Imported from previous forum
Can someone please explain why the Snapshot/Full Refresh message uses the tag OrderID(37) to indicate a unique ID for an order, rather than the MDEntryID(278) used in the Incremental Update message?
Is the use of the OrderID tag mandatory in a Snapshot message?
Thanks in advance,
Opher Lekach
Optimark Technologies, Inc.
olekach@optimark.com
[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> Can someone please explain why the Snapshot/Full Refresh message uses the tag OrderID(37) to indicate a unique ID for an order, rather than the MDEntryID(278) used in the Incremental Update message?
>
> Is the use of the OrderID tag mandatory in a Snapshot message?
OrderID is completely optional in the Market Data Snapshot / Full Refresh message.
Snapshot / Full Refresh is designed to be used where the server is keeping state, not the client. Its intent is to be used only with limited data volumes, usually with display screens, hence I don’t see it being as widely implemented as Market Data - Incremental Refresh.
With Shapshot / Full Refresh, the client just deletes the entire book for the security in question and refreshes its display screen with what is in the message. The server must send all bids and all offers each time any of the bids or offers changes. Individual Market Data Entries are not identified by an MDEntryID because nothing refers to them. This differs from the Market Data - Incremental Updates message which minimizes bandwidth by identifying Market Data Entries with MDEntryIDs and performing Change and Delete operations on them.
Hence the Market Data Entries in Snapshot / Full Refresh really have no ID. The OrderID field is included both with Snapshot / Full Refresh and Incremental Updates for informational purposes; in cases where the Market Data Entry represents an order, it allows someone to tie that particular entry to an order in their system. Likewise, the QuoteEntryID serves the purpose of linking the Mass Quote messages with Market Data Entries.