[This message was posted by Bernt Sanden of Cinnober Financial Technology <[email protected]> to the "General Q/A" discussion forum at http://fixprotocol.org/discuss/22. You can reply to it on-line at http://fixprotocol.org/discuss/read/61f7f880 - PLEASE DO NOT REPLY BY MAIL.]
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.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 > [You can unsubscribe from this discussion group by sending a message to mailto:[email protected]] -- You received this message because you are subscribed to the Google Groups "Financial Information eXchange" group. To post to this group, send email to [email protected]. To unsubscribe from this group, send email to [email protected]. For more options, visit this group at http://groups.google.com/group/fix-protocol?hl=en.
