OnixS C++ CME MDP Premium Market Data Handler  5.8.3
API Documentation
Book update notification strategies

By default, the handler raises the Book Update event at the end of the corresponding market event. It triggers updates for:

This behaviour is dictated by MDP rules to guarantee book validity.

However, a single market event may consist of multiple packets (which may include multiple messages), so sometimes, book updates need to be reported as soon as possible. To support this scenario, the handler provides additional control over how it raises the book updates via the OnixS::CME::MDH::BookManagement::updateNotification member.

Book management parameters can be accessed via the handler.settings().bookManagement() path.

The following table shows available book updates strategies.

Strategy Description

A book update event is raised at the end of the market event.

The handler raises book updates for:

  • direct books at the end of real quotes updates,
  • implied books at the end of implied quotes updates,
  • consolidated books at the end of the entire event.
The given strategy strictly follows MDP rules on publishing order books and is used by the handler by default.

The handler raises the book update event once the security (id) is changed in a sequence of market data entries being processed by the handler without waiting till the end of a market event.

The given strategy does not satisfy CME MDP 3.0 policies on exposing order books! For example, books may not be in a valid state (especially consolidated) because they are published earlier than the entire market event is processed.