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Re: question about EUREX FAST order book delta msg
Marc Battyani / HPC Platform <>
1 Aug 2008 2:43PM ETThanks 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
Marc Battyani / HPC Platform 1 Aug 2008 2:43PM ET
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