refresh of the market data and not the full refresh. Refresh frequency
to be decided by the application.



Please correct me if I am wrong in my understanding of any of the above
market data messages.



Thanks in advance



-Nilesh



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