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ECNs, Exchanges
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Re: Is MDEntryPositionNo the Position Within a Price Level or Across All Price Levels?
Hanno Klein / Deutsche Börse Systems <>
18 Jul 2008 4:01AM ETLalin,
from a performance point of view it does not seem advisable to have position numbers across a wide range of orders, e.g. all orders on one side of the book. The reason is that a new best order coming in would require to update all entry position numbers of one or even both sides. The recommended practice of doing this only per price level seems superior in terms of performance.
I would take the liberty of being more restrictive than the general field comment you cited below and read it as "display position of a bid or offer, numbered from most competitive to least competitive, per market side or market side and price level, beginning with 1". It might be less complex to have just an overall numbering but there is a trade-off between complexity and performance.
Regards,
Hanno.
> I am currently drafting a market data specification for disseminating
> order depth via the Market Data Incremental Refresh and/or Market Data
> Snapshot (Full Fresh) messages of FIX 5.0 Service Pack 1.
>
> I am a little unclear on how the field MDEntryPositionNo (290) should be
> populated. Assume, for the sake of example, that there are four orders
> in an order book; two orders at the best price point and two orders and
> the next price point. If a third order is added to the second best price
> point is its MDEntryPositionNo "3" or "5"?
>
> In terms of the Market Data Working Group’s Recommended Practices for
> Book Management, MDEntryPositionNo (290) is an order’s position within a
> price level.
>
> However, in terms of its description in the specification for FIX 5.0
> Service Pack 1, MDEntryPositionNo is the "display position of a bid or
> offer, numbered from most competitive to least competitive, per market
> side, beginning with 1". The inclusion of the words "per market side",
> imply that MDEntryPositionNo is an order’s position within a side (not
> within a price level) of the order book. The fourth paragraph of the
> section that describes the Market Data Incremental Refresh message
> (Volume 3, page 77) also seems to imply that MDEntryPositionNo is an
> order’s position within a side.
Re: Is MDEntryPositionNo the Position Within a Price Level or Across All Price Levels?
Hanno Klein / Deutsche Börse Systems 18 Jul 2008 4:01AM ET
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