1 \addtogroup trade-order-details
3 \brief Details on trade summary functionality.
5 One of the key features of the third generation of CME MDP
6 is an ability to get detailed order information for a trade.
7 To provide compatibility for existent trading systems, MDP
8 sends summary on a number of orders for a trade. However, advanced
9 data containing order ids for each of trades is also now available.
11 The Handler provides an ability to process trades in the same
12 way as previously. However, starting with this major release,
13 trade-related data was enhanced with a collection of order ids
14 which are gathered by the Handler during market data processing
15 and afterward are exposed to the user code together with a trade
18 The OnixS::CME::MDH::HandlerSettings class exposes a new parameter
19 defining processing strategy for the Handler. The parameter can be
20 accessed using OnixS::CME::MDH::HandlerSettings::tradeProcessing
21 members. Currently, there're two strategies available for users.
22 Following table explains behavior or the Handler in case of each
27 <th>Trade Processing Strategy</th>
32 OnixS::CME::MDH::TradeProcessing::SummaryLevel
35 The given strategy tells the Handler to provide only a
36 summary-level of trade data. The details of each order
37 related to the trade are not exposed, and only a number
38 of orders is available. Trade summaries are delivered by
39 the Handler to a client code as soon as the correspondent
40 data is received without any additional delays.
45 OnixS::CME::MDH::TradeProcessing::OrderDetails
48 Tells the Handler to gather detailed information on orders
49 related to each trade. As a result, trade is exposed with
50 order ids referring to the trade in addition to summary
51 information available in a trade. In this mode, trade may be
52 exposed with delays, because MDP sends order ids after trade
53 summary data. Also, data may be distributed across packets
54 belonging to a single market event. Therefore, in general, the
55 given strategy may be slower in comparison to a summary level.
56 However, in 99% the data, belonging to the entire event, is
57 transmitted within a single packet. Therefore, trades are
58 exposed with no delay. Finally, in contrast to book updates,
59 which are strictly exposed at the end of the market event,
60 trades are delivered to the user code as soon as data for those
66 \warning Order ids are sent for trades only through real-time (incremental)
67 feeds. Trades recovered from snapshots do not include order details, and thus
68 a collection of order ids is empty for a recovered trade. CME Partner Exchanges
69 do not provide order details.
71 \note Additional documentation on Trade Summary messages and
72 scenarios can be found on the [CME MDP Trade Summary Wiki](
73 http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+Trade+Summary").
74 It is highly recommended to get a general understanding how client systems
75 connect to and process data sent by CME Market Data Platform.
