Structured Entries

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:

AMOUNT_CONS - An amount constraint, that is, the worst price for which you would have to trade in order to get at least the regular amount (it's a minimum, not a precise value). The size field should be set to the same fixed constraint amount every time (fixed by the exchange for each market). This corresponds to an "EBS Regular Price" and to a "Reuters Aggregate Price". This entry is credit screened.
SPREAD_CONS - A price constraint, that is, the sum total amount that is available from the top of the book through a fixed number of price levels away from that price. Essentially, this provides an amount variable for a fixed price. Because the price changes constantly, the fixed price range is usually specified as a price difference from the top-of-book. This corresponds to EBS's "Outside Amount". Sometimes this entry is capped. This entry is credit-screened.
EXCHANGE_BEST - The "exchange's best price", which is not credit-screened. This always includes local orders, regardless of configuration. Note that this price should always be more aggressive than the best dealable prices provided via the 'LEVEL' entries. This entries allows us to find out what price participant with better credit than us may obtain. This entry is provided by EBS Ai.
LOCAL_BEST - The best local order. This entry is provided in addition to the pure level entries as a structured entry, and is used to provide information about the local floor's pending orders (i.e., all entries sent with the same dealcode). The amounts available by the local floor may or may not be included in the 'LEVEL' entries above, depending on the style configuration. This only applies to EBS.