Depth of Book Logic "DOB"

A Depth of Book market data feed provides a real-time view of an Alternative Trading System order book for a particular security, including various market participants' orders to buy and sell. It updates continuously as new orders are added, existing orders are modified, or orders are removed. Here's how it works with new orders, order additions, and order removals:

Depth of Order Book Messages — Order Types

Alternative Trading System submitting Depth of Book information to DORRS. There will be three types of messages to contribute to the order book.

New Order (N):

• When an Alternative Trading System places a new buy or sell order, it is added to the market data feed.
• The order is categorized as a bid (buy order) or ask (sell order) and placed at the specified price level.
• If the order does not immediately match an existing opposite order, it becomes part of the order book, showing the price and size (quantity) of the order.
• The data feed then updates to reflect the addition of this new order, potentially changing the best bid or ask price if the new order is more aggressive than existing orders.

Add Order (A) (Order Modification):

• An Add Order in this context often refers to modifying an existing order. This could involve increasing the size of the order or changing its price.
• When an order is modified, the data feed updates to reflect these changes.
• If the order's price is changed, it may move to a different price level in the order book.
• If the size is increased, the quantity at the particular price level is updated.

Remove Order (R) (Order Cancellation):

• Alternative Trading Systems can cancel their orders before they are executed. When an order is removed, it's withdrawn from the order book.
• The data feed reflects this change by removing the order and adjusting the total quantity available at that price level. This can impact the market depth.