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- Process the individual updates contained within the market data message.
- Collect the orders by price level. This is redundant for a PriceDepth book, which is already aggregated.
- Sort prices for each side of the book best to worst. I.e. The Client always sorts the book by price for each side (not MDEntryID).
- For each price level at or above the subscribed MDBookDepth, sort MDEntryIDs smallest (oldest) > largest (newest). Again, this is redundant for a PriceDepth book, which is already aggregated. I.e. the MDEntryID is a secondary key for OrderDepth books, to sort multiple orders at a give price level.
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The presence of any entries outside the subscribed MDBookDepth is unintended behaviour. |
Book Integrity
When processing a Whisperer MarketDataIncrementalRefresh message, Whisperer ensures the overall integrity of the book at the end of the NoMDEntries cycle. During the cycle:
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Overview
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