Correction: FAST udp multicast marketdata ver. 4.5 is available for public testing
Per clients' requests, we made the following final changes of data formats in FAST udp multicast ver.4.5 service for Equities and FX markets that is in public testing stage before planned release on March 20, 2017.
1. To avoid confusion while adding leading zeroes to SendingTime (52) tag value in January-September, and to provide uniqueness of values for the nearest 83 years, the data format in FAST udp multicast 4.5 will has been changed to unt64 in a form yyMMDDHHmmSSuuuuuu with fixed length of 18 digits, where yy - last pair of digits in the year number (17 for year 2017), MM - month number, DD - day number, HH - hour number, mm - number of minutes, SS - number of seconds, uuuuuu - fraction of a second rounded to microseconds. Each part of formatting template has fixed length. Zeroes are added where necessary.
Example: 52=170125080709000030 is for a timestamp of 2017-01-25 08:07:09.000030 in human-readable format.
2. New field LastUpdateTime (779) has been added to MSR/MSS channels. Field format is yyMMDDHHmmSSuuuuuu as described above. The meaning of the field is a timestamp of the last processed transaction in the trading system, for which an incremental update to MSR channel, relative to the previous updated is published. While comparing data from MSR, OLR, TLR incremental updates you can now detect, which update contains most recent data by comparing tag 779 value of MSR channel to timestamps from tags 273 and 9412 in OLR and TLR channels.
For massive events per an instrument like hitting multiple trades by single order, MSR feed is statistically published earlier than bulk OLR and TLR data in the majority of cases. However, the MSR precedence is not guaranteed. Using LastUpdateTime you can determine that MSR is definitely published ahead of OLR and TLR data and use MSR data for preliminary estimate of OLR and TLR changes.
For example, consider you receive MSR update with 779=170125080709000030 and with best sell price jumping up by 5 price steps. You have OLR state as of 273=2017-01-25 08:07:08 и 9412=999900. To get new OLR state estimate for a time of 273=2017-01-25 08:07:09 and 9412=30 you can remove all sell orders with prices less than new best sell price. You can correct estimate later after receiving OLR update. You can also estimate total trades count, volume, and last trade data for an instrument by MSR update if tag 779 value is greater than the last received TLR feed timestamp in tags 273 and 9412.
The changes in test environment are available starting from January 27, 2017.
Updated FAST template is located at ftp://ftp.moex.com/pub/FAST/ASTS/template/March2017_release/FIX50SP2-2017-Mar.xml
Updated documentation is located in the ftp://ftp.moex.com/pub/FAST/ASTS/docs/March2017_release/ folder.
For further information, please contact the Public Relations Department at (495) 363-3232.