...
The book update message for a Market by Price (MBP) multiple-depth book reports modifications to prices, quantities, and order count; the data block for an implied prices book reports modifications to prices and quantities. The MBP multiple-depth book should be used in conjunction with the implied prices book to create an accurate book for all contracts with implied functionality. To create a consolidated book, the multiple-depth book and the implied book must be built and managed separately, then consolidated to reflect the current state of the market.
Multiple-Depth Book
Bid | Ask | ||||
|---|---|---|---|---|---|
Order Count | Quantity | Price | Price | Quantity | Order Count |
19 | 500 | 9427.00 | 9428.00 | 40 | 2 |
34 | 750 | 9426.50 | 9428.50 | 600 | 35 |
25 | 400 | 9426.00 | 9429.00 | 850 | 55 |
14 | 300 | 9425.50 | 9429.50 | 350 | 21 |
10 | 200 | 9425.00 | 9430.50 | 150 | 1 |
Implied Book
Bid | Ask | ||
|---|---|---|---|
Quantity | Price | Price | Quantity |
100 | 9427.50 | 9428.00 | 40 |
200 | 9427.00 | 9430.00 | 100 |
After building the multiple-depth book and implied books, the actual book can be built by merging the multiple-depth book and implied book tables.
| Info |
|---|
Order count is not displayed in the combined book. |
Consolidated Book
Bid | Ask | ||
|---|---|---|---|
Quantity | Price | Price | Quantity |
100 | 9427.50 | 9428.00 | 80 |
700 | 9427.00 | 9428.50 | 600 |
750 | 9426.50 | 9429.00 | 850 |
400 | 9426.00 | 9429.50 | 350 |
300 | 9425.50 | 9430.00 | 100 |