If the Feed Handler Fairy could wave its magic wand and insert data "instantaneously" derived from the tick by tick raw data feed, what would you like to see? - instantaeous price/volume "averages" recalculated on every single tick? - entire covariance matrices recalculated every tick? - ETF/ETN vs Components correlations? - etc To carry this information, would you prefer the derived data be added to the original FIX message, or encapsulated in a separate one, leaving the original message untouched? This could quickly become an unbounded exercise - lets bound this by saying no more than 100 symbols at a time for any given calculation, and no history longer than, say, 2 minutes, since anything that slow doesn't need bump-in-the-wire speed anyway. And assume this is for simple asset classes like equities or futures - the universe of possibilities for something like options is just...massive. Can discuss that another time.