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Direct MessagesDate/Time: Sat, 20 Apr 2024 10:38:59 +0000
Eurex aggressor side
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| [2015-08-10 15:00:19] |
| Spinoza - Posts: 62 |
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I know this topic has been discussed in depth on numerous occasions but I found this in the fixwiki: "Currently there is no standard way to indicate the side of an aggressor. A new field, AggressorSide, is planned. See discussion at http://fixprotocol.org/discuss/read/713a73ee. Some exchanges have already implemented AggressorSide as user defined fields: ;Eurex: AggressorSide (1=Buy/2=Sell) ;CME: AggressorSide (tag 5797) - Aggressor side of a trade in a central order book. 1: Buyer 2: Seller" and then at http://www.mds.deutsche-boerse.com/blob/7652/f2b7f1bdd8613d14cf13d47f5b567872/eurex-market-and-reference-data-interfaces-data.pdf and on page 99 it shows 28731 > AggressorSide N Aggressor- Side (enum) Side of the incoming order, which created the trade. Only present for MDEntryType=2. Value Description 1 Buy 2 Sell So is this data available on the sc feed or does it require a different type of feed? |
| [2015-08-10 19:01:01] |
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As a practical matter because we do not have access to the EUREX FIX data feed ourselves, this is going to be an incredibly difficult field to provide and use.
Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-10 19:01:34
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| [2015-08-10 19:08:43] |
| Spinoza - Posts: 62 |
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OK, thanks for the reply - sorry to drag the issue up yet again. I asked IQFeed the same question and they don't include it either. I guess this one of those areas where the retail trader is at a disadvantage trading Eurex products. |
| [2015-08-11 05:28:43] |
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This is one reason why DTN and Barchart should adopt the DTC protocol because the DTC protocol supports this field. Refer to: https://www.sierrachart.com/index.php?page=doc/doc_DTCMessageDocumentation.php#Messages-MARKET_DATA_UPDATE_TRADE Sierra Chart Support - Engineering Level Your definitive source for support. Other responses are from users. Try to keep your questions brief and to the point. Be aware of support policy: https://www.sierrachart.com/index.php?l=PostingInformation.php#GeneralInformation For the most reliable, advanced, and zero cost futures order routing, *change* to the Teton service: Sierra Chart Teton Futures Order Routing Date Time Of Last Edit: 2015-08-11 05:28:57
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