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Author Topic: FIX market data feed for all exchanges - early developer access  (Read 1700 times)
nimnul
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May 24, 2013, 12:02:51 PM
 #1

The unencrypted TCP feed supports both orderbooks and trades for all exchanges supported by bitcoin-analytics.com service owned by me and genuise. Data are semi-realtime for now - we send aggregate messages every 15 seconds.

On logon unsolicited MarketDataSnapshotFullRefresh (W) messages with full-depth price-depth orderbooks are sent for every exchange:

MarketDataSnapshotFullRefresh (W)

Symbol
NoMDEntries
+ MDEntryType (0 or 1)
+ MDEntryPx
+ MDEntrySize

After that synchronous trades and order book deltas are sent:

MarketDataIncrementalRefresh (X)

NoMDEntries
+ MDUpdateAction
+ Symbol
+ MDEntryType (0, 1 or 2)
+ MDEntryPx
+ MDEntrySize

Orderbooks are as full as exchange API allows. For example, BTC-E only provides top 150 entries. Since data volume is relatively low, further reduction of market depth as provided by MarketDepth field of MarketDataRequest (V) is not implemented.

We built an open-source PoC quickfix/python client to demonstrate interoperability with other FIX implementations.

If you are familiar with FIX protocol and interested in free pre-release access let us know. Our goal at this point is to polish technical details and collect feedback from devs working with FIX feeds in fiat financial industry.

We will charge monthly subscription fee after the release.

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Loozik
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May 25, 2013, 04:56:14 PM
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If I am correct FIX protocol is used only for real-time data, not for historical data. Do you have plans to stream historical data as well?

Thanks
nimnul
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May 27, 2013, 08:40:30 AM
 #3

 In this release only the realtime feed will be provided.

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May 28, 2013, 04:04:58 PM
 #4

Data are semi-realtime for now - we send aggregate messages every 15 seconds.

When you launch your service, will the data feed be event-based (tick), and will millisecond timestamp be supported?

We will charge monthly subscription fee after the release.

What will be the monthly price for:
- realtime only
- history + real-time?

Thanks
nimnul
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May 28, 2013, 05:30:55 PM
 #5

will the data feed be event-based (tick), and will millisecond timestamp be supported?
Quoting FIX homepage, The Financial Information eXchange ("FIX") Protocol is a series of messaging specifications for the electronic communication of trade-related messages. It has been developed through the collaboration of banks, broker-dealers, exchanges, industry utilities and associations, institutional investors, and information technology providers from around the world.

So yes, the protocol is realtime, event-based, and supports millisecond precision for timestamps.

Electronic trading in fiat has been there since 1970s, but Bitcoin exchanges are not that mature. We cannot provide a true realtime feed with millisecond timestamps if exchange API don't provide these data to us.

For most exchanges (in fact all but MtGox) we collect data by polling their public REST API every 15 seconds. We will push events to the clients as we get data from polling. So our service is a mere translation of proprietary protocols into an interoperable industry-standard protocol.

You won't get better realtime than with public exchange APIs, but better interoperability with existing financial software and data unification between exchanges.

Of course as exchanges collaborate with us to provide better raw feeds or publish better APIs our consolidated standard feed will improve too.

What will be the monthly price for:
- realtime only
- history + real-time?
We don't really know yet. FIX feed is a niche product for professional traders and institutions. We expect only a few subscribers. The demand for data is lower than for visualization, so the price will probably be higher.

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