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changes.mady.by.user Rob Purdy

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changes.mady.by.user Matthew Whitaker

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• Only pure entries are provided. We aggregate updates by price level.

• This feed provides streamed data and is not time-sliced.

• The Hotspot FIX market-data feed provides only full snapshots of the order book, while the Hotspot ITCH market-data feed provides streaming incremental updates. In both cases, we translate this into incremental updates to streamline processing.

• Hotspot also provides an unaggregated feed, which will be supported in a future version of the MFAPI.

• exTradeID contains the exchange-side TradeID (FIX tag 1003) as set by Hotspot.