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In this example, the canceled order is the only order at the given price level in the Market by Price (MBP) book. Therefore, the first data block for the instrument removes the price level from the book for the canceled order, and the subsequent data block updates the book with the new order. In this example, the book shows the removal of price level 1, followed by an addition to price level 5.

Client systems should shift prices below the data block up to the price level vacated by the deleted price level. If all levels in the book are not full, an add data block will be sent to fill in the last price level.

Starting 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

Book Update - Delete
35=X Data Block

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

2

2 = delete. Type of Market Data update action.

269

MDEntryType

0

0 = bid. Type of Market Data entry.

83

RptSeq

e.g. 124

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

195009427.009428.00402

34

750

9426.50

9428.50

600

35

25

400

9426.00

9429.00

850

55

14

300

9425.50

9429.50

350

21

 

 

 

9430.00

150

12

 

Book Update - Add
35=X Data Block

Tag Number

Tag Name

Value

Description

279

MDUpdateAction

0

0 = add. Type of Market Data update action.

269

MDEntryType

0

0 = bid. Type of Market Data entry.

83

RptSeq

e.g. 125

Sequence number per Instrument update.

1023

MDPriceLevel

5

Position in the book

271

MDEntrySize

400

Quantity represented by the Market Data Entry.

270

MDEntryPx

9425.00

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

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

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