HSI / HKFE Exchange Engine Format - For Reconstructed T&S Setting

May 10th, 2016, 10:05 AM

Hi there,

I have an indicator on Ninjatrader which is a reconstructed T&S i.e. it puts the orders back together from the exchange (i.e. it represents the market orders in the T&S not the resting orders the market orders hit). Sound confusing? I would suspect if you know what I'm talking about you might know the answer and if you don't then it is unlikely you will.

I know CME have moved back to their old format before they went to Fix/Fast making reconstructed T&S pretty much redundant. Eurex haven't so for example when trading FDAX reconstruction is useful to see the market orders driving the market.

I can't find any information on the HKEX where HSI is traded which as an aside looks like a brilliant little contract (moves very much like FDAX). Does anyone know the format HKFE they use? Google hasn't been able to answer for me...

Thanks for your assistance in advance.

May 10th, 2016, 11:23 PM

Ok this is a reply I got from the indicator developer;

"HKEx Orion Market Data Platform (OMD) was switched from FIX/FAST to so called Binary protocol (in the mid of 2012, if I'm not mistaken).
I cannot say which exactly impact (besides data feed speed up) did this has on the trade aggregation by the OMD platform, unfortunately. So I would prefer to use 'Hybrid Aggregation' option inasmuch as this technique is quite universal and may work well with different exchanges."

The hyrbid option on the tape worked well this morning. Case closed...

HSI / HKFE Exchange Engine Format - For Reconstructed T&S Setting

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HSI / HKFE Exchange Engine Format - For Reconstructed T&S Setting