[This message was posted by Mahesh Kumaraguru of <kay_mah...@yahoo.com> 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/fb7ca2b6 - PLEASE DO NOT REPLY BY MAIL.]
For historical Market Data like 52-week high, low, all time low, etc. you can use Market Data Definition Language ( http://www.mddl.org/ ) which is XML based and transport it over a ^Tag=Value^ FIX session using XML_non_FIX message type 35=n by placing the MDDL XML content in XMLData(213). This would give you best of both worlds - using industry standard MDDL for data representation and using realtime robust FIX session for transport. > Thanks for the quick response Hanno. > > In addition to publishing sector/market level statistics, some may wish > to publish historical data (e.g. 52-week high, all time low, etc.). At > present, the FIX protocol is, to a large extent, focused on real-time > market data (which is all that is required for most markets). Are > statistics and/or historical data areas the FIX protocol may expand to > support? Or are they seen as being outside the scope of the protocol? > > > > > 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:unsubscribe+100932...@fixprotocol.org] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to fix-proto...@googlegroups.com. To unsubscribe from this group, send email to fix-protocol+unsubscr...@googlegroups.com. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
