Full book in Market Data Snapshot Full Refresh

Steve-o
Steve-o Newcomer
in Elektron

re: §6.5 Market Data Snapshot Full Refresh [type ‘W’]
<MktDataFull>

How is a full depth book represented? Is the NoMDEntries group simply repeated for the full depth? Is there an expected ordering of entry types?

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  • Shwetang.Shah
    Shwetang.Shah LSEG
    Answer ✓

    The depth of the book for each instrument is following the MAPI configuration. MDS receives this information from NMH which is reading from database.

    The depth is represented in both Full refresh and Incremental refresh.

    The depth is represented as a repeating group for each symbol on each side. for example if the book is 5 deep on bid and offer side, MDS encapsulate 10 repeating groups in one message for that instrument.

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