This section applies to CQG products that are top-of-book. Client systems must determine the book-depth for an instrument from tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d) message.
CQG provides a multiple-depth book for several products. Client systems must determine the book-depth for an instrument from tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d) Message.
CQG provides the current best bid and ask (top-of-book) in the market for certain instruments. Client systems must determine the book-depth for an instrument from tag 264-MarketDepth in the Security Definition (tag 35-MsgType=d) Message. Trade details and instrument status are provided in separate data blocks. The following table illustrates the types of information that can be displayed:
Book -Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
100 |
9427.50 |
9428.00 |
40 |
CQG maintains a top-of-book view with the following data block:
Overlay - add, modify, or delete an entry in the book. (tag 279 MDUpdateAction=5)
Note: When the best price changes, CQG sends a single overlay instruction for price level 1.
The incremental instruction approach assumes the use of the Market Data Incremental Refresh message (tag 35-MsgType =X). The Bid and Ask sides are updated independently with separate data blocks. The practice of sending separate data blocks provides efficiencies by allowing only the bid or ask to be sent, based on which side has changed, rather than both sides.
Basic Book Update Data Block
A FIX message sent to update a top-of-book updates one side only. The tags normally sent for a top-of-book data block are:
•tag 279-MDUpdateAction
•tag 269-MDEntryType
•tag 83-RptSeq
•tag 1023-MDPriceLevel
•tag 273-MDEntryTime
•tag 271-MDEntrySize
•tag 270-MDEntryPx
•tag 48-SecurityID
Indexing the Entry
Top-of-book entries are referenced using a composite index which consists of the Security Description, Tag 269-MDEntryType (bid/ask) and Tag 270-MDEntryPx. This set of fields acts as a composite key that allows the entry (bid or ask) to be accessed and subsequently, updated or deleted.