Market data when one side of orderbook gets empty

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Imported from previous forum

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Hi, I don’t quite get how to expose market data when one side of the order book gets empty (I’m using snapshot + full refresh). Say there where sell and buy orders but the sell orders get cancelled and the only remaining orders are buy ones. Is it correct to send an update with only the bid orders so that clients clear the offer side of their views of the orderbook? With a message like the following one?

8=FIX.4.49=7235=W49=XXXX56=ZZZ55=YYY262=1268=1269=0270=10271=5346=110=005

I ask this because some clients treats the update as only affecting the bid side and so doesn’t clear the offer side to reflect that now it’s empty.

Thanks

Pablo

3

A snapshot is not an incremental update, i.e. a new snapshot completely replaces the previous snapshot. If the snapshot only contains buy orders then this means that there are no sell orders. An update semantic requires to use MarketDataIncrementalRefresh with the field MDUpdateAction.

Hi, I don’t quite get how to expose market data when one side of the order book gets empty (I’m using snapshot + full refresh). Say there where sell and buy orders but the sell orders get cancelled and the only remaining orders are buy ones. Is it correct to send an update with only the bid orders so that clients clear the offer side of their views of the orderbook? With a message like the following one?

8=FIX.4.49=7235=W49=XXXX56=ZZZ55=YYY262=1268=1269=0270=10271=5346=110=005

I ask this because some clients treats the update as only affecting the bid side and so doesn’t clear the offer side to reflect that now it’s empty.

Thanks

Pablo