The Lab

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  • LEVEL_QUOTE - Stream of a collection of quotes aggregated by price in which there may be multiple quotes at one price level, each of which is represented by a seperate MDComponent.
    1. MassQuote based - The bank gives a MassQuote to MF which we pass through the API.
    2. RFQS based - The bank configures a collection of static quote amounts that we subscribe to and convert to a MassQuote presentation.
    3. RFQ based - Same as an RFQS, except we resubscribe to the quote when it expires to simulating a streaming price.
  • LEVEL_QUOTE_AMT_TIER - A stream of a collection of quotes where there are tiers of amount bands. Only one tier may be executed per collection.
  • QUOTE - Stream of a collection of quotes in which there may be multiple entries at the same price level. These are streamed as a series of snapshots instead of a stream of snapshot+incrementals (MarketView.isSnapshot will always be "True").
  • QUOTE_AMT_TIER - A stream of a collection of quotes where there are tiers of amount bands which may share the same price. This is streamed as a series of snapshots and not as a series of snapshots+increments. (MarketView.isSnapshot will always be "True"). Only one tier may be executed per collection.
  • ORDER - An individual order that is keyed off of an orderID that is stored in the components field.
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