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Features specific to Full Amount version

Interpreting market data updates from Whisperer

Market data is presented to API client in consolidated amounts per price level. Each entry is a sum of one or more volume rungs available at given price. To work out available amounts per price client needs to examine components field e.g. price=1342070000 components="20000000+25000000" indicates that there are two rungs , 20M and 25M , both available at 1.34207

Relationship between inbound and outbound market data updates

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Testing revealed rare cases when feed handler receives updates which simply replace one order with a new one having the same quantity and price. Such even will generate update message without updating anything in client’s market view. This condition becomes common and very frequent if client selects CBOE 5-msec-Pulse pricing product instead of more popular Top-of-book. 

Another, more prevailing case, is when multiple LP's contribute to Top-of-book data stream resulting in update with total amount and price unchanged, but updated composition of the total amount e.g. 15 M as ”100000000+5000000” vs. “5000000+5000000+5000000” in components field

 Our Our choice in current implementation was leaving these drawbacks this drawback unhanded in favor of keeping code simple and avoiding solving problem prematurely before it proves to be a problem. All cases can be addressed  We can address it if necessary. Solution will require adding new code which may involve sorting to detect changes in amount composition.

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