Page History
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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. theMDEntryIDis 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 |
Book Integrity
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- Whisperer ensures that books will never exceed any specific requested depth - when when implicit deletes are detected, the explicit Delete MDEntry is placed before the New that triggers it.
- Two MDEntries in a PriceDepth book may momentarily have the same price - this typically occurs when multiple MDEntries on one side of the book change their prices up or down, such that the first MDEntry moves to a price level occupied by a different MDEntry that has yet to have it's price modified.
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As well as the EndMarker behaviour outlined above, the client needs to be aware of the following unique attributes of UDP Market Data feeds:
- Line Arbitrage - the
MDSubFeedTypespecifies the UDP market data source for venues which utilise A/B circuits. - Gap Detection - in the event that a UDP message gap occurs, this is reported to the Client User immediately it is detected for each affected subscription, via the publication of a EmptyBook
MarketDatIncrementalRefreshmessage withMDFlags.IsSnapshotandMDFlags.GapDetectedboth set to TRUE. - Gap Recovery - the gap will be resolved by the Gateway utilising the venue's standard Late-joiner logic, and the next message will be a fresh Snapshot (typically, but not always, representing the full book). Thereafter Incrementals will be published as normal.
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Orders
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| It's worth remembering that while all inbound messages will adhere to the same state transition model, there will necessarily be Venue-specific variation in whether and how outbound ExecutionAck messages are handled. |
Order State Transition Diagram
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Order Submission and Modification
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Overview
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