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ECNs, Exchanges
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Is MDEntryPositionNo the Position Within a Price Level or Across All Price Levels?
Lalin Dias / Millennium Information Technologies <>
7 Jul 2008 9:36AM ETI 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.
Is MDEntryPositionNo the Position Within a Price Level or Across All Price Levels?
Lalin Dias / Millennium Information Technologies 7 Jul 2008 9:36AM ET
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