Some Market Data questions

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Imported from previous forum

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I have the following questions about market data messages:

  1. In the ‘Market Data - Snapshot’ and ‘Market Data - Incremental Refresh’ messages if a market data entry does not exist (e.g. a trade for a security) the price and the quantity still have to be sent (set to zero) because these fields are conditionally required if MDUpdateAction = New. Why are these fields required and not simply ommitted if the market data entry does not exist (i.e. just send MDUpdateAction = New, MDEntryType = Trade, Symbol = ABC)?

  2. In the ‘Market Data - Incremental Refresh’ message is TotalVolumeTraded part of the Trade market data entry type?

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[ original email was from Ryan Pierce - rpierce@taltrade.com ]
> 1. In the ‘Market Data - Snapshot’ and ‘Market Data - Incremental Refresh’ messages if a market data entry does not exist (e.g. a trade for a security) the price and the quantity still have to be sent (set to zero) because these fields are conditionally required if MDUpdateAction = New. Why are these fields required and not simply ommitted if the market data entry does not exist (i.e. just send MDUpdateAction = New, MDEntryType = Trade, Symbol = ABC)?

I’m not sure I understand what you mean here. If there isn’t an entry for something, you don’t send anything. I.e. if someone asks for a book, and for some reason there’s a MSFT bid but not
an MSFT offer, then you send just the bid only. If you are doing a Snapshot + Updates of trades for a stock, and the stock hasn’t traded yet, you don’t send anything.

> 2. In the ‘Market Data - Incremental Refresh’ message is TotalVolumeTraded part of the Trade market data entry type?

TotalVolumeTraded is flexible, and can be tacked onto any MDEntry type. One could give the TotalVolumeTraded with every new trade, or just every 10th trade. When sending just the bids and offers for an instrument, every 30 seconds one could choose to tack on TotalVolumeTraded.