MDP 3.0 Book Update - Modify Bid Quantity

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

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

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 per tag 22-SecurityIDSource.

Updated 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