Bug in discussion forum search results when "any of the terms" radio button is selected and searched for "a e i o u"
Mahesh Kumaraguru <>
23 Feb 2011 12:06PM ET
Hi Webmasters,
In High Frequency trading discussion forum, when I selected radio button "any of the terms" and searched for "a e i o u", the search results listed messages from all forums, NOT only from the HFT discussion forum. Below is copy paste of the starting of resulting webpage
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Greenline to Exhibit at FPL EMEA, March 1, London
Diana Bhaktul / MarketAxess/Greenline 22 Feb 2011 5:19PM ET
Greenline Financial Technologies will exhibit at the FIX Protocol EMEA Trading Conference in London on March 1, 2011. Greenline will debut its latest product Exchange Central, a multi-exchange simulation platform. Exchange Central gives users 24/7 access to a simulated exchange testing environment, complete with real pricing, market data and market behavior.
Seminar: Strategies & Technology for Equities, Singapore, March 1
Elisabeth Samuels / RTS Realtime Systems Group 22 Feb 2011 12:56PM ET
Strategies & Technology for Equities: Powering High Frequency & Algorithmic Trading
Re: rejecting a List Cancel Request message
Xavier Bruyet / Ullink 22 Feb 2011 5:56AM ET
Are we really supposed to use a ListStatus message to reject a ListCancelRequest message. Since the BusinessMessageReject message specification states:
Re: Usage of MDEntries in Depth maintenance
John Harris / BondMart Technologies, Inc. 21 Feb 2011 11:46AM ET
Thank you, Sajith and Hanno.
Re: Execution report (Filled) for multileg security
Hanno Klein / Deutsche Börse Systems 21 Feb 2011 11:28AM ET
The multileg entity of the TSM order neither has a Symbol (tag 55), nor a Price (tag 44). It seems that the message was merely used to string together three single leg orders for symbols TOZ0, CLZ0, CLZ1. The ExecutionReport for the multileg then shows symbol as "+2CLZ0-1TOZ0+1CLZ1" which is not an instrument but a concatentation of the leg symbols joined with the ratios. Without a price at the root level of the order (they only have leg level prices) I am not sure any value in LastPx can be meaningful. I am also not sure why you get 4 ERs instead of a single one which shows the leg executions in <InstrmntLegExecGrp>. If you already get 3 ERs, one for each leg, what value does the 4th one have? I am afraid I am unable to help you here.
Re: Usage of MDEntries in Depth maintenance
Sajith Premadasa / Millennium IT 21 Feb 2011 11:15AM ET
Thanks a lot Hanno for your feedback!
Re: Usage of MDEntries in Depth maintenance
Hanno Klein / Deutsche Börse Systems 21 Feb 2011 11:07AM ET
I might have misunderstood the question as I assumed an aggregated book and was referring to price levels. With individual orders, I just send them out and let the recipient figure out the book (order priority given by their relative position in the data stream), possibly using cloaking mechanisms to reduce the probability of identifying reserve orders, hidden orders etc.
Re: Usage of MDEntries in Depth maintenance
John Harris / BondMart Technologies, Inc. 21 Feb 2011 8:39AM ET
I have a question on this topic for High Frequency Trading Working Group purposes, if not of more general applicability...
Re: Usage of MDEntries in Depth maintenance
Hanno Klein / Deutsche Börse Systems 21 Feb 2011 7:51AM ET
The incremental instructions within a single MDIncGrp should not be applied in parallel but sequentially, i.e. you only need to make sure that the deletion of row 3 comes first, followed by the add for row 5. Row 5 is empty after the first instruction, i.e. it is not an update.
Usage of MDEntries in Depth maintenance
Sajith Premadasa / Millennium IT 21 Feb 2011 6:50AM ET
I'm in the process of developing a market data gateway. When implementing the depth (restricted to several rows in a book Market By Order) I have a concern in the following scenario.
Re: Execution report (Filled) for multileg security
Helga Mann / - 21 Feb 2011 5:31AM ET
Let me explain with an example. I have two TSM order like this:
FIX <-> FIXML conversion - using FIX repository
Andy Key / Standard Bank 21 Feb 2011 4:39AM ET
I am considering whether it is practical to build a FIX <-> FIXML converter that uses the FIX Repository as its configuration.
Re: Setting values for fields in repeating groups
Alexander Rivkind / B2B ITS 18 Feb 2011 12:21PM ET
> > I have thus far managed to get a UDF defined in a repeating group. But every time a Message is generated out of it, the UDFs of all repeating groups are pushed at the end of the last repeating group.
Re: Execution report (Filled) for multileg security
Hanno Klein / Deutsche Börse Systems 18 Feb 2011 12:19PM ET
Not sure I fully understand your scenario. A multileg order is similar to a single leg order, only with a more complex object that is being traded and which has to be pulled apart into its pieces (legs) to be able to clear and settle it. With this analogy, I wonder how you can match your two orders other than on the fact that they have the same price (one seller, one buyer) and same quantity (buyer or seller might not be completely filled if desired quantities are different). Zero is a valid value for a spread but it sounds as if you would like to always set LastPx to zero which I would not understand.
Re: Finally...we are done !!
Frank HONAN / Honan Inc 18 Feb 2011 11:57AM ET
Did you hear from Sanjay at all?
Re: Setting values for fields in repeating groups
Ryan Pierce / CME Group 18 Feb 2011 10:54AM ET
> I have thus far managed to get a UDF defined in a repeating group. But every time a Message is generated out of it, the UDFs of all repeating groups are pushed at the end of the last repeating group.
