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Re: question about EUREX FAST order book delta msg
Darshan Khedekar <>
31 Jul 2008 11:45AM ETHi Marc,
The actions should be processed sequentially.
The incremental update generator could in some situations generate sub-optimal deltas.
The typo in the document is already known and should be corrected in the next published version.
Regards,
Darshan
> Hello,
>
> In the EUREX EBS FAST order book delta message, do we need to process
> the actions in the "entries" sequence sequentially or in parallel?
>
> For instance while decoding one message, I get this: create ask level=1
> price=6845.00 qty=5 delete ask level=2 price=6844.50 qty=5
>
> If the actions are taken sequentially, it's the same as a "change"
> action on level 1.
>
> BTW there is probably a typo in the doc for "create": (entryPrcLvl >
> ‘x’) should use >= (?).
>
> So am I missing something or is it just a non optimal encoding of the
> result of 2 distinct actions?
>
> Thanks,
>
> Marc http://www.hpcplatform.com
Re: question about EUREX FAST order book delta msg
Darshan Khedekar 31 Jul 2008 11:45AM ET
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