I am newbie in fix protocol. I would like to know how I can work with bars (candles) in the fix protocol? I mean subscription to bars from client-side and what type of message I can use to send bars from server to the client? I tried to find a suitable message on http://fixwiki.org/fixwiki/Category:Message but unfortunately I found nothing.

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    $\begingroup$ How would that even work? $\endgroup$ – Bob Jansen Mar 8 '15 at 19:47
  • $\begingroup$ I forgot to say I am developing a system based on QuickFIX/n. I need to create as a client part and the server part. I would like to know. What commands in the fix protocol used for subscription and sending bars? As I understood to subscribe to the bars I need to use MarketDataRequest in client-side and XMLnonFIX for sending bar in server-side? $\endgroup$ – Alex808 Mar 9 '15 at 6:57

FIX is a lower level thing. It's more like message by message, quote by quote, and trade by trade.

I think the closest message to what you want would be a MarketDataRequest. If your high and low are values for the trading session then they're in there. Otherwise, you're starting with price by trade.

I believe that for what you're describing you need to cache time stamped values and do calculations on intervals to make bars. It might make economic sense for a vendor to use their best guess at a FIX like spec for messaging bar data. You have a lot of fun architecture decisions ahead.

I'm going to add a large grain of salt for you to take this with. FIX is a dynamic protocol (what I thought I knew today might have been ancient history yesterday) and I have always used someone else's FIX solutions in production though I tinkered with my own in testing a couple of years ago.


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