Differences

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--- developers:websocket:quotes [2025/03/15 14:26] – chad
+++ developers:websocket:quotes [2025/03/17 16:51] (current) – chad
@@ Line 80: / Line 80: @@
   * **MarketDefinition** – Sent once per market, unless already received via another feed.
   * **MarketSnapshot** – Provides a full market state on initial subscription.
-  * **MarketDepthUpdate** – Sends incremental changes to depth.
+  * **MarketDepth** – Sends incremental changes to depth.
 Example MBP message handling:
-<code>
+<code c#>
 private void HandleMarketMessage(ServerMessage serverMessage)
 {
@@ Line 91: / Line 91: @@
         case ServerMessage.PayloadOneofCase.MarketDefinition:
             ProcessMarketDefinition(serverMessage.MarketDefinition);
-            _logger.LogInformation("Received market definition: {MarketId}", serverMessage.MarketDefinition.MarketId);
             break;
         case ServerMessage.PayloadOneofCase.MarketSnapshot:
             ProcessMarketSnapshot(serverMessage.MarketSnapshot);
-            _logger.LogInformation("Received market snapshot: {MarketId}", serverMessage.MarketSnapshot.MarketId);
             break;
-        case ServerMessage.PayloadOneofCase.MarketDepthUpdate:
+        case ServerMessage.PayloadOneofCase.MarketDepth:
-            ProcessMarketDepthUpdate(serverMessage.MarketDepthUpdate);
+            ProcessMarketDepth(serverMessage.MarketDepth);
-            _logger.LogInformation("Received depth update for market: {MarketId}", serverMessage.MarketDepthUpdate.MarketId);
             break;
@@ Line 110: / Line 107: @@
 }
 </code>
 ===== Market by Order (MBO) =====
-MBO provides a **detailed view** of the market by reporting **every individual order** in the book. Unlike MBP, which aggregates orders at price levels, MBO allows clients to track order-level movements.
+MBO provides a **detailed view** of the market by reporting **every individual order** in the book. Unlike MBP, which aggregates orders at price levels, MBO allows clients to track order-level movements. MBO also allows clients to determine their **position in queue** in the market.
 MBO data includes:
-  * **Full Order Book Snapshot** – Sent when first subscribing.
+  * **MarketByOrderSnapshot** – Full snapshot of the current order book state.
-  * **Incremental Updates** – Sent in real-time as new orders enter or exit the book.
+  * **MarketByOrderUpdate** – Incremental updates to the order book.
 ==== MBO Subscription Example ====
-Example **MarketDepthSubscribe** message for MBO:
+To receive MBO data, clients send a **MarketByOrderSubscribe** message.
 <code>
-MarketDepthSubscribe {
+MarketByOrderSubscribe {
-   MarketId = "XCME_C ES (M25)",
+   exchange_id = "CME",
-   SubscriptionType = MarketDepthSubscriptionType.ByOrder
+   contract_id = "ESM25",
+   market_id = "XCME_C ES (M25)",
+   subscribe = true
 }
 </code>
@@ Line 133: / Line 134: @@
 ==== Unsubscribing ====
-Example **MarketDepthUnsubscribe** message:
+To stop receiving MBO data, clients send a **MarketByOrderSubscribe** message.
 <code>
-MarketDepthUnsubscribe {
+MarketByOrderSubscribe {
-   MarketId = "XCME_C ES (M25)"
+   exchange_id = "CME",
+   contract_id = "ESM25",
+   market_id = "XCME_C ES (M25)",
+   subscribe = false
 }
 </code>
 ==== MBO Message Handling ====
@@ Line 151: / Line 156: @@
 Example MBO message handling:
-<code>
+<code c#>
 private void HandleMBOMessage(ServerMessage serverMessage)
 {
     switch (serverMessage.PayloadCase)
     {
+        case ServerMessage.PayloadOneofCase.MarketByOrderSubscribeReject:
+            ProcessMarketByOrderSubscribeReject(serverMessage.MarketByOrderSubscribeReject);
+            break;
         case ServerMessage.PayloadOneofCase.MarketDefinition:
             ProcessMarketDefinition(serverMessage.MarketDefinition);
-            _logger.LogInformation("Received market definition: {MarketId}", serverMessage.MarketDefinition.MarketId);
             break;
         case ServerMessage.PayloadOneofCase.MarketSnapshot:
             ProcessMarketSnapshot(serverMessage.MarketSnapshot);
-            _logger.LogInformation("Received MBO snapshot: {MarketId}", serverMessage.MarketSnapshot.MarketId);
             break;
         case ServerMessage.PayloadOneofCase.MarketOrderUpdate:
             ProcessMarketOrderUpdate(serverMessage.MarketOrderUpdate);
-            _logger.LogInformation("Received MBO order update: {MarketId}", serverMessage.MarketOrderUpdate.MarketId);
             break;
@@ Line 177: / Line 183: @@
 }
 </code>
 ===== Delayed vs. Non-Delayed Data =====
@@ Line 183: / Line 190: @@
   * They have an expired simulator account.
-  * Their market data entitlements do not allow real-time access.
+  * Their market data setup only permits delayed data.
 A **flag on the messages** indicates whether the data is delayed. Clients should check this flag before displaying market data.
-Example **MarketDefinition** field:
 ^ **Field** ^ **Description** ^
-| IsDelayed | `true` if the market data is delayed, `false` if real-time. |
+| Delayed | `true` if the market data is delayed, `false` if real-time. |
 If delayed data is received, clients should notify users that the feed is not real-time.
+<bootnote>
+T4 does not support delayed MBO data at this time.
+</bootnote>
+===== Secondary Market Data =====
+In addition to quotes, a market data feed subscription will include secondary market data:
+^ **Message** ^ **Description** ^
+| MarketDepthTrade | If a `Trade` feed is subscribed, the trade ticker is sent as a feed of MarketDepthTrade messages. |
+| MarketHighLow | Publishes updates to the high and low prices reached by the market. |
+| MarketPriceLimits | Publishes the price limits (bands or collars) set by the exchange for the market. |
+| MarketSettlement | Contains the latest market settlement, held settlment, open interest, cleared volume and VWAP information as published by the exchange. |