Structured Entries are used to encapsulate the different market conventions used by Trading Venues. (They are called "Structured" because they represent market data structures outside of a pure order book.) They are only populated where applicable and therefore may not be available in all updates. The price and amount fields may take on special values, which are described in the following section.
Below are the different types of Structured Entries:
Table 6. Structured Entry Enumeration Structured Entry Enumeration (MDElement.*) Definition
AMOUNT_CONS Amount Constraint: is the worst price that needs to be paid or given to be able to trade a fixed minimum amount. This amount is specified by the Trading Venue and varies by currency pair. (This applies specifically to the "Reuters Standard Quantity". )
SPREAD_CONS Price/Spread Constraint: is the total amount that is available from the top of the book up to a fixed number of price levels away from the top of book. In this case, the amount varies, while the price level remains fixed relative to the top of the book.
EXCHANGE_BEST Trading Venue's Best Price: is the best price available on the Trading Venue. It is not credit screened. (This entry type is provided by Reuters.)
LOCAL_BEST Best Local Price: is the best price bid or offer on the local trading floor; it is not necessarily dealable. (This only applies to EBS.)
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