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Contents
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Implied Book Update Examples
This example shows how an implied book is updated. The Market by Price (MBP) book shows bid prices and ask prices, in which bids are descending and asks are ascending. The quantity is provided at each price level. For implied futures, a two-deep book is available.
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Bid |
| Ask |
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|---|---|---|---|
| Quantity | Price | Price | Quantity |
100 | 9427.50 | 9428.00 | 40 |
200 | 9427.00 | 9428.50 | 100 |
Implied Bid - Quantity Modified
In this example, a Change data block is sent to update the implied bid quantity from 200 to 90 at price level 2 resulting in the updated book shown below.
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Bid | Ask | ||
|---|---|---|---|
| Quantity | Price | Price | Quantity |
100 | 9427.50 | 9428.00 | 40 |
90 | 9427.00 | 9428.50 | 100 |
Implied Bid - Delete Price Level and New Price Level
This example shows a scenario in which a single Bid providing the total quantity at the given price level is canceled. Resulting market data includes a Delete instruction to remove the price level, and a New update to populate the price level with the subsequent best price and quantity.
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Bid | Ask | ||
|---|---|---|---|
| Quantity | Price | Price | Quantity |
90 | 9427.00 | 9428.00 | 40 |
80 | 9426.50 | 9428.50 | 100 |
Implied Bid - New Bid at Existing Price Level
When a new order Bid is entered in the book at an existing price level, a Change data block is sent to update the implied bid quantity from 90 to 93 at price level 1, resulting in the updated book shown below.
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