TopOfBook (i)
| ID | 9938 |
Used to update the level 1 service following any change to the consolidated Best Bid and Offer.
Field | Name | Type | Req'd | Comments | Pedigree |
|---|---|---|---|---|---|
83 | Y | Length of message including this field. | |||
90 | Y | 0x69=TOB | |||
185 | Y | Time the message was generated. | |||
70 | Y | GTP Instrument identifier. | |||
171 | Y | Venue from which market data is received for the instrument. Please refer to the Additional Field Values section for valid values. | |||
22 | Y | Aggregated size of all bid market orders. Value will be 0 if there are no market orders. | |||
20 | Y | Price of the best buy limit order. The Implied Bid Price for an instrument only traded on yield. | |||
23 | Y | Yield of the best buy Limit order. | |||
21 | Y | Aggregated size of all orders at the best buy limit price. | |||
115 | Y | Aggregated size of all offer market orders. Value will be 0 if there are no market orders. | |||
113 | Y | Price of the best sell limit order. Implied Offer Price for an instrument only traded on yield. | |||
116 | Y | Yield of the best offer Limit order. | |||
114 | Y | Aggregated size of all orders at the best sell limit price. | |||
123 | Y | Please refer to the Additional Field Values section for valid values. | |||
Flags | Y |
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