In the classic API, users could request snapshots: a presentation of the price book at a specific moment in time. In the SBE implementation, snapshots will only exist in one of two forms:
- As the first group of MDIncremental/MDEntries you will receive after receiving a SecurityStatus with SecurityTradingStatus.ReadyToTrade. This message will have a timeArrival and timeExchage set to 0. Though you still have the SendingTime set in the packet header. You should not receive any more snapshots after this first message.
- Every message recieved for a MDBookType.Quote type feed (Banks)
Overview
Content Tools