Book Update Notification Strategies

By default, the Handler raises the Book Update event at the end of the corresponding market event. In particular, it triggers updates for:

• MBO and direct books at the end of the End Of Real Quotes sub-event,
• implied books upon reaching the End Of Implied Quotes sub-event,
• consolidated books at the end of the entire event (End Of Event).

This behavior is dictated by rules of MDP to guarantee books validity.

However, considering the fact a single event and sub-event accordingly may consist of multiple packets which in their turn may have multiple messages, sometimes there's a need to have books as sooner as possible.

To satisfy the needs and to consider current implementation details of CME MDP, the Handler provides additional control over the way it raises the book updates. In particular, the Handler exposes OnixS::CME::MDH::HandlerSettings::bookManagement::updateNotification member defining the way how to raise the book updates.

The following table depicts currently available strategies and describes how the Handler behaves in each particular case.

Strategy	Description
OnixS::CME::MDH::BookUpdateNotification::OnEndOfEvent	Book update event is raised at the end of market (sub-) event. The Handler raises book updates for: direct books at the end of real quotes updates, implied books at the end of implied quotes updates, consolidated books at the end of entire event. Note The given strategy strictly follows MDP rules on publishing order books and is used by the Handler by default.
OnixS::CME::MDH::BookUpdateNotification::OnSecurityChange	The Handler raises book update event once security id is changed in a sequence of market data entries being processed by the Handler and without waiting till the end of a market event. Warning Given strategy does not satisfy MDP policies on exposing order books and thus can be used at own risk! Also, books may not be in a valid state (especially consolidated) because are published earlier than entire data for a market event is processed.