Conflated TCP book management for Market by Order Limited Depth

The purpose of this test is to verify that your application can properly receive and process book management information for a conflated TCP market by order limited depth book. This test case is mandatory if you selected “Conflated TCP Market By Order Limited Depth (MBOLD)” to the interview question “For CME MDP TCP feed, which of the following book structures does your application support?”.

 

  • To run the test:
  1. On the Test Case tab, use the Instrument(s) drop down menu to choose an instrument and channel and click Select.

  1. Select START TEST.

Note: Do not select START TEST while a test is running unless instructed to do so. Restarting a test deletes the current test results.

  1. Autocert+ to build a 5-level market depth book for the selected instrument with price precision up to 9 decimal points.
  2. Over a new TCP MDP connection, submit a Market Data Request message.
  3. Process snapshot update (35=W) (Based on Template SnapshotRefreshTopOrders).
  4. Confirm quantities and prices up to 5 levels of depth on the book for the selected instrument.