Page tree

Versions Compared

Key

  • This line was added.
  • This line was removed.
  • Formatting was changed.

...

A Market Data Snapshot Full Refresh (35=W) message will be generated only if the instrument has had book/trade activity since the beginning of the week. Once the instrument has had at least one order, it will stay in the loop until the end of the week, even though the order is cancelled. Market Data Snapshot Full Refresh (35=W) messages will not be sent for the instruments that have only price bands, or thresholds, but have had no book activity since the beginning of the week. For an instrument MBP, market state, and statistics information is sent first then the MBOLD book information is sent. More than one instrument can be updated in a packet. Instruments expired during the trading session will stay on the market recovery feed until the end of the day. The example below shows the message structure of three different instruments updated in an MBP & MBOLD Conflated UDP market recovery feed across two packets.

...