Imported from previous forum
What is the difference between a MDBookType of 2=Price Depth and 3=Order Depth?
Is the difference a Price Depth book is aggregated and the order depth is not aggregated?
How does MDBookType[1021] relate to the AggregatedBook[266] field specified on the MarketDataRequest[MsgType=V]?
If I specify AggregatedBook[266]=Y does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=2 (Price Depth)?
If I specify AggregatedBook[266]=N does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=3 (Order Depth)?
Refresher:
MDBookType[1021] - Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
1=Top of Book; 2=Price Depth; 3=Order Depth
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag1021.html
AggregatedBook[266]=Specifies whether or not book entries should be aggregated. (Not specified) = broker option Y=book entries to be aggregated N=book entries should not be aggregated
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag266.html
Hi Jim,
Yes, the price depth represents an aggregate for each price tier, whilst the order depth is non aggregated.
/Bernt
What is the difference between a MDBookType of 2=Price Depth and 3=Order Depth?
Is the difference a Price Depth book is aggregated and the order depth is not aggregated?
How does MDBookType[1021] relate to the AggregatedBook[266] field specified on the MarketDataRequest[MsgType=V]?If I specify AggregatedBook[266]=Y does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=2 (Price Depth)?
If I specify AggregatedBook[266]=N does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=3 (Order Depth)?
Refresher:
MDBookType[1021] - Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
1=Top of Book; 2=Price Depth; 3=Order Depth
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag1021.htmlAggregatedBook[266]=Specifies whether or not book entries should be aggregated. (Not specified) = broker option Y=book entries to be aggregated N=book entries should not be aggregated
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag266.html
One of the differences is that AggegatedBook is only part of the request and MDBookType is only part of the response (or unsolicited broadcast). The type of aggregation is not defined any further for tag 266 and thus subject to bilateral agreement. It could be different from MDBookType. I concur with Bernt’s comment on MDBookType where the aggregation is well defined.
We also have http://www.fixprotocol.org/documents/4419/MDOWG_Book_Mgt_Final_draft.doc for further guidelines.
What is the difference between a MDBookType of 2=Price Depth and 3=Order Depth?
Is the difference a Price Depth book is aggregated and the order depth is not aggregated?
How does MDBookType[1021] relate to the AggregatedBook[266] field specified on the MarketDataRequest[MsgType=V]?If I specify AggregatedBook[266]=Y does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=2 (Price Depth)?
If I specify AggregatedBook[266]=N does that mean the MarketData[W,X] messages sent in response are MDBookType[1021]=3 (Order Depth)?
Refresher:
MDBookType[1021] - Describes the type of book for which the feed is intended. Used when multiple feeds are provided over the same connection
1=Top of Book; 2=Price Depth; 3=Order Depth
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag1021.htmlAggregatedBook[266]=Specifies whether or not book entries should be aggregated. (Not specified) = broker option Y=book entries to be aggregated N=book entries should not be aggregated
http://fixprotocol.org/FIXimate3.0/en/FIX.5.0SP2/tag266.html