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I am developing a market-data engine that receives market-data from different futures exchanges. So I need a general format to deal with sources from different exchanges. Protocols like FIX only specifies the transportation but not the format itself. Like which fields should be included, how many fields are there in a piece of market-data, how they are named, etc... Although I can define a general format myself to accommodate the needs to store them and to define an interface to manipulate them, a existing standard or a de facto standard would be best for the problem.
So is there already a (de facto) standard or widely used form for the format and the interface for futures market-data?

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  • $\begingroup$ You mean like FAST? $\endgroup$ – chrisaycock Jul 9 '12 at 1:44
  • $\begingroup$ @chrisaycock AFAIK, FAST is like FIX, which does not specify the actual format content of the market-data. Like how many fields are there in a piece of market-data, how they are named, etc... $\endgroup$ – WiSaGaN Jul 9 '12 at 1:50
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    $\begingroup$ There is no market data standard that specifies the exact fields. That just does not exist. $\endgroup$ – chrisaycock Jul 9 '12 at 2:49
  • $\begingroup$ fixprotocol.org/FIXimate3.0 I don't know if by market data you mean the same as them (PreTrade -> MarketData), you may want to look at QuotationNegotiation -> Quote/MassQuote there. $\endgroup$ – hroptatyr Jul 10 '12 at 6:30

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