Book Building

Events can arrive before the snapshot.

1. Buffer md_event_detail messages.
2. Load the snapshot as your book.
3. Drop buffered events with seq_num at or below latest_seq_num.
4. Apply the rest in seq_num order.

Gaps

seq_num increases by one per event, per market. If it skips, resubscribe; subscribing again restarts the market with a fresh snapshot.

See Message Details for the snapshot and md_event_detail fields.

Example: an XA event

This example, for XA (see Enums), shows an event detail for a GTC order that trades immediately and then rests its remaining qty. The trade and the remaining resting qty added to the book are reported in one event detail message. Its qty fields are relative to the maker side in the trade (event_side), so the rested qty counts as removed from that side. As a result, the level’s final qty, if computed by event_level_begin_qty + event_level_delta_qty, appears negative. This simply means that the level changed sides: the GTC’s remaining qty now rests there as an opposite-side order (i.e. opposite side to the maker in the trade).

For a simpler and more common event detail, see the example in Message Details.

Book before

Side	Price	Qty
Ask	100,015	4,500
Ask	100,012	3,000
Ask	100,010	2,000
Bid	100,000	8,000
Bid	99,998	2,500
Bid	99,995	5,000

Event

In this example, a GTC buy of 6,000 qty at 100,012 ticks takes 2,000 qty at 100,010 ticks and 3,000 qty at 100,012 ticks, then rests its remaining 1,000 qty at 100,012 ticks. This entire multi-level trade and rest is communicated in one md_event_detail message, with event_type LIQ_RMD and event_qual XA:

{
  "type": "md_event_detail",
  "data": {
    "tob": {
      "ask_qty": "4500",
      "bid_qty": "1000",
      "ask_ticks": 100015,
      "bid_ticks": 100012
    },
    "data": {
      "event_type": 2,
      "event_qual": 4,
      "event_side": 1,
      "event_delta_qty": "-6000",
      "event_abs_ticks": 100012,
      "event_tick_depth": 2,
      "event_level_depth": 1,
      "event_level_begin_qty": "3000",
      "event_level_delta_qty": "-4000",
      "event_total_px": "-400044000",
      "seq_num": "3"
    },
    "order": {
      "side": 2,
      "market_id": "1",
      "qty": "6000",
      "ticks": 100012,
      "tif": 2,
      "origin": 1
    }
  }
}

Field	Value	Meaning
event_type	LIQ_RMD	Event type. See Enums.
event_qual	XA	Event qualifier, on LIQ_RMD only. See Enums.
event_side	ASK	Side modified; for EX and XA, the maker side in the trade.
event_delta_qty	−6,000	Total quantity change in the event [1].
event_abs_ticks	100,012	Deepest price touched by the event.
event_tick_depth	2	Ticks from the previous best price.
event_level_depth [3]	1	Levels deep into the book, zero-indexed.
event_level_begin_qty [3]	3,000	Pre-event quantity on the deepest level modified by the event.
event_level_delta_qty [3]	−4,000	Quantity change on the deepest level modified by the event.
event_total_px	−400,044,000	Sum of quantity × ticks over the levels touched [2].

Note 1. For XA events, event_delta_qty is negative because the reference side is the maker side; its absolute value in qty units is the qty traded plus the qty rested, here 5,000 + 1,000.

Note 2. For XA events, event_total_px is value rested minus value traded, here 1,000 × 100,012 − (2,000 × 100,010 + 3,000 × 100,012).

Note 3. event_level_* fields are relative to event_side. For an event that trades (EX or XA), event_side is the maker side, here ASK. event_level_delta_qty is negative because liquidity was removed from that side; begin qty + delta qty below zero means the level changed from its previous side (here from ASK to BID) and the remainder rests, here 1,000 qty rests as a BID.

Book after

Side	Price	Qty
Ask	100,015	4,500
Bid	100,012	1,000
Bid	100,000	8,000
Bid	99,998	2,500
Bid	99,995	5,000