Comments (8)
@jvirtanen IIRC, the NYSE OpenBook format supports configurable fractional part. Perhaps worth taking a look?
from parity.
@penberg Thanks! I'll have a look at that.
from parity.
As a first step, the TAQ file format gets configurable fractional part for both prices and sizes in #74.
from parity.
Genesis needs configurable fractional part for both prices and sizes.
Here is my current road map for implementing this feature:
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The trading system will operate on the minimum price and size increment.
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The network protocols will operate on the minimum price and size increment.
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The FIX gateway, terminal client, stock ticker, and trade reporter will get new configuration settings to specify the fractional part for both prices and sizes:
instruments { AAPL { price-fraction-digits = 2 size-fraction-digits = 0 } ETH-BTC { price-fraction-digits = 8 size-fraction-digits = 8 } }
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The terminal client, stock ticker, and trade reporter will get new configuration settings to specify the integer part for both prices and sizes for pretty printing:
price-integer-digits = 8 size-integer-digits = 8
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The network protocols will start using 64-bit unsigned integers for price and size.
from parity.
Not sure this entirely belongs here, but worth considering how to represent null or max/min prices. For example in SBE you can define null values as part of a composite type such as
<composite name="PRICENULL" description="Price NULL">
<type name="mantissa" description="mantissa" presence="optional" nullValue="9223372036854775807" primitiveType="int64"/>
<type name="exponent" description="exponent" presence="constant" primitiveType="int8">-7</type>
</composite>
This is e.g. useful when an orderbook gets cleared end of day, or on startup an orderbook is only partially populated but still distributes the data. Like that a consumer can distinguish valid from invalid prices.
from parity.
@jheusser That's a good point. Currently there's no concept of a null price, and tools, such as the stock ticker, rely on zero quantity to indicate missing data.
from parity.
See #91.
from parity.
Closed by #91.
from parity.
Related Issues (20)
- Trade method in MarketReporter doesnt have the execution price HOT 2
- Matchnumber starts with 1
- Cancel Order is missing to be reported to MarketReporter
- Pricing less then 1 is received as 0 in MatchingEngine HOT 1
- How to define size-fraction-digits in parity system application? Why Instrument.java is not used in Parity System in Matching Engine HOT 3
- Broken Pipe Exception on Parity Client HOT 3
- canceledQuantity of event Cancel wrong HOT 3
- Just New on here HOT 2
- System and fix application are in memory? HOT 1
- Matching Engine's OrderBook not cleared after order Match event HOT 2
- How to close any connection with system and client HOT 3
- Hi @jvirtanen , How to close connection code wise without terminal client terminates. HOT 1
- Do not depend on Foundation HOT 9
- Cannot login to a TCP connection for market-data HOT 1
- Market Orders HOT 2
- simulator throwing exception/not connecting HOT 1
- How do i connect to a ITCH host that using https. i keep on getting an error that the connection was refused HOT 1
- support post-only orders
- Full market depth HOT 1
- Modify Price - Pending Modify HOT 1
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