MDP 3.0 Book Update - Order Cancelled and Replaced

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.

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.

Starting Book

Bid			Ask

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

Book Update - Delete

35=X Data Block

Tag Number	Tag Name	Value	Description

Tag Number	Tag Name	Value	Description
279	MDUpdateAction	2	2 = delete. Type of Market Data update action.
269	MDEntryType	0	0 = bid. Type of Market Data entry.
83	RptSeq	e.g. 124	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 per tag 22-SecurityIDSource.

Updated Book

Bid			Ask

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
			9430.00	150	12

Book Update - Add

35=X Data Block

Tag Number	Tag Name	Value	Description

Tag Number	Tag Name	Value	Description
279	MDUpdateAction	0	0 = add. Type of Market Data update action.
269	MDEntryType	0	0 = bid. Type of Market Data entry.
83	RptSeq	e.g. 125	Sequence number per Instrument update.
1023	MDPriceLevel	5	Position in the book
271	MDEntrySize	400	Quantity represented by the Market Data Entry.
270	MDEntryPx	9425.00	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 per tag 22-SecurityIDSource.

Updated Book

Bid			Ask

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
1	400	9425.00	9430.00	150	12