Page History

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1. Process the individual updates contained within the market data message.
2. Collect the orders by price level. This is redundant for a PriceDepth book, which is already aggregated.
3. Sort prices for each side of the book best to worst. I.e.  The Client always sorts the book by price for each side (not MDEntryID).
4. For each price level at or above the subscribed MDBookDepth, sort MDEntryIDs smallest (oldest) > largest (newest). Again, this is redundant for a PriceDepth book, which is already aggregated. I.e.  the MDEntryID is a secondary key for OrderDepth books, to sort multiple orders at a give price level.

Book Integrity

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As well as the EndMarker behaviour outlined above, the client needs to be aware of the following unique attributes of UDP Market Data feeds:

• Line Arbitrage - the MDSubFeedType specifies the UDP market data source for venues which utilise A/B circuits.
• Gap Detection - in the event that a UDP message gap occurs, this is reported to the Client User immediately it is detected for each affected subscription, via the publication of a EmptyBook MarketDatIncrementalRefresh message with MDFlags.IsSnapshot and MDFlags.GapDetected both set to TRUE.
• Gap Recovery - the gap will be resolved by the Gateway utilising the venue's standard Late-joiner logic, and the next message will be a fresh Snapshot (typically, but not always, representing the full book). Thereafter Incrementals will be published as normal.

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Order Submission and Modification

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