Imported from previous forum
If I specify a MarketDepth of 3 in my Market Data Request and I subsequently get an MD Incremental Update message with a new quote at a new Price Level 1 I understand that it is my responsibility to shift my existing quotes at price level 1 to price level 2 and price level 2 to price level 3. But is it my responsibility to delete my former price level 3 quotes or should I expect the market maker to send delete MD incremental updates for the quotes that fell off the bottom of my book?
The market data concepts aim to allow the least amount of messages to save on bandwidth. Therefore quotes having prices that get pushed beyond the maximum number of displayed price levels are implicitly deleted by receiving incremental updates with better prices. Volume 3 of the spec uses the expression “the recipient must infer the change”.
If I specify a MarketDepth of 3 in my Market Data Request and I subsequently get an MD Incremental Update message with a new quote at a new Price Level 1 I understand that it is my responsibility to shift my existing quotes at price level 1 to price level 2 and price level 2 to price level 3. But is it my responsibility to delete my former price level 3 quotes or should I expect the market maker to send delete MD incremental updates for the quotes that fell off the bottom of my book?