Certainly for decimalized exchanges, binary floating point is the wrong choice. (On a side note, it's also the wrong choice for spread sheets, at least as the default. The average freshly graduated accountant can have a reasonable grasp on decimal floating point rounding after a 5 minute explanation, whereas most professional software engineers with a decade of experience have a very weak understanding of IEEE 754 binary floating point.)
> E.g., you won't find floating point fields in binary protocols for any of the major stock exchanges.
That's true of NASDAQ's OUCH, but some (many?) other protocols use decimal floating point.
NYSE's UTP Direct[0] (See section 4.15) Is not fixed point, but actually their own decimal floating point system with a 32-bit significand and single ASCII character exponent ("0" to "6", indicating negated base 10 exponent, not allowing "5").
FIX SBE uses an 8 byte significand and a 1 byte (power-of-10) exponent, if I remember correctly.
It's a bit unfortunate that (as far as I know) there aren't any major messaging formats supporting IEEE 754-2008 decimal64 values.
> E.g., you won't find floating point fields in binary protocols for any of the major stock exchanges.
That's true of NASDAQ's OUCH, but some (many?) other protocols use decimal floating point.
NYSE's UTP Direct[0] (See section 4.15) Is not fixed point, but actually their own decimal floating point system with a 32-bit significand and single ASCII character exponent ("0" to "6", indicating negated base 10 exponent, not allowing "5").
FIX SBE uses an 8 byte significand and a 1 byte (power-of-10) exponent, if I remember correctly.
It's a bit unfortunate that (as far as I know) there aren't any major messaging formats supporting IEEE 754-2008 decimal64 values.
[0]https://www.nyse.com/publicdocs/nyse/markets/nyse/NYSEUTPDir...