Support Board
Date/Time: Sun, 22 Dec 2024 15:01:03 +0000
Post From: Eurex aggressor side
| [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? |