OnixS C++ CME Market Data Handler  5.5.1
API documentation
Book Update Notification Strategies

By default, the Handler raises the Book Update event at the end of the corresponding market event. In particular, it triggers updates for:

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

However, considering the fact a single event (sub-event) may consist of multiple packets, which in their turn may include multiple messages, sometimes there's a need to have books as sooner as possible.

To satisfy the needs, the Handler provides additional control over how it raises the book updates based on the implementation details of the MDP. The Handler exposes the OnixS::CME::MDH::BookManagement::updateNotification member defining the way how to raise the book updates.

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

The following table depicts currently available strategies and describes how the Handler behaves in each particular case.

Strategy Description
OnixS::CME::MDH::BookUpdateNotification::OnEndOfEvent

A book update event is raised at the end of the market (sub-) 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.
Note
The given strategy strictly follows MDP rules on publishing order books and is used by the Handler by default.
OnixS::CME::MDH::BookUpdateNotification::OnSecurityChange

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 and without waiting till the end of a market event.

Warning
The given strategy does not satisfy MDP policies on exposing order books and can be used at its own risk! Also, books may not be in a valid state (especially consolidated) because they are published earlier than the entire market event is processed.