| Reply To Message: |
| Posted By |
n/a on 5/5/2008 11:05:20 AM |
| Subject: |
OpenBook Ultra delta update reason codes |
| Message: |
OB Ultra spec defines 4 delta update reason codes as follows:
‘O’ - New order/additional interest added
‘C’ - Cancel
‘E’- Execution
‘X’ - Multiple events
Cancel/Execution would be quite useful to extract trades from the book. However 'Multiple events' makes this impossible (for obvious reasons.)
Would it be possible to make sure that decreases in total qty on the price level are separated from additions/cancels? That would really increase value of the data which is coming over.
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