Order Book Data
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:
-
The
*-orderbook-*
SP subscribes toOrderbookUpdates
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
- The
- OrderbookUpdates:
-
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.
- The
- Depth:
- The
Depth
schema is a table of market-by-price orderbook data which represents the depth of an order using values in an explicitdepth
column.
- The
- OrderbookSnapshots:
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.
Configurations
- .fsi.isAllLevelTotalSize
When totalAsk/BidSize columns are populated in
Depth
andOrderbookSnapshots
, they are depending on.fsi.isAllLevelTotalSize
value.- 1b: The total size is the aggregation of the all the level 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.