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This topic provides information for consolidating implied and multiple-depth books.

The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market.

Multiple-Depth Book

Bid



Ask



Order CountQuantityPricePriceQuantityOrder Count

19

500

9427.00

9428.00

40

2

34

750

9426.50

9428.50

600

35

25

400

9426.00

9429.00

850

55

14

300

9425.50

9429.50

350

21

10

200

9425.00

9430.50

150

1


Implied Book

Bid


Ask


QuantityPricePriceQuantity

100

9427.50

9428.00

40

200

9427.00

9430.00

100

After building the multiple-depth book and implied books, the actual book can be built by merging the multiple-depth book and implied book tables.

Order count is not displayed in the combined book.


Consolidated Book

Bid


Ask


QuantityPricePriceQuantity

100

9427.50

9428.00

80

700

9427.00

9428.50

600

750

9426.50

9429.00

850

400

9426.00

9429.50

350

300

9425.50

9430.00

100