Market Data Subscription
Market Data Subscription
16 Apr 2020, 16:06
Hi All,
Two questions if I may please:
1 - On the FIX PAI doc (v. 2.16) it states that only Incremental refresh MDUpdateType is supported. However, when I did that successfully, the Market Data started coming back as MarketDataSnapshotFullRefresh. Isn't it supposed to stream back as MarketDataIncrementalRefresh intead?
2 - Subsequent to the above, every MarketDataSnapshotFullRefresh message is lacking the sizes for the BID/OFFERs. Tag 271 (MDEntrySize) is always missing.
Any help on the above is greatly appreciated.
Zo
Replies
zo.abed
16 Apr 2020, 16:57
Thanks Panagiotis,
The trouble is that I am subscribing using Incremental Refresh request as MDUpdateType. I.e. I'm specifying the TAG in question. But, the stream coming back from you is FULL refresh regardless.
I can send you log excerpts showing the subscription message itself and the reply from you being a FULL-REFRESH rather than an INCREMENTAL
@zo.abed
PanagiotisCharalampous
21 Apr 2020, 08:57
Hi zo.abed,
Even if you subscribe to incremental refresh, the first message will be a full refresh, else there is nothing to increment on.
Best Regards,
Panagiotis
@PanagiotisCharalampous
PanagiotisCharalampous
16 Apr 2020, 16:54
Hi zo.abed,
1) What this means is that the specific optional tag allows only for specifying incremental refresh. If the tag is not used then you should get a full refresh.
2) Message 35=W does not have a 271 tag. This is only available in 35=X.
Best Regards,
Panagiotis
Join us on Telegram
@PanagiotisCharalampous