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Market Data Handling

Subscription Requests

Snapshot Updates

Incremental Updates (Insert/Update/Delete through the book)

It is up to the subscriber to discard any order-book entries that get implicitly deleted due to insertion of new “better” levels that pushes entries outside the desired MarketDepth level. Such pushed out entries will not be explicitly deleted by MarketFactory.

Order Management

Client Order ID Uniqueness Constraints

These need to be unique for a full trading week rather than a single trading day:

• MF does the uniqueness validation of these, in preference to allowing the possibility of random production issues with random venues.
• Whisperer is bounced on a weekly basis and new ClOrdIDs are added to an in-memory hash 
• NOTE: This means that validation will FAIL after a Whisperer bounce. JIRA required.