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snapshots vs. incremental There are two types of market-data updates. A Snapshot sends all the market-data available (Pure, Structured, Trade) for the particular Feed/Market combination. An Incremental update sends only the information that has changed.


requesting snapshots A Snapshot is the first message received following a successful subscription receiving a SubscriptionEventMessage message handled by onSubscriptionEvent where the status field in the message is set to ENABLED). A snapshot can be empty which means that the order book is empty. Following the initial snapshot, incremental updates are sent. Under certain conditions, additional snapshots are sent. This is a result of the FeedHandler re-syncing with the Trading Venue. The Customer Application must be prepared to process either. A snapshot can be explicitly requested via the requestSnapshot() method.


Processing Snapshots To process empty snapshots, clear all entries and replace them with the values provided.

For snapshot updates, the updateAction field is always set to NEW.


Processing Incremental Updates updateAction applies only to Pure Entries, which are indexed by price.

Possible values of updateAction are:

1. NEW Indicates the addition of a new price level and amount to order book.

2. DELETE Remove price and amount from the order book. (Amount is set to 0)

3. CHANGE Update amount at the corresponding price level.

Batching?

TBD 

Trading Venues either stream data (sending updates as they occur either as a snapshot or incremental) or batch changes into a single update, sent at regular time intervals. A batch update may require one or more messages from the Trading Venue. Several Markets may change in the original batch update but not all Market updates are guaranteed to arrive at the same time if they are split over multiple messages.... to be completed