EMA C++ RDM Usage Guide : 7 Market By Order Domain : 7.5 Specific Usage: LDF Direct and Response Message Payload
 
7.5 Specific Usage: LDF Direct and Response Message Payload
LDF Direct uses MarketByOrder for several markets, including NASDAQ TotalView, Archipelago ECN order book, and Instinet ECN order book.
The payload is a Map. Each Refresh for this Map includes summary data and a single MapEntry. Updates are not sent for any map entry until after the message is sent with RefreshMsg.Complete set to true. Since each resposne message includes only one map entry, DataDefinitions are not used to reduce bandwidth. The Map.TotalCountHint is not provided.
The 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.
OR_RNK_RUL (3425): Enumeration of order ranking rules.
STOCK_RIC (1026): RIC of the underlying equity.
The MapEntry.Key is a buffer that contains the Order ID. The Map.KeyFieldId is not set, but this may be changed in the future.
The MapEntry.Data is a field list that contains some or all of the following information about the order:
ORDER_PRC (3427) & ORDER_SIDE (3428): Real and Enumeration for the order price & side (buy or sell/bid or ask).
ORDER_SIZE (3429): Real for the order size.
ORDER_ID (3426): Same value as the MapEntry.KeyData. This may be removed in the future by setting the Map.KeyFieldId to ORDER_ID (3426).
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.