...
The following example illustrates inverted book processing for Market by Price (MBP). This example shows a new limit bid order accepted and added to the first level of the book. The following examples assume there are no other updates within a conflation interval and the book price processing is non-inverted. For more information on conflation processing see Conflated Market Data Processing.
Starting Market by Price (MBP) Book
...
The following example illustrates inverted book processing for Market By Order - Limited Depth (MBOLD). This example shows a new limit bid order accepted and added to the book. The following examples assume there are no other updates within a conflation interval and the book price processing is non-inverted. For more information on conflation processing see Conflated Market Data Processing.
Starting Market By Order - Limited Depth (MBOLD) Book
...
The following example illustrates inverted book processing for Market by Order - Full Depth (MBOFD). This example shows a new limit ask order with a negative price that is accepted and added to the book.
| Info |
|---|
| This example uses tag 37708-OrderUpdateAction, but depending on the SBE template, tag 279-MDUpdateAction may be used instead. See Incremental Refresh SBE Template Book Processing for more information. |
Starting Market by Order - Full Depth (MBOFD) Book
...