Full book in Market Data Snapshot Full Refresh

Steve-o

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?

Shwetang.Shah

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.

Steve-o

On this site: https://transactions.thomsonreuters.com/extra/releases/details.aspx?releaseID=43662

Tim Smith

Hi, I don't think SBE is Elektron, or is it related to a specific API? If this is Elektron I assume you are looking specifically at one of either the Market-By-Price domain or Market-By-Order domains within the Elektron Real-time market datafeed.

Steve-o

There's no section for Matching so the closest was Elektron. They provide both an RSSL MBP feed and have demo with Q1 launch for SBE+multicast feed.