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Book Recovery - Instrument Sequencing

In the Market Data Incremental Refresh (tag 35-MsgType=X) message, tag 83-RptSeq represents the sequence number per instrument. 

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The client system must track the state of the book at all times with the FIX Market Data Incremental Refresh message (tag 35-MsgType=X) book update data blocks. It is possible, though not guaranteed, that a set of these book update data blocks can be used to construct the current, correct state of a book without prior book state knowledge. While client systems wait for the recovery of missing data, they may opt to also use a natural refresh algorithm to recover book state prior to recovering the lost data. Natural refresh can also be used to re-instate the top-of-book. Natural refresh should be used for multiple depth book updates only in conjunction with market recovery. Prior to beginning a natural refresh, the entire book should be emptied. Natural refresh assumes no prior knowledge of book state.

Book Recovery - Natural Refresh

The client system must track the state of the book at all times with the FIX Market Data Incremental Refresh message (tag 35-MsgType=X) book update data blocks. It is possible, though not guaranteed, that a set of these book update data blocks can be used to construct the current, correct state of a book without prior book state knowledge. While client systems wait for the recovery of missing data, they may opt to also use a natural refresh algorithm to recover book state prior to recovering the lost data. Natural refresh can also be used to re-instate the top-of-book. Natural refresh should be used for multiple depth book updates only in conjunction with market recovery. Prior to beginning a natural refresh, the entire book should be emptied. Natural refresh assumes no prior knowledge of book state.

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