Imported from previous forum
Hello,
In the EUREX EBS FAST order book delta message, do we need to process the actions in the “entries” sequence sequentially or in parallel?
For instance while decoding one message, I get this:
create ask level=1 price=6845.00 qty=5
delete ask level=2 price=6844.50 qty=5
If the actions are taken sequentially, it’s the same as a “change” action on level 1.
BTW there is probably a typo in the doc for “create”: (entryPrcLvl > ‘x’) should use >= (?).
So am I missing something or is it just a non optimal encoding of the result of 2 distinct actions?
Thanks,
[ original email was from Darshan Khedekar - darshan.khedekar.ext@deutsche-boerse.com ]
Hi Marc,
The actions should be processed sequentially.
The incremental update generator could in some situations generate sub-optimal deltas.
The typo in the document is already known and should be corrected in the next published version.
Regards,
Darshan
Hello,
In the EUREX EBS FAST order book delta message, do we need to process
the actions in the “entries” sequence sequentially or in parallel?For instance while decoding one message, I get this: create ask level=1
price=6845.00 qty=5 delete ask level=2 price=6844.50 qty=5If the actions are taken sequentially, it’s the same as a “change”
action on level 1.BTW there is probably a typo in the doc for “create”: (entryPrcLvl >
‘x’) should use >= (?).So am I missing something or is it just a non optimal encoding of the
result of 2 distinct actions?Thanks,
Thanks Darshan,
Another related question:
Does the order book delta encoder take care of the maximum depth?
For instance if the max depth is 50 can I get 60x “create 1” actions without any “delete” ones before the last 10 create?
Just to know if I should signal an error if the order book reaches a depth bigger than the max depth or if I should just silently drop these items?
Thanks,
Marc
Hi Marc,
The actions should be processed sequentially. The incremental update
generator could in some situations generate sub-optimal deltas.The typo in the document is already known and should be corrected in the
next published version.Regards, Darshan
Hello,
In the EUREX EBS FAST order book delta message, do we need to process
the actions in the “entries” sequence sequentially or in parallel?For instance while decoding one message, I get this: create ask
level=1 price=6845.00 qty=5 delete ask level=2 price=6844.50 qty=5If the actions are taken sequentially, it’s the same as a “change”
action on level 1.BTW there is probably a typo in the doc for “create”: (entryPrcLvl >
‘x’) should use >= (?).So am I missing something or is it just a non optimal encoding of the
result of 2 distinct actions?Thanks,
[ original email was from Darshan Khedekar - darshan.khedekar.ext@deutsche-boerse.com ]
Marc,
The scenario you described below will not occur. Eurex interface keeps track of the maximum depth.
You are requested to raise Eurex interface specific queries with the helpdesk.
Thanks,
Darshan
Thanks Darshan,
Another related question:
Does the order book delta encoder take care of the maximum depth?
For instance if the max depth is 50 can I get 60x “create 1” actions
without any “delete” ones before the last 10 create?Just to know if I should signal an error if the order book reaches a
depth bigger than the max depth or if I should just silently drop
these items?Thanks,
Marc
Hi Marc,
The actions should be processed sequentially. The incremental update
generator could in some situations generate sub-optimal deltas.The typo in the document is already known and should be corrected in
the next published version.Regards, Darshan
Hello,
In the EUREX EBS FAST order book delta message, do we need to
process the actions in the “entries” sequence sequentially or in
parallel?For instance while decoding one message, I get this: create ask
level=1 price=6845.00 qty=5 delete ask level=2 price=6844.50 qty=5If the actions are taken sequentially, it’s the same as a “change”
action on level 1.BTW there is probably a typo in the doc for “create”: (entryPrcLvl >
‘x’) should use >= (?).So am I missing something or is it just a non optimal encoding of
the result of 2 distinct actions?Thanks,