Skip to content

Order Book Data

This page provides an explanation of how the Order Book pipeline works. The FSI accelerator contains an Order Book pipeline which is used to generate Order Book data from Realtime Level 2 Data.

How the Order Book pipeline works

  1. The *-orderbook-* SP subscribes to OrderbookUpdates table from the *fsi-data* RT South.

    • OrderbookUpdates:
      • The OrderbookUpdates schema contains all information Level 2 Quote that is required to build Order Book data including:
        • side = BID | ASK
        • action = Add | Update | Delete

  2. Using the OrderbookUpdates data the Orderbook SP populates two tables:

    • OrderbookSnapshots:
      • The OrderbookSnapshots schema is a table of market-by-price orderbook data which represents the depth of an instrument using enlisted bids and asks bucketed by the configured snapshot size.
    • Depth:
      • The Depth schema is a table of market-by-price orderbook data which represents the depth of an order using values in an explicit depth column.

Both the OrderbookSnapshots and Depth tables are published back to the *fsi-data* RT South to be stored by the FSI SM.

Top of Book (TOB) logic

To help customers keep accurate order books on their own systems, some feeds use both top-of-book (TOB) indicators as a way to flush invalid orderIDs from the orderbook.

A new TOB order is represented by containing a non-null value in the tobMarker column in the L2Quote schema.

If a new TOB is received then any orders that are higher than the TOB are removed from the book, i.e. - For the bid-side of the book orders with price greater than the new TOB price are removed. - For the ask-side of the book orders with price less than the new TOB price are removed.

Configuration

.fsi.isAllLevelTotalSize

When the totalAskSize / totalBidSize columns are populated in Depth and OrderbookSnapshots, they depend on the value of .fsi.isAllLevelTotalSize:

  • 1b: The total size is the sum of the all the levels of size.
  • 0b: The total size is considered only the streamed level, which is configured in .ob.levels.

The default value of .fsi.isAllLevelTotalSize is 1b.