[This message was posted by Hanno Klein of Deutsche Börse Systems <[email protected]> to the "FAST Protocol" discussion forum at http://fixprotocol.org/discuss/46. You can reply to it on-line at http://fixprotocol.org/discuss/read/a3d23da1 - PLEASE DO NOT REPLY BY MAIL.]
The incremental instructions within a single MDIncGrp should not be applied in parallel but sequentially, i.e. you only need to make sure that the deletion of row 3 comes first, followed by the add for row 5. Row 5 is empty after the first instruction, i.e. it is not an update. As a side note, when best prices shift it is important that you send the instruction first that widens the spread to avoid the possibility of a crossed book in between instructions of the same MDIncGrp, even though a user should not take any trading action prior to having processed all instructions of one MDIncGrp (but you cannot rule it out). Regards, Hanno. > Hi, > > I'm in the process of developing a market data gateway. When implementing the > depth (restricted to several rows in a book Market By Order) I have a concern > in the following scenario. > > - Actual book is beyond the viewable depth (say depth shown out side is 5 and > there are 10 entries) > - An entry is deleted from the viewable depth (say the 3rd order is canceled) > - The gateway should send the deletion update for the 3rd row > - Then an update should be sent to lift up the entry which was at the 6th > position as an add to the client's book (to maintain the depth) > > My concern is: > - Do we pack two MDEntries (add and delete) within the same Incremental > Refresh (NoMDEntries = 2)as this scenario can be considered as a single > transaction? > - OR do we send separate Incremental Refresh for delete and add of entries > (NoMDEntries = 1 in each)? > > Please provide the best way of implementing the above scenario (according to > the FAST standards) > > Thanks a lot. > Sajith > [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
