Questions concerning the new FIX API implementation

ianj since: 14 May 2013;

  04 Aug 2016, 20:49
Questions concerning the new FIX API implementation

I would be pleasantly surprised to see a FULL order book - much more likely is that we will see the tiered aggregated book that we see in cTrader and have access to in cAlgo.

I will let you know just as soon as i know what Symbol to use :)

Spotware's avatar

Spotware since: 23 Sep 2013;

  05 Aug 2016, 15:29

Dear Traders, 

Please be advised that you can find FIX symbol ID in the symbol information window. Please be advised that those ID might be different for different brokers. 

To open Symbol Information window, click "i" button in the Symbol Description in the Marke watch section.

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olddirtypipster's avatar

olddirtypipster since: 18 Apr 2014;

  05 Aug 2016, 15:33
RE:

Thank you. Now... about that Field 266 that needs to be implemented. Any chance of this happening in the near future? It is a simple matter of implementing the server side cod to handle this request. It should be a relatively straight forward task.

Spotware said:

Dear Traders, 

Please be advised that you can find FIX symbol ID in the symbol information window. Please be advised that those ID might be different for different brokers. 

To open Symbol Information window, click "i" button in the Symbol Description in the Marke watch section.

Shame on you when you stepped through to, The OldDirty Pipster - Brooklyn!!!

ianj since: 14 May 2013;

  05 Aug 2016, 17:06
RE: RE:

Thanks - that works perfectly - ill dig into the book options soon - here i have a basic top of book :


8=FIX.4.49=12335=W34=249=cServer52=20160805-14:02:27.30256=icmarkets.xxx57=QUOTE55=1268=2269=1270=1.10531269=0270=1.1053110=240)
8=FIX.4.49=12335=W34=349=cServer52=20160805-14:02:27.78256=icmarkets.xxx57=QUOTE55=1268=2269=1270=1.10532269=0270=1.1053110=254)

olddirtypipster's avatar

olddirtypipster since: 18 Apr 2014;

  05 Aug 2016, 17:31
RE: RE: RE:

It looks like the time between these two ticks is 480ms. Is this the average timing between ticks?

ianj said:

Thanks - that works perfectly - ill dig into the book options soon - here i have a basic top of book :


8=FIX.4.49=12335=W34=249=cServer52=20160805-14:02:27.30256=icmarkets.xxx57=QUOTE55=1268=2269=1270=1.10531269=0270=1.1053110=240)
8=FIX.4.49=12335=W34=349=cServer52=20160805-14:02:27.78256=icmarkets.xxx57=QUOTE55=1268=2269=1270=1.10532269=0270=1.1053110=254)

Shame on you when you stepped through to, The OldDirty Pipster - Brooklyn!!!

ianj since: 14 May 2013;

  05 Aug 2016, 17:48
RE: RE: RE: RE:

I have no idea yet - i am implementing the other messages not defined in spec (35=W Market Data - Snapshot/Full Refresh is not in doc)

Looks like i'll have to extrapolate for now

When i have dug about a little ill post some stats re the feed/update rates etc 

ianj since: 14 May 2013;

  05 Aug 2016, 18:09
RE: RE: RE: RE:

Anecdotally i would say you should not be expecting more ticks than you might, say, see in a cAlgo feed - that is something i will be able to comment on next week if i get to deploy this by then (possibly also vs the "other" platform feed for my broker)

At the moment the TOP of book is coming in, as you can see, as a 5=W Market Data - Snapshot/Full Refresh, NOT by the documented Incremental Refresh (35=X)

Perhaps Depth will do that 

olddirtypipster said:

It looks like the time between these two ticks is 480ms. Is this the average timing between ticks?

ianj since: 14 May 2013;

  05 Aug 2016, 18:41
RE: RE: RE: RE:

olddirtypipster - this should answer some of your questions:

where:
279=0 is NEW
279=2 is DELETE
269=0/1 is Bid/Offer

It tells me that its is a TIERED aggregated book sent as a delta from the prior book using entryId to select/remove aggregated entries - the tiered nature is strongly (>90%) indicated by their being no duplicate prices on the same side and the wider prices being larger in this limited sample

This is, as you can see, IC Markets - i have no reason to believe, at this time, that other brokers will be different

<20160805-15:29:08, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=41035=X34=249=cServer52=20160805-15:29:08.91556=icmarkets.xxx57=QUOTE268=6279=0269=1278=29427798755=1270=1.10808271=1500000279=0269=1278=29427798855=1270=1.10807271=100000279=0269=1278=29427798955=1270=1.10809271=8000000279=0269=0278=29427798455=1270=1.10807271=100000279=0269=0278=29428091855=1270=1.10806271=4500000279=0269=0278=29428091555=1270=1.10805271=500000010=253)

279=0:278=294277987,269=1,55=1,270=1.10808,271=1500000.0
279=0:278=294277988,269=1,55=1,270=1.10807,271=100000.0
279=0:278=294277989,269=1,55=1,270=1.10809,271=8000000.0
279=0:278=294277984,269=0,55=1,270=1.10807,271=100000.0
279=0:278=294280918,269=0,55=1,270=1.10806,271=4500000.0
279=0:278=294280915,269=0,55=1,270=1.10805,271=5000000.0


