Curious if the binary protocol uses floating point or a fixed point representation? Or is floating point with its rounding issues sufficient for the protocol's needs?
No GP but familiar with these protocols.
They use fixed point extensively; I can't even thing of an exchange protocol which would use floating point since the rounding issues would cause unnecessary and expensive problems.
Prices are integer fields. When converted to a decimal format, prices are in fixed point format with 6 whole number places followed by 4 decimal digits. The maximum price in OUCH 4.2 is $199,999.9900 (decimal, 7735939C hex). When entering market orders for a cross, use the special price of $214,748.3647 (decimal, 7FFFFFFF hex).
For NASDAQ it seems to have been something around 430k / share... Buffett's BRK shares threatened to hit that limit a couple months ago: https://news.ycombinator.com/item?id=27044044
Most of them use decimal fixed point. Sometimes exponent (decimal, not binary one!) is fixed per-protocol, sometimes per-instrument and sometimes per-message, it depends on exchange.
