Re: [Quickfix-developers] MarketDataSnapshotFullRefresh Vs MarketDataIncrementalRefresh

[Grant B. <gbi...@co...>]

A MarketDataSnapshotFullRequest does not indicate new/delete/etc.  It
sends the whole book (or depending on exchange, only the top X entries
of the book).  This message has nothing to do any previous state of
the book; it just tells you what it is *now*.

To indicate new or delete would be relative to some prior state, and
as such are not applicable to FullRefresh.

If you are storing data from 2 exchanges in a combined price book,
then I suppose you need to track the exchange that each entry in the
book comes from.  When you get a FullRefresh from an exchange, you may
have to clear your book of every entry from that exchange and refill
it.

-Grant

On Fri, Aug 7, 2009 at 9:27 AM, DeepakA<ang...@gm...> wrote:
> QuickFIX Documentation: http://www.quickfixengine.org/quickfix/doc/html/index.html
> QuickFIX Support: http://www.quickfixengine.org/services.html
>
>
> I connect with 2 exchanges, one of them sends a MarketDataIncrementalRequest
> while the other
> sends a MarketDataSnapshot (irrespective of what I set for tag 265 in
> MarketDataRequest)
>
> However in in my application I keep a price book in memory, which stores the
> bids/offers/volume information. MarketDataIncrementalRequest specifies
> (within the MarketEntery) if the price is new OR Dlete OR Update, this way I
> can refresh the Pricebook.
>
> However MarketDataSnapshot doesn't set these details so I am concerned that
> the pricebook in memory will explode at some stage. I can avoid repetation
> of bid/offer prices in the price book but still the size of pricebook will
> grow.
>
> Is there any way to figure out if the bid/offer prices in MarketDataSnapshot
> is new/Delete/Update?
>
>
> DeepakA wrote:
>>
>> Hi All,
>>
>> My client application establishes a session with the Fix server and sends
>> a MarketDataRequest
>> and receives a MarketDataIncrementalRefresh as a response.
>>
>> It looks like I always/only receive MarketDataIncrementalRefresh
>> during/after initial logon.
>> Even if the connection drops and re-connects I still receive a
>> MarketDataIncrementalRefresh.
>>
>> I would like to know under which cirumstances would I receive a
>> MarketDataSnapshotFullRefresh.
>>
>
> --
> View this message in context: http://www.nabble.com/MarketDataSnapshotFullRefresh-Vs-MarketDataIncrementalRefresh-tp24841051p24865878.html
> Sent from the QuickFIX - Dev mailing list archive at Nabble.com.
>
>
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