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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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• Line Arbitrage - the MDSubFeedType specifies 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 MarketDatIncrementalRefresh message with MDFlags.IsSnapshot and MDFlags.GapDetected both 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.

Orders

The Orders workflow is always normalised and consistently implements the state transition model as outlined in the diagram below. Where Venue events are absent, synthetic equivalents are generated by Whisperer in their place. These messages are easily discernible by reference to the TradingFlags.IsSynthetic field.

Order State Transition Diagram

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Order Submission and Modification

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