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In the classic API, users could request snapshots: a presentation of the price book at a specific moment in time.  In In the SBE implementation, snapshots will only exist in one of two forms:

  • As the first group of MDIncremental/MDEntries you will receive after receiving a SecurityStatus with SecurityTradingStatus.ReadyToTrade.  This message will have a timeArrival and timeExchage set to 0.  Though you still have the SendingTime set in the packet header.  You should not receive any more snapshots after this first message.

  • Every message recieved received for a MDBookType.Quote type feed (Banks)