Page tree
Skip to end of metadata
Go to start of metadata

This example shows an order entered at a new best price level in a Market by Price (MBP) aggregate book.

Bid

 

 

Ask

 

 

Order Count

Quantity

Price

Price

Quantity

Order Count

20

503

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

1

400

9425.00

9430.00

150

12

35=X Data Block

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = new. Type of Market Data update action.

269

MDEntryType

0

0 = bid. Type of Market Data entry.

83

RptSeq

e.g. 131

Sequence number per Instrument update.

1023

MDPriceLevel

1

Position in the book.

271

MDEntrySize

200

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

200

9427.50

9428.00

40

2

20

503

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

  • No labels