Orderbook Management

When a client receives an order-related message they should update the state of their corresponding orderbook immediately.

The Order Number assigned to an order should be used by clients to determine the priority between two orders at the same price (i.e. the order with the ‘lower’ Order Number at the same price has better priority in the book).

An Add Order [A] message is sent by the exchange to indicate that an order has been added to an orderbook
An Order Delete [D] message indicates that an order has been fully removed from its orderbook
An Order Replace [U] message is sent to indicate that an order has changed its price and/or quantity and/or Order Number in its orderbook

Order Executions

During normal trading when an incoming aggressor order matches, the Order Executed [E] message is sent for the passive orders that matched it (i.e. one message per execution). The Executed Quantity field indicates both the quantity of the trade as well as the quantity that clients must decrement from the specified order in their orderbook.

An Add Order [A] message is then sent for any outstanding balance of the incoming aggressor order which now rests in the book; no message is sent if the aggressor was fully matched. No message is sent for an IOC (FaK) incoming order.

At the uncrossing of an auction, the Order Executed with Price [C] message is sent for each executed buy and sell order (i.e. two messages per execution).

A Trade [P] message is sent for executions with quantities not published in the book (e.g. Block Trades).