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Re: question about EUREX FAST order book delta msg
Darshan Khedekar <>
21 Aug 2008 12:31PM ETMarc,
The scenario you described below will not occur. Eurex interface keeps track of the maximum depth.
You are requested to raise Eurex interface specific queries with the helpdesk.
Thanks,
Darshan
> Thanks Darshan,
>
> Another related question:
>
> Does the order book delta encoder take care of the maximum depth?
>
> For instance if the max depth is 50 can I get 60x "create 1" actions
> without any "delete" ones before the last 10 create?
>
> Just to know if I should signal an error if the order book reaches a
> depth bigger than the max depth or if I should just silently drop
> these items?
>
> Thanks,
>
> Marc
>
> > Hi 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 21 Aug 2008 12:31PM ET
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