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This example shows the Market by Price (MBP) book update that occurs for a new order submitted at an existing price level.

Bid

 

 

Ask

 

 

Order Count

Quantity

Price

Price

Quantity

Order 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

1

400

9425.00

9430.00

150

12

35=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. 127

Sequence number per Instrument update.

1023

MDPriceLevel

1

Position in the book.

271

MDEntrySize

503

Quantity represented by the Market Data Entry.

270

MDEntryPx

9427.00

Price of the Market Data Entry.

346

NumberOfOrders

20

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

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

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