Level1 Data - Best Bid Offer

Overview

The Level1 level of market data can represent both the exchange-local top of the book (BBO), as well as the National Best Bid Offer (NBBO). This is always a one sided quote.

The unique key for this kind of data entry is a combination of the symbol, exchange, and side fields.

The following entries can be sent within the Level1 data stream:

• L1Entry
• TradeEntry

The scheme above describes the process of validation of an incoming message. If the validation rules are not met, the message is rejected, and no updates are made by this message. The green color of the condition indicates that this is a warning case, and not a reason to consider the message invalid.

Package Validation

Package validation block checks the package consistency. It is possible to mix trades from different exchanges in one package. But it is not allowed to send snapshots for multiple exchanges within one package. It is considered that the snapshot of the current state of the book for each exchange is sent entirely within one package. There cannot be, for example, a snapshot of each side of the book sent separately in multiple packages.

Trade entries in this format can be sent as an incremental updates. They do not affect state of the book.

Fields Validation

For each market data entry in a package, the following conditions must be valid:

• Entry Size must be provided as a number (not a NaN). In some special cases, Entry Size can be NULL (Not to be confused with NaN. Decimal64 format allows multiple INT64 values to represent Not-A-Number (NaN). Deltix designates one of them as NULL.
• Entry Price must be provided. The price should be a number > 0 by default, and not NULL. Negative prices are allowed (for example, for spreads or synthetic instruments trading). To avoid processing warnings, the price of the bid entry should be less than the offer entry price.
• Entry Side must be provided.

There is a warning case if a bid is not less than the ask within one exchange.

Snapshots example

Part 1

Consider the following sequence of L1 snapshot messages. Pay attention to the Exchange ID.

Message 1

Package Type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	HOTSPOT	Bid	100	10.35
L1Entry	HOTSPOT	Ask	150	10.4

Message 2

Package Type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	LMAX	Bid	150	10.35
L1Entry	LMAX	Ask	100	10.42

Message 3

Package Type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	CURRENEX	Bid	120	10.36
L1Entry	CURRENEX	Ask	150	10.45

Message 4

Package Type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	JPM	Bid	90	10.34
L1Entry	JPM	Ask	70	10.42

Aggregated order book

At this point, the aggregated order book looks like this:

Exchange Id	Best Bid Size	Best Bid Price	Best Ask Price	Best Ask Size
HOTSPOT	100	10.35	10.4	150
LMAX	150	10.35	10.42	100
CURRENEX	120	10.36	10.45	150
JPM	90	10.34	10.42	70

Invalid snapshot message

note

At any point, the following snapshot message would be invalid (it mixes entries from different exchanges).

Package type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	LMAX	Bid	100	10.32
L1Entry	JPM	Ask	100	10.39

Part 2: One-sided quote

The order book referenced below is a continuation from Part 1.

Consider receiving a one-sided incremental update message (new bid only).

Package Type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	CURRENEX	Bid	50	10.33

The resulting order book:

Exchange Id	Best Bid Size	Best Bid Price	Best Ask Price	Best Ask Size
HOTSPOT	100	10.35	10.4	150
LMAX	150	10.35	10.42	100
CURRENEX	50	10.33	10.45	150
JPM	90	10.34	10.42	70

Part 3: Two-sided quote

The order book referenced below is a continuation from Part 2.

Consider receiving an update for both sides of the CURRENEX order book.

Package type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	CURRENEX	Bid	80	10.34
L1Entry	CURRENEX	Ask	50	10.41

The resulting order book:

Exchange Id	Best Bid Size	Best Bid Price	Best Ask Price	Best Ask Size
HOTSPOT	100	10.35	10.4	150
LMAX	150	10.35	10.42	100
CURRENEX	80	10.34	10.41	50
JPM	90	10.34	10.42	70

Part 4: One-sided snapshot

The order book referenced below is a continuation from Part 3.

Consider receiving a snapshot with the BID side only.

Package type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	CURRENEX	Bid	50	10.33

It is considered that one snapshot message passes the entire snapshot for exchange. There cannot be one side snapshot sent separately. Therefore, the ASK side of the order book is empty for this exchange after applying the snapshot message.

Exchange Id	Best Bid Size	Best Bid Price	Best Ask Price	Best Ask Size
HOTSPOT	100	10.35	10.4	150
LMAX	150	10.35	10.42	100
CURRENEX	50	10.33
JPM	90	10.34	10.42	70

Part 5: Ask = Bid

The order book referenced below is a continuation from Part 4.

Consider receiving an update for both sides of the HOTSPOT order book.

Package type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	HOTSPOT	Bid	100	10.32
L1Entry	HOTSPOT	Ask	100	10.32

This causes a warning because the bid price is equal to the ask price, but the message is still processed as valid.

The resulting order book:

Exchange Id	Best Bid Size	Best Bid Price	Best Ask Price	Best Ask Size
HOTSPOT	100	10.32	10.32	100
LMAX	150	10.35	10.42	100
CURRENEX	50	10.33
JPM	90	10.34	10.42	70

Part 6: Size validation

The order book referenced below is a continuation from Part 5.

Consider receiving an invalid incremental update message.

Package type: SNAPSHOT

Entry	Exchange Id	Side	Size	Price
L1Entry	JPM	Ask	INFINITY	10.35

This is an invalid size so the message is rejected by the validator. The order book remains unchanged.