Maintaining the order book

Maintain order books using the Starbase Binary API including Buy Put, Sell Put, Buy Amount Reduced, Sell Amount Reduced, and Order Delete messages.

Position in the price-time priority queue is explicitly stated and can be tracked using the sortOrderId. Snapshots are disseminated starting with the first-to-execute order, in sequence of execution priority. Priority should never be inferred from message sequence and should be taken from sortOrderId as speed bumped orders and certain risk-checked orders will be assigned priority some time before they are disseminated.

Heartbeat messages

A heartbeat message will be sent as an empty packet (0 messages). The heartbeat interval is 5 seconds and will be sent when the interval has elapsed since the last send. The packet will contain the current sequence number. This ensures that the sequence number stream is alive even when there are no market data changes.

Incremental messages

Buy Put (20)

This message is sent when a new buy order is placed, an existing buy order is partially executed or an existing buy order is amended. The order specified by a Buy Put moves to the back of the price level queue.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID
3	quantity	QuantityMantissa	8	It represents the requested order’s visible quantity
4	price	Price9	8	The price of the order or quote
5	sortOrderId	int64	8	Used to indicate order priority within a price level. A smaller number has priority over a larger number.

Sell Put (21)

This message is sent when a new sell order is placed, an existing sell order is partially executed or an existing sell order is amended. The order specified by a Sell Put moves to the back of the price level queue.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID
3	quantity	QuantityMantissa	8	It represents the requested order’s visible quantity
4	price	Price9	8	The price of the order or quote
5	sortOrderId	int64	8	Used to indicate order priority within a price level. A smaller number has priority over a larger number.

Buy Amount Reduced (22)

This message is sent when the amount of an existing buy order is amended to be smaller. This does not affect the order’s position in the price level queue.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID
3	quantity	QuantityMantissa	8	New quantity

Sell Amount Reduced (23)

This message is sent when the amount of an existing sell order is amended to be smaller. This does not affect the order’s position in the price level queue.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID
3	quantity	QuantityMantissa	8	New quantity

Buy Order Delete (24)

This message is sent when a buy order is fully executed or cancelled.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID

Sell Order Delete (25)

This message is sent when a sell order is fully executed or cancelled.

Field	Name	Type	Length	Description
1	orderId	int64	8	Numeric exchange assigned order ID
2	instrumentId	int64	8	Numeric instrument ID

Snapshot messages

Snapshots are made up of Buy Put (21) and Sell Put (21) messages. Each snapshot for an instruments starts with SnapshotHeader (100) and ends with SnapshotTrailer (101). After all snapshots have been sent, a EndOfCycle (119) message is sent.

SnapshotHeader (100)

Field	Name	Type	Length	Description
1	instrumentId	int64	8	Numeric instrument ID
2	incrementalTimestamp	int64	8	Nanoseconds since epoch. Timestamp of last incremental update included in this snapshot.
3	incrementalSeqNum	int64	8	Sequence number of last incremental update included in this snapshot

SnapshotTrailer (101)

Field	Name	Type	Length	Description
1	instrumentId	int64	8	Numeric instrument ID
2	incrementalTimestamp	int64	8	Nanoseconds since epoch. Timestamp of last incremental update included in this snapshot.
3	incrementalSeqNum	int64	8	Sequence number of last incremental update included in this snapshot

EndOfCycle (119)

Field	Name	Type	Length	Description
1	activeInstrumentCount	int32	4	Total number of active instruments