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Comment: Published by Scroll Versions from this space and version 1.4.55

A major version change (v19456) is scheduled for w/e 28 February 12 April 2024, which will include changes that are not backwardly compatible.

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Warning
titleAPI Change Detail

MarketFactory is building MarketData connectivity to venues where Price-Depth market data books regularly contain 300+ entries and it is not currently possible to deliver the full book as received from the venue.

The Whisperer schema has historically used uint8 as the primitive type for it's SBE group dimension encoding composite data types, which restricts the maximum number of repeating group entries to 255. 

The Whisperer schema will be changed so that the group dimension encoding utilises a uint16 primitive type instead - supporting a maximum of 65535 entries and eliminating this arbitrary constraint.

Although catalysed by MarketDataIncrementalRefresh messages, this change will be applied across all repeating group instances. This is to avoid any possible reoccurance of this problem for other use cases, such as pre-trade allocations.

No fields or other values are changing,  the impact of this API change is thus as follows:

  • SBE clients must regenerate stubs against the new schema version to ensure that the codecs correctly reflect the extra bytes occupied by the composite data types.
  • FIX protocol clients are unaffected.

Details of the changes are documented in the pages below:

  • SBE Schema
    • FIX Protocol

    New schema and dictionary files are attached, below.

    Attachments