dxFeed Order Book
Overview
The Order Book is a market data depth that provides you with an insight into order flow for different analytics. dxFeed Order Book's Order event provides a list of orders for a particular security, including shows of every single quote and order at every price level for stocks. By default, the order sizes don't reflect the "real" order size as reserve/iceberg orders are often placed with a limited showing shares number in the Order Book.
dxFeed provides two data modes for the Order Book:
Full Order Depth (FOD) — delivers individual order data identified by
Indexfield and does not include Order IDs or action types. You reconstruct the order book yourself usingIndexandEventFlagsfields with snapshot and transaction handling. To reconstruct an order book using FOD, see Order Book Reconstruction.Enhanced Order Book (EOB) — an extension of FOD that delivers individual order-level data, including Order IDs, action types, and trade prices. EOB uses the same reconstruction algorithm as FOD and additionally enables per-order tracking, execution history, and aggressor order information. EOB is also referred to as Full Order Book (FOB) and requires explicit enablement via
-Ddxscheme.fob=true. To work with individual orders and execution data, see Enhanced Order Book.
To reconstruct an order book, you can use the OrderBookModel class in dxFeed API or implement the reconstruction algorithm manually using Index and EventFlags fields. For details, see Order Book Reconstruction.
Order Book fields
The Order event carries the core set of fields used across both FOD and EOB modes. For a complete field reference, see QD Model of Market Events and dxFeed API Market Events.