This example shows the update performed on an existing Market by Price (MBP) book when a Modify Bid Quantity data block is processed. Quantity represents aggregate quantity for all orders at the given price level and order count and is the number of orders at the given price level.
Starting Book
Bid | Ask | ||||
|---|---|---|---|---|---|
Order Count | Quantity | Price | Price | Quantity | Order Count |
1 | 100 | 9427.50 | 9428.00 | 40 | 2 |
19 | 500 | 9427.00 | 9428.50 | 600 | 35 |
34 | 750 | 9426.50 | 9429.00 | 850 | 55 |
25 | 400 | 9426.00 | 9429.50 | 350 | 21 |
14 | 300 | 9425.50 | 9430.00 | 150 | 12 |
Modify Bid Quantity (tag 35-MsgType=X) Data Block
Tag Number | Tag Name | Value | Description |
|---|---|---|---|
279 | MDUpdateAction | 1 | 1 = change. Type of Market Data update action. |
269 | MDEntryType | 0 | 0 = bid. Type of Market Data entry. |
83 | RptSeq | e.g., 123 | Sequence number per Instrument update. |
1023 | MDPriceLevel | 1 | Position in the book. |
271 | MDEntrySize | 90 | Quantity represented by the Market Data Entry. |
270 | MDEntryPx | 9427.50 | Price of the Market Data Entry. |
346 | NumberOfOrders | 1 | Number of orders at price level. |
48 | SecurityID | given | Unique instrument ID as qualified by the exchange |
Updated Book
| Bid | Ask | ||||
|---|---|---|---|---|---|
Order Count | Quantity | Price | Price | Quantity | Order Count |
1 | 90 | 9427.50 | 9428.00 | 40 | 2 |
19 | 500 | 9427.00 | 9428.50 | 600 | 35 |
34 | 750 | 9426.50 | 9429.00 | 850 | 55 |
25 | 400 | 9426.00 | 9429.50 | 350 | 21 |
14 | 300 | 9425.50 | 9430.00 | 150 | 12 |