Apart from market order summary (UA1112), custom operator is also used in order queue (UA1111).
In order queue, there are two level operations, the first level is for price level and the second level is
for the order queue in each price level. The concept of the first level is the same as order summary.
There is ImageStatus (10146) to indicate the data whether it is a full image or an update. If the data is
an update, there must be a PriceLevelOperator (10147) in each price level. The price level operator is
insert/update/delete. The order of price should be maintained. Each price level contains their order
queue. If the data is an update in ImageStatus or add in PriceLevelOperator, there must be
OrderQueueOperator (10148) and OrderQueueOperatorEntryID (10149) in each order queue. Order
queue operator is add/update/delete. Order queue opearter entry id is the sequence number of the latest
image of order queue and it is started with 0. The entry id is for update and delete only. For add
command, the order must be added in the tail of the order queue.
>>>除了委託摘要(UA1112)外,自定義操作符也用於委託隊列(UA1111).
>>>在委託隊列中,有兩個等級的操作,第一等級用於price等級,第二等級用於每個price等級的委託隊列.
>>>第一個等級的概念與委託摘要相同.
>>>ImageStatus (10146)指出數據是全鏡像還是更新(update).如果數據是更新(update),那麼在每個price等級裏
>>>肯定是一個PriceLevelOperator (10147).price等級操作符是insert/update/delete.
>>>price的順序應該是被保持的.每個price等級包含它們的委託隊列.
>>>如果在 ImageStatus裏數據是更新(update)或者在PriceLevelOperator裏數據是增加(add),那麼在每個
>>>委託隊列裏肯定是OrderQueueOperator (10148) 和 OrderQueueOperatorEntryID (10149).
>>>委託隊列操作符是add/update/delete.
>>>委託隊列操作符入口ID是委託隊列的最新鏡像的序號,並且它從 0 開始.入口ID僅用於更新(update)和刪除(delete).
>>>對於增加(add),在委託隊列的尾部,順序一定要增加.
Example on market order queue:
The first data with security id “600000” and side “1” on stream: 10146=1, 10063=1, 44=20, 10067=3,
73=3, 38=1000, 38=500, 38=100
This data is a full image, it contains:
1. price level 20, actual number of orders 3 and number of orders 3
order qty 1000
order qty 500
order qty 100
After the first data (order queue entry id in bracket):
The second data with security id “600000” and side “1” on stream: 10146=2, 10063=2, 10047=1,
44=20.1, 10067=2, 73=2, 38=100, 38=200, 10047=2, 44=20, 10067=3, 73=3, 10148=3, 10149=0,
10148=2, 10149=1, 38=300, 10148=1, 38=1000
This data is an update, it contains:
1. Insert price level 20.1, actual number of orders 2 and number of order 2
1.1 order qty 100
a) order qty 200
2. Update price level 20, actual number of orders 3
2.1 Delete entry 0
2.2 Update entry 1 to order qty 300
2.3 Add order qty 1000
After the second data:
The third data with security id “600000” and side “1” on stream: 10146=2, 10063=2, 10047=3,
44=20.1, 10047=2, 44=20, 10067=5, 73=8, 10148=3, 10149=0, 10148=3, 10149=1, 10148=3,
10149=2, 10148=1, 38=200, 10148=1, 38=400, 10148=1, 38=600, 10148=1, 38=300, 10148=1,
38=500, 10147=1, 44=19.9, 10067=2, 73=2, 38=700, 38=200
This data is an update, it contains:
1. Delete price level 20.1
2. Update price level 20, actual number of orders to 7
Delete entry 0
Delete entry 1
Delete entry 2
Add order qty 200
Add order qty 400
Add order qty 600
Add order qty 300
Add order qty 500
3. Add price level 19.9, actual number of orders 2
Add order qty 700
Add order qty 200
After the third data:
The last data with security id “600000” and side “1” on stream: 10146=1, 10063=2, 44=19.5,
10067=3, 73=3, 38=100, 38=200, 38=100, 44=19.4, 10067=2, 73=2, 38=500, 38=1000
The data is a full image, it contains:
1. Price level 19.5, actual number of orders 3
Add order qty 100
Add order qty 200
Add order qty 100
2. Price level 19.4, actual number of orders 2
Add order qty 500
Add order qty 1000
After the last data:
SSE Level 2 Vendor Interface Specification(FAST)-17章-Custom operator for order queue（用於委託隊列的自定操作符）--完