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Date/Time: Thu, 25 Apr 2024 06:10:32 +0000

Post From: DTC Server Market Depth Message Model Semantics

[2019-01-08 11:25:49] Link To Thread - Link To Post [Go To First Post]
User12089 - Posts: 350
Regarding "1. NumOrder would never be negative. It simply represents the number of orders at a particular price level, if you know what those are. It is not applicable in the case of deleting a level." Ok but the Exchanges don't distribute the Market Depth data in the above Aggregated way. They distribute it at the level of granularity of individual Limit Order Events. So a DTC Server would have to do some Aggregation preprocessing on the behalf of SC. Hence the following questions: a) If the Total number of Limit Orders for a price level in the Order Book becomes ZERO, then the DTC Server is supposed to send to SC which of the following?: A_1 - INSERT_UPADTE Market Depth Message with size / number of market orders = ZERO A_2 - DELETE Market Depth Message b) in what circumstances a Custom developed DTC Server would have to send a DELETE Market Depth Message to SC specifically - I don't think SC would ever wipe out a price level in its internal representation of the Limit Order Book ps: "No one has ever asked us these kinds of questions."- this is really awkward statement - you need to change your attitude mate (I am telling you that as a senior software architect and developer and profitable trader and paying SC client )