Is it possible to have regular MarketDataSnapshotFullRefresh (every hour)?

Created at 21 Feb 2022, 03:36
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ronald.muldrow

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Joined 21.02.2022

Is it possible to have regular MarketDataSnapshotFullRefresh (every hour)?
21 Feb 2022, 03:36

Hello,

I'm currently downloading (for our strategy to work) some order book data using the FIX protocol. It works great! However, I have some questions:

  1. What would happen if I'm disconnected for a few seconds? I think I will experience some data loss and it could create some data inconsistencies...
  2. Is it possible to ask a regular snapshot a the order book on a specific instrument?

Best regards,

Ronald

@ronald.muldrow
Replies

amusleh
21 Feb 2022, 08:49

Hi,

If you get disconnected or logged out then you will not receive any message from API for that period unless you reconnect.

Regarding market snapshot you can send the market snapshot request message anytime you want to.

@amusleh

ronald.muldrow
21 Feb 2022, 16:49

RE:

amusleh said:

Regarding market snapshot you can send the market snapshot request message anytime you want to.

The issue is that MarketDataRequest (MsgType(35)=V) only accepts SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES(1) and not SubscriptionRequestType_SNAPSHOT(0).

Sending a new SNAPSHOT_PLUS_UPDATES request doesn't work while I'm already registered to a Market Feed. So, how can I send a "market snapshot request message anytime I want to"? Is there another MsgType that I should be aware of?

@ronald.muldrow

ronald.muldrow
21 Feb 2022, 19:06

And second question: is there a way to detect that I missed a MarketDataIncrementalRefresh?

@ronald.muldrow

amusleh
22 Feb 2022, 08:55

RE: RE:

ronald.muldrow said:

amusleh said:

Regarding market snapshot you can send the market snapshot request message anytime you want to.

The issue is that MarketDataRequest (MsgType(35)=V) only accepts SubscriptionRequestType_SNAPSHOT_PLUS_UPDATES(1) and not SubscriptionRequestType_SNAPSHOT(0).

Sending a new SNAPSHOT_PLUS_UPDATES request doesn't work while I'm already registered to a Market Feed. So, how can I send a "market snapshot request message anytime I want to"? Is there another MsgType that I should be aware of?

Hi,

If you already subscribed to data feed of a symbol then you will receive the symbol market data, there is no need for re-subscribing unless you got disconnected.

Regarding your other question, no there is no way to detect if you missed any MarketDataIncrementalRefresh, you know that you might missed some data if you got disconnected.

@amusleh

ronald.muldrow
23 Feb 2022, 23:13

RE: RE: RE:

amusleh said:

If you already subscribed to data feed of a symbol then you will receive the symbol market data, there is no need for re-subscribing unless you got disconnected.

I'm worried about undetected MarketDataIncrementalRefresh. Being able to periodically (every hour or so) fetch the full snapshot while I'm subscribed to one symbol is, I think, really important. Hence my question. Is there anything I could do about it?

 

Best regards,

Ronald

@ronald.muldrow

amusleh
24 Feb 2022, 08:46

Hi,

Once you are subscribed you will receive the data unless your connection drops off.

There is no need to do anything extra.

@amusleh
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