an example of a valid FIX logon. (Refer: Select7 FIX Specification, Page 13)
8=FIX.4.4 9=153 35=A 49=MVSTEVE 56=LME 34=1 52=20120522-15:32:39.394 98=0 108=30 141=Y 553=MVSTEVE 95=15 96=m:1337700759333 554=1b94dddb5c4490f419e8d01b0fdbc388f98a8525 10=128
- MDEntry Types(Tag269) & Metal Symbols(Tag 55) both can be specified
How can we ensure to receive all of the Market Data that is available?
We recommend that you avoid making a request that provides all data at once. Please start with the various sample requests defined by FIX Specification Examples.
- Is there any way to request order book snapshots with subsequent updates for the order book in snapshot form?
Yes, it is possible to subscribe to both incremental refresh and full refresh. This option is available with MDUpdatedType (Tag265). Additionally the SubscriptionRequestType (Tag 263) needs to be set to 1 to get the continuous updates.
Yes, there is a dependency, not all MDEntryTypes need to have a symbol provided. The reports are a good example, as none of these reports to a specific symbol.
Yes, you can specify a security list for all securities (Tag 559=4) or a single security (Tag 559=0, Tag55=Symbol required). Please refer to Chapter 6.2
MDEntryPX is the outright price and MDEntryPremium is premium used on Options and TAPOs.
In event of a failover for LMEselect, all orders will be retained. There is synchronous replication between the primary and secondary LMEselect services to ensure that if the primary goes down the secondary service will have a record of all the orders and trades. If users are disconnected during the failover from the primary to the secondary services, all of their order will be made inactive in the LMEselect system. The orders are not called and they can be reactivated upon reconnection of the user.
“Withdrawn” is used by members to withdraw the quote. ”Delete” is used by Market Operations to delete incorrect quote from the system, basically used for corrections. The end results will the same; the quote will no longer be available.
The tag 270 is the outright price of a metals contract, the value in tag 10029 is the differential price between tag 270 and the 3Month contract for the specified metal. If the tag
10029 is expressed as a positive figure, it means the outright price is worth less than the 3Month contract, this is also referred to as a Backwardation. If the tag 270 is expressed as a
negative figure, it means the outright price is worth more; which is referred to as a Contango.
See the example below from a final Evening Evaluation for copper, 10029 has a value of 3.09 – meaning the outright price is worth 3.09 USD less than the 3Month contract:
The Foreign currencies that are published daily in the Final Evening Evaluations are published as outright prices only.
Traded Options will appear as price messages in following format:
When an Option for a futures contract is traded, the CFI code (tag 461) will help you identify whether it is a put or call option. It will display either;
OPAFPS or OCAFPS (Option, Put/Call, American, Futures, Physical, Standardized)
The tag 202 is the Strike price, stating the premium for the specified option.
The tag 269 should display as 2 for a trade.
The tag 270 will display the value of the futures contract the option is be exercised against.
8=FIX.4.4 9=226 35=W 34=77067 49=LME 52=20140519-11:38:28.996
56=XTSCLIAPPSLOMDV 369=364 55=NI 202=17500 262=5 461=OPAFPS 268=1 269=2
270=35 271=50 272=20140519 273=11:38:28.975 277=U 7555=5 7554=3624308
10035=EL 10010=1 10004=S 541=20140903 10=055
No, unfortunately, due to the volume of data going through the feed, we cannot confirm what the last bid, offer or trade was for a certain type of contract.
We can confirm if a certain contract has traded for a given day or if there has been a bid or offer for a specific contract within a trading Day.