EMA C++ RDM Usage Guide : 9 Market Maker Domain : 9.5 Specific Usage: LDF Direct and the Response Message Payload
9.5 Specific Usage: LDF Direct and the Response Message Payload
LDF Direct uses MARKET_MAKER for NASDAQ Market Makers.
The payload is a Map. Each Refresh message for this Map includes SummaryData and up to 50 MapEntrys. Updates are not sent for any map entry until after the RefreshMsg.Complete is sent with a value of true. DataDefinitions are not used to reduce bandwidth. The Map.TotalCountHint is not provided.
Map.SummaryData is sent in every refresh, even if it does not change. The fields used are from the RWFFld Field Dictionary:
• PROD_PERM (1): Integer for permission information
• CURRENCY (15): Enumeration of currency for the orders
• TRD_UNITS (53): Enumeration of trade Units for the precision for which order prices are set
• MKT_ST_IND (133): Enumeration of market state
• RDN_EXCHD2 (1709): Enumeration of exchange on which the orders were placed
• PR_RNK_RUL (3423): Enumeration of price ranking rules
The MapEntry.Key’s Data is a Buffer containing a unique market maker ID. The MapEntry.KeyFieldId is not set, but this may be changed in the future.
The MapEntry.Data is a FieldList that contains some or all of the following information about the order:
• BID (22): Real with the best bid price from this market maker
• ASK (25): Real with the best ask price from this market maker
• BIDSIZE (30): Real with the size of the best bid
• ASKSIZE (31): Real with the size of the best ask
• MKT_MKR_ID (212): RmtesString with the Market Maker ID. This may be removed in the future by setting the Map.KeyFieldId to MKT_MKR_ID (212) or MMID (3435).
• MKT_SOURCE (213): Enumeration with the Exchange or City of the quote
• MKT_MKR_NM (214): RmtesString with the Market Maker Name
• PRC_QL_CD (118): Enumeration for first price qualifier
• PRC_QL2 (131): Enumeration for second price qualifier
• QUOTIM_MS (3855): Quote Time in millisecond since GMT of the current day in the GMT time zone
The FieldList.DictId is 0, so it should be ignored.