Re: FIXML namespaces
Andy Key / Standard Bank 18 Feb 2011 10:17AM ET
Yikes, a third possibility for the FIXML attributes
Re: FIX <-> FIXML conversion - test data
John Unwin / KaiTrade 18 Feb 2011 10:08AM ET
Andy,
Re: FIXML namespaces
John Unwin / KaiTrade 18 Feb 2011 10:01AM ET
I would either use eithe rno namespace as follows:
Re: FIX <-> FIXML conversion - using XSDs
Andy Key / Standard Bank 18 Feb 2011 9:56AM ET
Jim, thanks for the reply. I know we have spoken about this in the past. :-)
Re: Sequence number
eugene eugene / Thomson Reuters 18 Feb 2011 9:39AM ET
> > Can anyone help me to know can we increase and decrease sequence number i.e. TAG 34.
Re: FIXML namespaces
Andy Key / Standard Bank 18 Feb 2011 9:36AM ET
So the root FIXML element namespace can be
Re: FIX <-> FIXML conversion - using XSDs
Jim Northey / The LaSalle Technology Group 18 Feb 2011 8:27AM ET
We modified the metadata between versions to improve quality and usability of the metadata. Not 100% sure we are yet providing enough information to use the XSD as your tool for translation. The FIX Repository might be a better place to start.
Re: FIXML namespaces
Jim Northey / The LaSalle Technology Group 18 Feb 2011 8:24AM ET
Most users of FIXML in the post trade space do not include the namespace in their messaging applications and do not do run time schema validation.
Re: Sequence number
Javin Paul / I 18 Feb 2011 7:38AM ET
> Can anyone help me to know can we increase and decrease sequence number i.e. TAG 34.
Re: 4.0 & 4.2 differences
Javin Paul / I 18 Feb 2011 7:32AM ET
> Can someone tell me the differences between FIX 4.0 and FIX 4.2 please.
Re: Setting values for fields in repeating groups
Anonymous User / Citi 18 Feb 2011 6:49AM ET
I have thus far managed to get a UDF defined in a repeating group. But every time a Message is generated out of it, the UDFs of all repeating groups are pushed at the end of the last repeating group.
FIXML namespaces
Andy Key / Standard Bank 18 Feb 2011 6:33AM ET
In various places, I see sample FIXML documents with no namespace definitions, eg:
FIX <-> FIXML conversion - using XSDs
Andy Key / Standard Bank 18 Feb 2011 6:23AM ET
I am testing the idea that FIXML can be converted to FIX tag=value and back, by reference to the FIXML XSD files.
FIX <-> FIXML conversion - test data
Andy Key / Standard Bank 18 Feb 2011 6:06AM ET
Can anyone point me at a set of test messages in both FIX and FIXML forms?
Re: Scope of HFT working group in terms of the phases of trade life cycle expected to be covered
John Harris / BondMart Technologies, Inc. 18 Feb 2011 5:59AM ET
Thanks, Mahesh. My replies are preceded with +++.
Re: Execution report (Filled) for multileg security
Helga Mann / anonymous 18 Feb 2011 4:58AM ET
Thanks for your replay. Just to precise. The price for multileg security is applicable only if legs are from the same product, otherwise it shouldn't be specified at all. I have two TSM-order matched, each with tree legs. Would in this case zero be a valid value for LastPx(31) and AvgPx(6) as well?
Re: Scope of HFT working group in terms of the phases of trade life cycle expected to be covered
Hanno Klein / Deutsche Börse Systems 18 Feb 2011 2:56AM ET
> [...] My view is that the future architecture would be diverging with Market Data over FAST over UDP, Trade Messaging over HFT over TCP and Settlement / post trade activities happening using FIXML over MQ.
Scope of HFT working group in terms of the phases of trade life cycle expected to be covered
Mahesh Kumaraguru 18 Feb 2011 2:25AM ET
Thanks for your feedback. I am renaming this branch thread since we have started discussing the scope of our working group in terms on the phases of trade life cycle expected to be worked on by our presently named "High Frequency Trading" working group.
Re: Compiling use cases / test cases for HFT
John Harris / BondMart Technologies, Inc. 17 Feb 2011 2:17PM ET
Trading is one phase or activity in portfolio or market-position management. Imagine that a trader has reached a satisfied state. He takes in new information. This information unsettles him. He evaluates whether he should act. He decides to act. He submits an order. He receives order-state information. If executed, he settles his obligation and returns, however briefly, to a satisfied state. Repeat process.
Re: Execution report (Filled) for multileg security
Hanno Klein / Deutsche Börse Systems 17 Feb 2011 11:47AM ET
The multileg security has a price and a quantity of its own in addition to the quantities and prices of its legs which might be calculated based on ratios. A multileg with two legs representing different expirations might have a price of -1 (aka spread price) and leg prices of 101 and 102. Trade data for each leg is no in <InstrumentLeg> which mereley identifies a leg but are in the other fields of <InstrmtLegExecGrp>, specifically LegLastPx and LegLastQty.
Re: Setting values for fields in repeating groups
Anonymous User / Citi 17 Feb 2011 11:41AM ET
Ok, so having UDFs in repeating groups is definitely a possibility. I was beginning to question the very possibility of adding Custom tags to Repeating groups.
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This webpage continues for very very long.
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I was expecting to see only posts from HFT forum listed under search results of HFT forum.
Regards,
K. Mahesh
@FIXProtocol
