Description: Real-time Collapsing level enumeration. Collapsing is a mechanism of eliminating some intermediate quotes to present more up-to-date market data instead of falling behind. It is started dynamically by the server if the client is not able to consume all requested feed timely e.g., because of a narrow network channel or client side hardware/ software issues.
•When real time price data in a session queue becomes >=1 seconds old (configurable) DOM collapsing is applied so per contract snapshot is sent at the end of the contract data messages.
•When real time price data in a session queue is >=4 seconds old (configurable) BBA collapsing is done so only last per contract BBA quotes are delivered.
•When real time price data in a session queue is >=8 seconds old (configurable) Trade collapsing is done so only last per contract Trade quotes are delivered.
•Quote representing Open, High or Low is always sent to the client regardless of current collapsing level.
•Quote representing Settlement is always sent to the client regardless of current collapsing level.
•If the difference between first and last quote in the queue reaches 60 (current setting) seconds (configurable with per user overrides for VIP access) the connection is closed with sending a special user message.
The user can specify maximum allowed collapsing level, see Logon/RestoreOrJoinSession message’s max_collapsing_level field, or SetCollapsingLevelRequest message. Server will honor the setting, but still disconnect the user if the data in outgoing queue becomes 60 sec (current setting) old.
CONCLUSION: In case of bad network conditions, the client has a choice:
1. To receive more complete real-time data but risk being disconnected: the lower chosen max_collapsing_level - the higher risk of disconnections.
2. To receive collapsed but up-to-date real-time data and stay connected: it is advised to leave field max_collapsing_level out, or set it to REAL_TIME_COLLAPSING_LEVEL_DOM_BBA_TRADES.
•REAL_TIME_COLLAPSING_LEVEL_NONE = 0
Collapsing is not preferred.
•REAL_TIME_COLLAPSING_LEVEL_DOM = 1
DOM data is collapsed.
•REAL_TIME_COLLAPSING_LEVEL_DOM_BBA = 2
DOM and best bid/ask quotes are collapsed delivering only last BBA but all trades.
•REAL_TIME_COLLAPSING_LEVEL_DOM_BBA_TRADES = 3
DOM, best bid/ask and trades quotes are collapsed delivering only last values.