[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


>-----Original Message-----
>From: qui...@li...
[mailto:quickfix-
>dev...@li...] On Behalf Of Yoav
>Sent: Monday, March 17, 2008 10:01 PM
>To: qui...@li...
>Subject: [Quickfix-developers] Strange Logon sequence when 141=Y
>
>QuickFIX Documentation:
>http://www.quickfixengine.org/quickfix/doc/html/index.html
>QuickFIX Support: http://www.quickfixengine.org/services.html
>
>Hi,
>(QuickFix version 1.12.4 (C++), Solaris 10)
>
>When I set the 141 field to 'Y' in my Logon message
>(I'm initiator), it looks as if QF thinks the
>response that is coming back from the server is a new
>Logon request and not the Logon response.
>
>Below there are 2 logs:
>First one is without 141=Y and it looks ok.
>Second one is with 141=Y and you can see that when the
>response returns QF prints: "Received logon request"
>
>
>First (no flag, everything is normal):
>-----------------------------------------------
><20080314-20:44:58, FIX.4.3:FIXCLIENT->FIXSERVER,
>outgoing>
>(8=FIX.4.3 9=100 35=A 34=6 49=FIXCLIENT
>52=20080314-20:44:58.636 56=FIXSERVER 98=0 108=30
>553=user 554=pass 10=065 )
><20080314-20:44:58, FIX.4.3:FIXCLIENT->FIXSERVER,
>event>
>(Initiated logon request)
>
><20080314-20:45:00, FIX.4.3:FIXCLIENT->FIXSERVER,
>incoming>
>(8=FIX.4.3 9=71 35=A 49=FIXSERVER 56=FIXCLIENT 34=3
>52=20080314-20:45:00 108=30 98=0 10=013 )
><20080314-20:45:01, FIX.4.3:FIXCLIENT->FIXSERVER,
>event>
>(Received logon response)
>
>
>Second (with flag, Logon response is treated as Logon
>request):
>-----------------------------------------------
><20080314-20:44:09, FIX.4.3:FIXCLIENT->FIXSERVER,
>outgoing>
>(8=FIX.4.3 9=106 35=A 34=1 49=FIXCLIENT
>52=20080314-20:44:09.717 56=FIXSERVER 98=0 108=30
>141=Y 553=user 554=pass 10=107 )
><20080314-20:44:09, FIX.4.3:FIXCLIENT->FIXSERVER,
>event>
>(Initiated logon request)
>
><20080314-20:44:12, FIX.4.3:FIXCLIENT->FIXSERVER,
>incoming>
>8=FIX.4.3 9=71 35=A 49=FIXSERVER 56=FIXCLIENT 34=1
>52=20080314-20:44:12 108=30 98=0 10=013
><20080314-20:44:13, FIX.4.3:FIXCLIENT->FIXSERVER,
>event>
>(Received logon request) - ???
>
><20080314-20:44:13, FIX.4.3:FIXCLIENT->FIXSERVER,
>outgoing>
>(8=FIX.4.3 9=100 35=A 34=2 49=FIXCLIENT
>52=20080314-20:44:13.364 56=FIXSERVER 98=0 108=30
>553=user 554=pass 10=050 )
><20080314-20:44:13, FIX.4.3:FIXCLIENT->FIXSERVER,
>event>
>(Responding to logon request) - ???
>
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