An order book data stream contains the record key, entry ID, price, total size, timestamp, and stale flag.
The number of price levels is unlimited.
The record key consists of the symbol, namespace (if present), transport (if present), side indicator (if present), and price. If you omit the namespace, transport, or both, incoming symbol updates from different namespaces and transports are consolidated.
Valid values for the side indicator are B (Bid) and A (Ask). The side indicator column is mandatory if the data stream is targeted for both sides of the order book. The adapter ignores the value of the side indicator column for subscriptions that target separate buy and sell streams.
| Record Key | EntryID | Size | Timestamp | Stale | |||
|---|---|---|---|---|---|---|---|
| Symbol | Namespace | Side | Price | ||||
| IBM | NASDAQ | B | 106.23 | 25345 | 200 | 31--12--2008 T10:32:10.5 36 | false |
| IBM | NASDAQ | B | 106.22 | 74558 | 300 | 31--12--2008 T10:32:09.2 11 | false |
| IBM | NASDAQ | B | 106.19 | 12347 | 600 | 31--12--2008 T10:32:07.8 40 | false |
| IBM | NASDAQ | A | 108.73 | 53298 | 200 | 31--12--2008 T10:32:05.2 66 | false |
| IBM | NASDAQ | A | 108.11 | 53749 | 300 | 31--12--2008 T10:32:03.7 54 | false |
| MSFT | NYSE | - | 55.93 | 65228 | 400 | 31--12--2008 T10:31:53.9 22 | false |
| MSFT | NYSE | - | 55.87 | 54349 | 700 | 31--12--2008 T10:31:46.7 25 | false |