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Comment: Published by Scroll Versions from this space and version 1.2.0

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Gliffy Diagram
displayName4.0 Schema_MarketDataRequest_CLOB.01
name4.0 Schema_MarketDataRequest_CLOB.01

Subscription Response

Note
titleSubscription Response

The client will receive an immediate response to an invalid MarketDataRequest.

However, the client may not always receive an immediate MarketDataIncrementalRefresh in response to a valid MarketDataRequest stream subscription:

  • There may be an interval of several minutes before the first MarketDataIncrementalRefresh is received by the client.
  • The venue may never respond.

A Venue's response actually depends on the instrument being traded, time of day and venue-specific behaviour.

The client may wish to implement a timeout mechanism to unsubscribe and then either:

  • Mark the instrument as unavailable.
  • Resubscribe. Generally this is of very little value and is not recommended.

SecurityStatus Messages

SecurityStatus messages communicate static attributes of each instrument supported by the Venue and are delivered on successful connection to a CLOB Pricing session.

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  • OrderDepth - MDEntryID provides a unique identifier of that individual Order, as and when the order is modified it's ID will change. Additional linkage information may also be provided by the venue so the market data consumer can track each individual order through it's entire lifetime. Whisperer currently delivers this in the NoEntryPassthruFields block, if available.
  • PriceDepth - here the MDEntryID represents a specific side/price level and so could be used to give the correct book ordering. Typically it will be a string representation of either the price itself, or the level within the book (position number).


Info
titleMDEntryID Uniqueness

The MDEntryID is guaranteed to be unique through the MDUpdateAction lifecycle for the parent subscription only:

  • Previously deleted IDs may be re-used in the lifetime of the subscription.
  • Previously used IDs may be used across subscriptions and sessions.

In order to ensure a consistent processing model across both book types, the client may implement an efficient equivalent of the following:

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