Imported from previous forum
[ original email was from Mikael Brännström - mikael.brannstrom@ngm.se ]
When updating a (tradeable) quote, how do I ensure that the volume (OfferSize and/or BidSize) is not unintentionally increased due to a trade just before the update.
Orders have OrderQty which is the original order volume, i.e. OrderQty = CumQty + LeavesQty. Do quotes have anything similar?
What is your semantic of the quantity you send for an update?
a) total quote quantity executed
b) remaining quantity as a result of the update
When updating a (tradeable) quote, how do I ensure that the volume
(OfferSize and/or BidSize) is not unintentionally increased due to a
trade just before the update.Orders have OrderQty which is the original order volume, i.e. OrderQty =
CumQty + LeavesQty. Do quotes have anything similar?
[ original email was from Mikael Brännström - mikael.brannstrom@ngm.se ]
I’m trying to follow the FIX spec (5.0SP2) as far as possible, so I guess that the semantic for the quantity (BidSize, OfferSize) in a quote is “b) remaining quantity”.
Just to clarify, I’m talking about quote updates from e.g. a market maker to a market place using the Quote or MassQuote message.
What is your semantic of the quantity you send for an update?
a) total quote quantity executed
b) remaining quantity as a result of the update