<20160805-15:29:14, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=24235=X34=349=cServer52=20160805-15:29:14.11056=icmarkets.xxx57=QUOTE268=4279=0269=0278=29428595055=1270=1.10805271=8000000279=0269=0278=29428595255=1270=1.10806271=1500000279=2278=29428091555=1279=2278=29428091855=110=023)
279=0:278=294285950,269=0,55=1,270=1.10805,271=8000000.0
279=0:278=294285952,269=0,55=1,270=1.10806,271=1500000.0
279=2:278=294280915,55=1
279=2:278=294280918,55=1


<20160805-15:29:18, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=50835=X34=449=cServer52=20160805-15:29:18.94656=icmarkets.xxx57=QUOTE268=11279=0269=0278=29428897555=1270=1.10803271=3100000279=0269=0278=29428897655=1270=1.10802271=5000000279=0269=0278=29428897355=1270=1.10804271=1500000279=0269=1278=29428897755=1270=1.10804271=1600000279=0269=1278=29428897855=1270=1.10806271=8000000279=2278=29428595055=1279=2278=29427798455=1279=2278=29428595255=1279=2278=29427798855=1279=2278=29427798955=1279=2278=29427798755=110=151)
279=0:278=294288975,269=0,55=1,270=1.10803,271=3100000.0
279=0:278=294288976,269=0,55=1,270=1.10802,271=5000000.0
279=0:278=294288973,269=0,55=1,270=1.10804,271=1500000.0
279=0:278=294288977,269=1,55=1,270=1.10804,271=1600000.0
279=0:278=294288978,269=1,55=1,270=1.10806,271=8000000.0
279=2:278=294285950,55=1
279=2:278=294277984,55=1
279=2:278=294285952,55=1
279=2:278=294277988,55=1
279=2:278=294277989,55=1
279=2:278=294277987,55=1


<20160805-15:29:19, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=45535=X34=549=cServer52=20160805-15:29:19.09756=icmarkets.xxx57=QUOTE268=9279=0269=0278=29428930855=1270=1.10801271=5000000279=0269=0278=29428930755=1270=1.10803271=100000279=0269=0278=29428930655=1270=1.10802271=4500000279=0269=1278=29428931255=1270=1.10803271=100000279=0269=1278=29428931155=1270=1.10804271=1500000279=2278=29428897555=1279=2278=29428897655=1279=2278=29428897355=1279=2278=29428897755=110=112)
279=0:278=294289308,269=0,55=1,270=1.10801,271=5000000.0
279=0:278=294289307,269=0,55=1,270=1.10803,271=100000.0
279=0:278=294289306,269=0,55=1,270=1.10802,271=4500000.0
279=0:278=294289312,269=1,55=1,270=1.10803,271=100000.0
279=0:278=294289311,269=1,55=1,270=1.10804,271=1500000.0
279=2:278=294288975,55=1
279=2:278=294288976,55=1
279=2:278=294288973,55=1
279=2:278=294288977,55=1


<20160805-15:29:19, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=50635=X34=649=cServer52=20160805-15:29:19.24956=icmarkets.xxx57=QUOTE268=11279=0269=0278=29428955855=1270=1.10801271=9000000279=0269=0278=29428955555=1270=1.10802271=600000279=0269=1278=29428955955=1270=1.10803271=1500000279=0269=1278=29428956055=1270=1.10802271=100000279=0269=1278=29428956155=1270=1.10805271=8000000279=2278=29428930855=1279=2278=29428930755=1279=2278=29428930655=1279=2278=29428931255=1279=2278=29428931155=1279=2278=29428897855=110=232)
279=0:278=294289558,269=0,55=1,270=1.10801,271=9000000.0
279=0:278=294289555,269=0,55=1,270=1.10802,271=600000.0
279=0:278=294289559,269=1,55=1,270=1.10803,271=1500000.0
279=0:278=294289560,269=1,55=1,270=1.10802,271=100000.0
279=0:278=294289561,269=1,55=1,270=1.10805,271=8000000.0

ianj since: 14 May 2013;

  05 Aug 2016, 18:47
RE: RE:

Field 266 "AggregatedBook" is NOT required in the spec and NOT documented in the cTrader docs, which means to me that non-aggregated prices are not offered - in the retail world, FULL book is not actually FULL book - lol

I might just prod it anyway, but i would be VERY surprised if it is offered at this level - the bandwidth requirements would increase dramatically

olddirtypipster said:

Spotware said:Trader FIX API specifications https://help.spotware.com/FIX 

In this case, are there plans to implement Field 266; non-aggregated/aggregated market depth?

ianj since: 14 May 2013;

  05 Aug 2016, 18:52
RE: RE: RE:

olddirtypipster : I think this answers your question:

<20160805-15:49:44, FIX.4.4:icmarkets.xxx/QUOTE->cServer, outgoing> (8=FIX.4.49=12935=V34=249=icmarkets.xxx50=QUOTE52=20160805-15:49:44.70956=cServer262=1263=1264=0266=N146=155=1267=2269=0269=110=244)

<20160805-15:49:44, FIX.4.4:icmarkets.xxx/QUOTE->cServer, incoming> (8=FIX.4.49=14235=334=249=cServer52=20160805-15:49:44.72656=icmarkets.xxx57=QUOTE45=258=Tag not defined for this message type 371=266 372=V373=210=084)

ianj said:

Field 266 "AggregatedBook" is NOT required in the spec and NOT documented in the cTrader docs, which means to me that non-aggregated prices are not offered - in the retail world, FULL book is not actually FULL book - lol

I might just prod it anyway, but i would be VERY surprised if it is offered at this level - the bandwidth requirements would increase dramatically