[This message was posted by Hanno Klein of Deutsche Börse Systems <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/a16f16fc - PLEASE DO NOT REPLY BY MAIL.]
Your request goes into the area of market data statistics that go beyond the high, low, volume available today on a per instrument level. My assumption is that one would create new messages (e.g. MarketDataStatisticsRequest/Report) to support this capability and not extend the existing market data messages. These new messages could have MarketID, MarketSegmentID and the Instrument block (with ProductComplex, SecurityGroup, SecurityType etc.) to support various levels of granularity. The parameters such as high, low, volume could then be further qualified with time ranges defined through Trading(Sub)SessionIDs or explicit start and end dates/times. > The market data messages of FIX (e.g. Market Data Incremental Refresh) > are geared to publish information at an instrument level. Has anyone > used FIX to publish market data for higher level constructs such as > sectors, markets, boards, etc? For example, could the Market Data > Incremental Refresh message be used to publish volume for a sector or > the entire market? [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.
