Page History

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• On starting the subscription, the local book is regarded as empty. For the the first update the client receives, all MDEntries will specify NoMDEntries[*].MDUpdateAction = New, so the value of and MDFlags.IsSnapshot is immaterial in this case and Whisperer may mark the first update as a snapshot, or not, depending on the venue= TRUE.
• Snapshots may be delivered at any time in the life of the subscription. This is particularly important for connections to UDP multicast feeds where dropped packets must trigger book/session recovery.

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• All    - MDEntryID and MDUpdateAction are always provided.
• Delete  - by definition the entry is no longer valid, so there is no need to redeliver the state of the outdated entry.
• New    - all other available fields will always be provided.
• Change - typically, only the fields that have changed will be provided.

MDEntryTypes

The following MDEntryTypes are used to manage the state of the Book:

• Bid, Offer
• ImpliedBid, ImpliedOffer - e.g. for CME - FXSpot+ via ebs_market_mdp3_sbe, ebs_market_mdp3_sbe_udp and FXLink via cme_mdp3_sbe_udp
• EmptyBook

All other MDEntryTypes represent monotonic attributes of the market data feed, for example Trade Ticker events, statistical measures (High, Low, Close etc).

Empty Book Handling

An empty book may occur in one of two ways:

• Explicit publication of an EmptyBook snapshot
• The implicit result of the incremental deletion of the last remaining entry(ies).

When clearing the book, only entries that form the book should be cleared. All other MDEntryTypes should be left alone.

Book Depth

Where clients subscribe for custom book depths against a given Venue, it is important to understand that entries that are pushed below the requested depth by more competitive orders will not necessarily result in an explicit Delete being delivered by the Venue for Whisperer to process.

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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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