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 |
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 |