How to identity order levels from market-by-price request.

rkumar02
rkumar02 Newcomer
edited November 2024 in EMA

We are subscribing to Level 2 Market-by-Price data for the E-mini S&P symbol from CME. Below is a sample of the update message response we are receiving:

Action = Update, key = 3133 3a35 3934 3635 2f32 13:59465/2
Entry data:
Name: ORDER_TONE Value: 1
Name: NO_ORD Value: 11
Name: ACC_SIZE Value: 20
Name: LV_TIM_NS Value: 11:28:29:578
Name: LV_TIM_MS Value: 41309578
Name: LV_DATE Value: 20 / 11 / 2024
Name: ORDER_PRC Value: 5946.5
Name: ORDER_SIDE Value: ASK

Could you clarify if there is a field that represents the price level for order book entry add/update/delete requests? Additionally, I would like more information about the ORDER_TONE field, including its purpose and the possible values it can take.

Thanks in advance.

Answers