Enhanced Order Book Description
Description
The Enhanced Order Book is an extended version of the Order Book. The Enhanced Order Book's Order event has additional fields like Order ID, Action, Trade price, and other data. This allows advanced analytics like tracking separate fields and their status.
Enhanced Order Book fields
If you work with Enhanced Order Book, you receive data for the Order Book fields and also for the following fields:
Field name | Field type | Description |
|---|---|---|
Action | enum | Meaning of the Order event. The Order can be added or replaced, partially or fully executed, etc. |
ActionTime | timestamp | Time of the last action |
OrderID | long | ID of this order. You receive Order IDs in the standard exchange's form with no additional remapping. Read more about possible Order IDs assignments of different exchanges |
AuxOrderID | long | Additional Order ID for this order. It contains a link to another Order ID - aggressor or replacement. Read more about Aggressor Order Processing |
TradeID | long | Trade (Order Execution) ID (Trade-related field) |
TradePrice | decimal | Trade price (Trade-related field) |
Note
By default, the operation mode for receiving additional data for the Enhanced Order Book is disabled. To enable, use the JVM properties -Ddxscheme.fob=true flag.
Order Action types
The com.dxfeed.event.market.OrderAction field is an enumerated constant that describes the meanings of the Order event actions. These Order Actions are various operations that you can execute with orders in the Extended Order Book. The only exceptions are TRADE and BUST.
Order Action's possible values:
Order Action | Action Type | Description |
|---|---|---|
Empty new fields, conflate events, etc. | The default enum value for backward compatibility with the Order Book. This action derives from other Order fields | |
Add a new order | New Order is entered into the Order Book | |
Replace an order | A modified order with maintained price-time priority. For example, the order re-enters the Order Book. Note that the Order event does not change its ID:
| |
Modify or partially cancel an order | A modified order has no change in its price-time priority | |
Delete an order | This action type fully cancels and removes an order from the Order Book | |
Partial order execution | Size is usually reduced due to partial order execution | |
Full order execution | Fully execute and delete an order. The size is 0 | |
Non-Book Trade | This Trade doesn't refer to any entry in the Order Book. OrderID is empty | |
Trade Bust | Prior TRADE/ORDER execution. BUST doesn't refer to any entry in the Order Book. OrderID is empty |
The table below defines Order Action types and their applicable properties:
Action | Price, Side, Time | Size | Action Time | Order ID | Trade ID | Trade Price, Trade Size | Aux Order ID |
|---|---|---|---|---|---|---|---|
UNDEFINED | (1) | (1) | - | - | - | - | - |
NEW | M | M | M | M | - | - | + (3) |
REPLACE | M (2) | M | M | M | - | - | - |
MODIFY | M | M | M | M | - | - | - |
DELETE | M | 0 | M | M | - | - | + (4) |
PARTIAL | M | M | M | M | + | M | + (5) |
EXECUTE | M | 0 | M | M | + | M | + (5) |
TRADE | - | 0 | M | - | + | M | - |
BUST | - | 0 | M | - | M | - | - |
Check values for the table above:
Value | Description |
|---|---|
M | Mandatory field |
+ | Optional field is specified if available |
- | Inapplicable field is empty |
(1) | Fields are filled according to previous dxFeed API version requirements |
(2) | Symbol and Side remain the same |
(3) | Predecessor order replaces Order ID, if available |
(4) | Successor order replaces Order ID, if available |
(5) | Aggressor Order ID, if available |
Notice
Fields such as Symbol, Index are always filled for all new events. Time and Sequence are always filled for all new events except TRADE/BUST.
The Order Action sample section contains a sample sequence of Order Actions.