.NET API Incremental updates

Introduction

dxFeed .NET API incremental updates allow you to receive incremental updates of book snapshot. This method is used to prevent getting a full book snapshot every time an update occur. As a result, you get only actual updates of book in accordance with your market data subscription.

Source code

You can find the latest source code sample for dxFeed .NET API on GitHub. This is the example of the NativeConnection.CreateIncOrderSnapshotSubscription method that uses the NativeSnapshotSubscription.

Sample script

Sample script that runs incremental update is located in dxfeed-net-api package. The result sample is shown in the picture below.

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For your requests, specify an endpoint and a valid token provided by dxFeed team.

Interfaces

IDxIncOrderSnapshotListener interface provides receiving snapshot and book update messages for the full order book or price level book.

1. The listener receives the first message that is always a snapshot.

2. Then the listener usually obtains messages with updates of the book. However, sometimes you may obtain actual book snapshot depending on your endpoint settings.

3. Make sure that the book display is proper.

How to receive data

Use an orders' source to receive data from specific exchanges based on the instrument’s OPOL. You can receive a book for instruments from different exchanges, depending on your subscription. Set the source at the moment of subscription to orders. Here you may find a list of all orders' sources.

Source examples

For CME Group

If OPOL is XCME, XNYM, XCEC, XCBT then set the source to GLBX.

For Nasdaq

If OPOL is XNYS, ARCX, XNAS, XASE, BATS, IEXG then set the source to NTV.

Note

Use AGGREGATE_ASK and AGGREGATE_BID for price level book subscription if an exchange has an unexpected source value due to the aggregated price levels. AGGREGATE_ASK and AGGREGATE_BID will provide up to 15 Ask and Bid levels, despite specified “_ASK” or “_BID”. For example, such sources can be set for Eurex exchange.

You can learn more about the whole Order Book Reconstruction process.