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Workflow and supported messages
After logon and any time after the gateway will send SecurityStatus messages as they are received from the venue. The gateway will accept MarketDataRequest and send MarketDataIncrementalRefresh and EndMarker (U3).
EBS market data subscriptions are keyed by the EBS symbol. To determine the EBS symbol the gateway uses the Symbol, SecurityType, LegSettlType and NoBodyPassthruFields.BodyPassthruValue with BodyPassthruKey "SEFRegulated". The SecurityGroup, if populated, overrides the former mapping and used directly as the EBS symbol. All mentioned fields are received in the SecurityStatus message.
The subscription type should be PriceDepth.
MarketDataIncrementalRefresh
The MarketDataIncrementalRefresh may have various MDEntryType , based on the message received from the venue:
| EmptyBook | Bid | Offer | BestBid | BestOffer | Trade | TradePaid | TradeGiven | |
|---|---|---|---|---|---|---|---|---|
| SnapshotFullRefreshTCPLongQty68 | X | X | X | X | X | |||
| MDIncrementalRefreshBookLongQty64 | X | X | X | X | ||||
| MDIncrementalRefreshTradeSummaryLongQty65 | X | X | X | |||||
| ChannelReset | X |
Passthru Fields:
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Please refer to Passthru Fields for the full Enterprise table across all venues.
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