I am consuming market depth via MMT_MARKET_PRICE message model and like to know how to process when a level is removed?
For example, if I process BEST_BID1... BEST_BID5 fields and let say level 5 bid has been removed, how is this delete indicated in the message? An example RIC is XU030Z6d.
It depends on the venue. But in most cases, there won't be a message that directly indicate the delete.
For <XU030Z6d>, you will received new prices one by one.
For example, if BEST_BID5 was removed, then BEST_BID6 must be shifted BEST_BID5, and BID7 to BID6 and so on. So the feed will send BEST_BID5 that has the value of previous BEST_BID6 as the first update message, then BEST_BID6 in the next update and then BEST_BID7 etc..
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