In this example, the canceled order is the only order at the given price level in the Market by Price (MBP) book. Therefore, the first data block for the instrument removes the price level from the book for the canceled order, and the subsequent data block updates the book with the new order. In this example, the book shows the removal of price level 1, followed by an addition to price level 5.
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Client systems should shift prices below the data block up to the price level vacated by the deleted price level. If all levels in the book are not full, an add data block will be sent to fill in the last price level. |
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