The following instructions (MDUpdateAction) are used to maintain the order book:
•New – Used to insert a market data entry.
•Delete – Used to remove a market data entry or to remove all entries from the order book
When an order book gets empty during a trading day, the following Market Data Incremental Refresh message could be sent to indicate the removal of all entries from the order book:
NoMDEntries(268)=1 MDUpdateAction=2(Delete) and MDEntryType=J(EmptyBook)
•Change – Used to modify a market data entry.
Table 13 – Market Data Incremental Refresh
|
FieldName |
Req’d |
Comments |
Format | ||
|
StandardHeader |
Y |
MsgType = X |
| ||
|
262 |
MDReqID |
Y/N |
Conditionally required if this message is in response to a Market Data Request. |
String | |
|
Start of Component block, expanded in line < MDIncGrp > |
| ||||
|
268 |
NoMDEntries |
Y |
Number of entries following. |
NumInGrp | |
|
à |
279 |
MDUpdateAction |
Y |
Type of update action. Must be first field in this repeating group. |
Char |
|
à |
269 |
MDEntryType |
Y |
This indicates the type of Market Data Entries that the firm is receiving in this market data response message. |
Char |
|
à |
Component block <Instrument> |
N |
Insert here the set of “Instrument” (symbology) fields. This block must be specified for the first Market Data Entry in a message. For subsequent Market Data Entries, the default is the instrument used in the previous Market Data Entry. |
| |
|
à |
270 |
MDEntryPx |
Y/N |
Price of the Market Data Entry. Conditionally required depending on MDEntryType. |
Price |
|
à |
271 |
MDEntrySize |
Y/N |
Quantity or volume represented by the Market Data Entry. Conditionally required depending on MDEntryType. |
Qty |
|
à |
272 |
MDEntryDate |
Y/N |
Date of Market Data Entry. Required when MDEntryType Trade(2). |
UTCDateOnly |
|
à |
273 |
MDEntryTime |
Y/N |
Time of Market Data Entry. Required when MDEntryType Trade(2). |
UTCTimeOnly |
|
End of Component block, expanded in line < MDIncGrp > |
| ||||
|
StandardTrailer |
Y |
|
| ||