This example shows how a book is built and updated. The book generally consists of a set of bid prices and ask prices, in which bids are descending and asks are ascending. The quantity and order count are provided.
The following table illustrates an initial market book.
Top-of-Book - Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
100 |
9427.50 |
9428.50 |
40 |
Quantity on Buy Side Modified
The quantity of an order can be modified. The book will show an update to the size displayed:
Buy 90 @ 9427.50
Book Update Instruction
Book Update - Data Block 1
|
Tag Number |
Tag Name |
Value |
Description |
|
279 |
MDUpdateAction |
5 |
5=overlay. Type Market Data update action. |
|
269 |
MDEntryType |
0 |
0=Bid. Type of Market Data entry. |
|
83 |
RptSeq |
|
Sequence number per Instrument update. |
|
1023 |
MDPriceLevel |
1 |
Price level 1. Position in the book. |
|
273 |
MDEntryTime |
|
Time of Market Data Entry. |
|
271 |
MDEntrySize |
90 |
Quantity or volume represented by the Market Data Entry. |
|
270 |
MDEntryPx |
9427.50 |
Price of the Market Data Entry. |
|
48 |
SecurityID |
|
Unique instrument ID as qualified by the exchange. |
Top-of-Book - Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
90 |
9427.50 |
9428.50 |
40 |
Entire Order Canceled
An entire order can be canceled, which removes the top of book. The book will show an update:
Cancel 90 @ 9427.50
Book Update Instruction
Book Update - Data Block 1
|
Tag Number |
Tag Name |
Value |
Description |
|
279 |
MDUpdateAction |
5 |
5=overlay. Type Market Data update action. |
|
269 |
MDEntryType |
0 |
0=Bid. Type of Market Data entry. |
|
83 |
RptSeq |
|
Sequence number per Instrument update. |
|
1023 |
MDPriceLevel |
1 |
Price level 1. Position in the book. |
|
273 |
MDEntryTime |
|
Time of Market Data Entry. |
|
271 |
MDEntrySize |
0 |
Quantity or volume represented by the Market Data Entry. |
|
270 |
MDEntryPx |
|
Price of the Market Data Entry. |
|
48 |
SecurityID |
|
Unique instrument ID as qualified by the exchange. |
Top-of-Book - Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
|
|
9428.50 |
40 |
New Order Entered
A new order can be entered to a book. The book will show an update:
New Order 10 @ 9428.00
Book Update Instruction
Book Update -Data Block 1
|
Tag Number |
Tag Name |
Value |
Description |
|
279 |
MDUpdateAction |
5 |
5=overlay. Type Market Data update action. |
|
269 |
MDEntryType |
0 |
0=Bid. Type of Market Data entry. |
|
83 |
RptSeq |
|
Sequence number per Instrument update. |
|
1023 |
MDPriceLevel |
1 |
Price level 1. Position in the book. |
|
273 |
MDEntryTime |
|
Time of Market Data Entry. |
|
271 |
MDEntrySize |
10 |
Quantity or volume represented by the Market Data Entry. |
|
270 |
MDEntryPx |
9428.0 |
Price of the Market Data Entry. |
|
48 |
SecurityID |
|
Unique instrument ID as qualified by the exchange. |
Top-of-Book - Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
10 |
9428.00 |
9428.50 |
40 |
New Order Entered at Same Price
A new order can be entered to a book at the same price level. The book will show an update:
New Order 3 @ 9428.00
Book Update Instruction
Book Update -Data Block 1
|
Tag Number |
Tag Name |
Value |
Description |
|
279 |
MDUpdateAction |
5 |
5=overlay. Type Market Data update action. |
|
269 |
MDEntryType |
0 |
0=Bid. Type of Market Data entry. |
|
83 |
RptSeq |
|
Sequence number per Instrument update. |
|
1023 |
MDPriceLevel |
1 |
Price level 1. Position in the book. |
|
273 |
MDEntryTime |
|
Time of Market Data Entry. |
|
271 |
MDEntrySize |
13 |
Quantity or volume represented by the Market Data Entry. |
|
270 |
MDEntryPx |
9428.0 |
Price of the Market Data Entry. |
|
48 |
SecurityID |
|
Unique instrument ID as qualified by the exchange. |
Top-of-Book - Best Bid/Ask
|
Bid |
Ask | ||
|
Quantity |
Price |
Price |
Quantity |
|
13 |
9428.00 |
9428.50 |
40 |