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
The following table shows available book updates strategies.
A book update event is raised at the end of the market event.
The handler raises book updates for:
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.