The London Stock Exchange’s Market Data Woes

The LSE experienced some problems with their switch to the new platform, apparently related to market data, and specifically to the market data provided via the FIX interfaces. Unfortunately, this has put FIX Protocol Limited into a position where it needs to defend itself. I find it laughable that someone would even think to blame the format of the messages, as if using one format over another has anything to do with the data being incorrect. It doesn’t take a rocket scientist to figure out that the most likely cause is the implementation of the FIX engine in the new LSE system as being the culprit. The data that is being delivered over the ITCH connections is apparently correct. If ITCH is correct, and the data is correct going into the FIX engines, then that tells me that the FIX engines themselves are the issue.

Sadly,  it wouldn’t surprise me that there might be people deriding this is a FIX problem. Granted, FIX isn’t without it’s issues, part of which stem from the nature of how it has evolved over time. But the choice of format will have nothing to do with the actual data being wrong. Thousands and thousands of firms send millions of orders worth billions of dollars every day using FIX, and they do so without issues. This isn’t a problem with the format, it is a problem with the implementation of it in the particular case.