====== Quote Feed ======

The Quote Feed provides real-time market data in two formats: **Market by Price (MBP)** and **Market by Order (MBO)**.

  * **Market by Price (MBP)** – Aggregates orders at each price level, showing the **best bid/offer (BBO)** or a **depth of market (DOM)** view, typically up to 10 levels.
  * **Market by Order (MBO)** – Provides a full order book, showing each **individual order** at its exact price level.

The available depth and data type depend on the **subscription request** and the **user’s market data setup**.

===== Market by Price (MBP) =====

MBP provides an **aggregated** view of the market. It groups orders at each price level, showing either:

  * **Top of Book (BBO)** – The best bid and offer.
  * **Depth of Market (DOM)** – Typically the **10 best bid/offer levels**.

==== MBP Subscripotion ====

A MBP subscription is configured with DepthBuffer and DepthLevel options.

=== DepthBuffer ===

^ **Value** ^ **Description** ^
| NoSubscription | Used to unsubscribe the market quote feed. |
| Slow   | A buffered feed that provides a reduced rate of updates. |
| SlowTrade   | Same as Slow, but will deliver every trade. |
| Smart   | A minimally buffered feed that is guaranteed to provide every change to best bid/offer. |
| SmartTrade   | Same as Smart, but will deliver every trade. |

<bootnote>
***Smart*** is typically what a trading client front end would use.
</bootnote>

<bootnote>
The "Trade" buffers are needed when displaying a trade ticker or Time and Sales display, or updating a chart.
</bootnote>


=== Depth Levels ===

^ **Value** ^ **Description** ^
| Undefined | Used during unsubscription. |
| BestOnly | Only the best bid and offer will be provided. (Also called Top of Book, TOB.) |
| Normal | The full depth (as provided by the exchange) will be provided (typically top 10 bids and offers.) |


==== MBP Subscription Example ====

To receive MBP data, clients send a **MarketDepthSubscribe** message.

<code>
MarketDepthSubscribe {
   ExchangeId = "CME",
   ContractId = "ESM25",
   MarketId = "XCME_C ES (M25)",
   Buffer = DepthBuffer.Smart,
   DepthLevels = DepthLevels.Normal
}
</code>

==== Unsubscribing ====

To stop receiving MBP data, clients send a **MarketDepthSubscribe** message.

<code>
MarketDepthSubscribe {
   ExchangeId = "CME",
   ContractId = "ESM25",
   MarketId = "XCME_C ES (M25)",
   Buffer = DepthBuffer.NoSubscription,
   DepthLevels = DepthLevels.Undefined
}
</code>


==== MBP Message Handling ====

After subscribing, the following messages are received:

  * **MarketDefinition** – Sent once per market, unless already received via another feed.
  * **MarketSnapshot** – Provides a full market state on initial subscription.
  * **MarketDepth** – Sends incremental changes to depth.

Example MBP message handling:

<code c#>
private void HandleMarketMessage(ServerMessage serverMessage)
{
    switch (serverMessage.PayloadCase)
    {
        case ServerMessage.PayloadOneofCase.MarketDefinition:
            ProcessMarketDefinition(serverMessage.MarketDefinition);
            break;

        case ServerMessage.PayloadOneofCase.MarketSnapshot:
            ProcessMarketSnapshot(serverMessage.MarketSnapshot);
            break;

        case ServerMessage.PayloadOneofCase.MarketDepth:
            ProcessMarketDepth(serverMessage.MarketDepth);
            break;

        default:
            _logger.LogWarning("Unhandled Market Message: {PayloadCase}", serverMessage.PayloadCase);
            break;
    }
}
</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 also allows clients to determine their **position in queue** in the market.

MBO data includes:

  * **MarketByOrderSnapshot** – Full snapshot of the current order book state.
  * **MarketByOrderUpdate** – Incremental updates to the order book.


==== MBO Subscription Example ====

To receive MBO data, clients send a **MarketByOrderSubscribe** message.

<code>
MarketByOrderSubscribe {
   exchange_id = "CME",
   contract_id = "ESM25",
   market_id = "XCME_C ES (M25)",
   subscribe = true
}
</code>

==== Unsubscribing ====

To stop receiving MBO data, clients send a **MarketByOrderSubscribe** message.

<code>
MarketByOrderSubscribe {
   exchange_id = "CME",
   contract_id = "ESM25",
   market_id = "XCME_C ES (M25)",
   subscribe = false
}
</code>


==== MBO Message Handling ====

After subscribing, the following messages are received:

  * **MarketDefinition** – Sent once per market, unless already received.
  * **MarketSnapshot** – A full order book snapshot.
  * **MarketOrderUpdate** – Incremental order updates.

Example MBO message handling:

<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);
            break;

        case ServerMessage.PayloadOneofCase.MarketSnapshot:
            ProcessMarketSnapshot(serverMessage.MarketSnapshot);
            break;

        case ServerMessage.PayloadOneofCase.MarketOrderUpdate:
            ProcessMarketOrderUpdate(serverMessage.MarketOrderUpdate);
            break;

        default:
            _logger.LogWarning("Unhandled MBO Message: {PayloadCase}", serverMessage.PayloadCase);
            break;
    }
}
</code>


===== Delayed vs. Non-Delayed Data =====

Clients may receive **delayed market data** if:

  * They have an expired simulator account.
  * 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.

^ **Field** ^ **Description** ^
| 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. |