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Asra
Posts:0
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| 05/09/2008 6:13 PM |
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The spec says:
For Update Messages that span multiple messages/packets, all fields not part
of the ‘price point’ section will be repeated for each packet. To determine the
number of ‘price point’ in any given message, use the value in the
NumPricePoints field.
First of all, I don't see a NumPricePoints field in either Full Update or Delta Update message format.
Secondly I don't know what a price point section is. Can you identify the fields in the price point section?
Regards,
Asra
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Ariel
Posts:163
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| 06/02/2008 9:51 AM |
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MsgType 228
The following fields represent a price point and can repeat in a message:
A price-point consists of 4 items
- The Buy/Sell Side Indicator
- The actual price at the "side"
- the total quantity available at the price point/side combination
- the total number of orders at that price-point/side
MsgType 229
A price-point consists of 6 items
- The Buy/Sell Side Indicator
- The price at the "side"
- the total quantity available at the price point/side combination
-The quantity of the event
- the total number of orders at that price-point/side
- the "change" reason i.e. the reason the price point was affected
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