SSE Level 2 Vendor Interface Specification(FAST)-17章-Custom operator for order queue（委托队列的自定操作符）

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.

>>>除了委托摘要(UA1112)外,自定义操作符也用于委托队列(UA1111).

>>>在委托队列中,有两个等级的操作,第一等级用于price等级,第二等级用于每个price等级的委托队列.

>>>第一个等级的概念与委托摘要相同.

>>>ImageStatus (10146)指出数据是全镜像还是更新(update).如果数据是更新(update),那么在每个price等级里

>>>肯定是一个PriceLevelOperator (10147).price等级操作符是insert/update/delete.

>>>price的顺序应该是被保持的.每个price等级包含它们的委托队列.

>>>如果在 ImageStatus里数据是更新(update)或者在PriceLevelOperator里数据是增加(add),那么在每个

>>>委托队列里肯定是OrderQueueOperator (10148) 和 OrderQueueOperatorEntryID (10149).

>>>委托队列操作符是add/update/delete.

>>>委托队列操作符入口ID是委托队列的最新镜像的序号,并且它从 0 开始.入口ID仅用于更新(update)和删除(delete).

>>>对于增加(add),在委托队列的尾部,顺序一定要增加.

 

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（用于委托队列的自定操作符）--完