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This example shows the update performed on an existing Market by Price (MBP) book when a Modify Bid Quantity data block is processed. Quantity represents aggregate quantity for all orders at the given price level and order count and is the number of orders at the given price level.

Starting Book

Bid

 

 

Ask

 

 

Order Count

Quantity

Price

Price

Quantity

Order Count

1

100

9427.50

9428.00

40

2

19

500

9427.00

9428.50

600

35

34

750

9426.50

9429.00

850

55

25

400

9426.00

9429.50

350

21

14

300

9425.50

9430.00

150

12

Modify Bid Quantity (tag 35-MsgType=X) Data Block

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

1

1 = change. Type of Market Data update action.

269

MDEntryType

0

0 = bid. Type of Market Data entry.

83

RptSeq

e.g., 123

Sequence number per Instrument update.

1023

MDPriceLevel

1

Position in the book.

271

MDEntrySize

90

Quantity represented by the Market Data Entry.

270

MDEntryPx

9427.50

Price of the Market Data Entry.

346

NumberOfOrders

1

Number of orders at price level.

48

SecurityID

given

Unique instrument ID as qualified by the exchange
per tag 22-SecurityIDSource.

Updated Book

Bid

 

 

Ask

 

 

Order Count

Quantity

Price

Price

Quantity

Order Count

1

90

9427.50

9428.00

40

2

19

500

9427.00

9428.50

600

35

34

750

9426.50

9429.00

850

55

25

400

9426.00

9429.50

350

21

14

300

9425.50

9430.00

150

12

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