Integral Market Data Connector
Integral Data Connector based on FIX protocol.
Configuration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| Host | N/A | FIX server host. |
| Port | N/A | FIX server port. |
| SenderCompID | N/A | SenderCompID of FIX session. |
| SenderSubID | N/A | SenderSubID of FIX session. |
| TargetCompID | N/A | TargetCompID of FIX session. |
| User Name | N/A | User name for FIX session. |
| Password | N/A | Password for FIX session. |
| Exchange Name | INTEGRAL | Exchange name for this session. |
| DeliverToCompID | ALL | The liquidity provider organization's ID if the message is intended for a specific provider (tag #128). To receive prices from all providers in a single combined message, set this property to ALL. You can then specify whether you want the prices merged or not with the "Aggregated Book" property. To receive prices only from selected providers in a single combined message, set this property to a comma-separated list of provider IDs. You can then specify whether you want the prices merged or not with the "Aggregated Book" property. If this property is left empty, then you subscribe to all providers and receive a separate market data message for each provider. Instead of this approach, Integral recommends that you establish separate FIX sessions for each liquidity provider. Possible values: ALL, comma-separated list of provider IDs, single provider ID, empty value. The value should not be empty in case when "Use VWAP Aggregation" property is set to true. |
| Aggregated Book | true | Specifies whether or not book entries should be merged (tag #266). For an aggregated full book, this property value must be set to true and "DeliverToCompID" property must be set to ALL. If "Use VWAP Aggregation" property is set to true, then prices are sent aggregated in a single market data message as a multi-tier quote. |
| Use VWAP Aggregation | false | Set aggregation type to VWAP (tag #7548). |
| Requested Size | N/A | Specifies the size of the tier (tag #7546). The value should not be empty in case when "Use VWAP Aggregation" property is set to true. If multiple tiers are required, use commas to separate tier values. The following size shortcuts are supported: K, k, M, m, B, b. For example: "2000000,3000000". |
| Output Book Size | 20 | Size of the output book. Zero means full book. |
| Filter Closed Quotes | true | Filter out quotes with QuoteCondition (tag #276) == "B" (Closed/Inactive, stream is inactive and the last quote is not tradable). |
| Omit Default Values For FIX Tags | false | This option allows you to omit sending default values for specific FIX tags. By default, the data connector sends values for all FIX tags specified in the data vendor's documentation. In some configurations, the data vendor recommends do not send default values for some specific FIX tags. If this option is selected, the data connector will not send default values for the following FIX tags:
Default value for this option is false. |
| Start Time | 17:00:10 | Start time of the session in the 24-hours format (HH:MM:SS). Default value is 17:00:10. |
| Start Day | N/A | Day of week of session start. For daily session Start Day and End Day parameters should be empty. In this case, the session starts at Start Time and finishes at End Time every day. Default value is empty. |
| End Time | 16:59:50 | End time of the session in the 24-hours format (HH:MM:SS). Default value is 16:59:50. |
| End Day | N/A | Day of week of session end. For daily session Start Day and End Day parameters should be empty. In this case, the session starts at Start Time and finishes at End Time every day. Default value is empty. |
| Time Zone | America/New_York | Time zone of start/end session time. Default value is America/New_York. |
Symbology
| Symbol Notation | Examples |
|---|---|
<CURRENCY/PAIR> (upper case) | AUD/CAD EUR/USD |