Data Aggregation and Missing Data

The data in FIX messages can be unordered, and many FIX fields in a message are optional. The RDS format does not support optional values. You may want to change any or all of these behaviors before you invoke the publisher API to send data.

  1. Iterate over the available message and fill in a data structure that represents your required data.
  2. If, after processing, the FIX message does not contain sufficient data, log an error.
  3. If the message contains enough data, call the publisher API to begin processing the correct RDS message, set the field data, and then send the message.

    Note:

    Perform these steps on a per-instrument basis for FIX messages that support multiple instruments. For FIX messages that support multiple destination RDS messages for a single instrument, you may need to concurrently aggregate data for multiple RDS messages, since the FIX data for the different RDS messages may be interleaved.

Parent topic: General Processing Notes