Depth of Book Reference Number ID

In the context of market data for Depth of Book, Reference Number IDs (or "refno") play a crucial role in tracking and managing orders.

1. Reference ID — A unique identification. Each order in the order book is assigned a unique Reference Number ID when it is created. This Ref ID is essential for uniquely identifying each order in the system from Alternative Trading Systems, which can include thousands of orders at any given time.
2. Order Tracking: The Reference Number ID allows for the tracking of an individual order throughout its lifecycle. Whether an order is modified or removed, its ID remains constant, ensuring consistency and traceability.
3. Order Modification and Cancellation: When an order needs to be modified or canceled, the Reference Number ID is used to accurately identify the specific order. This is crucial in a fast-moving market where prices and orders can change rapidly.
4. Real-Time Updates: In real-time trading environments with an Alternative Trading System, collection of orders and using Reference Number IDs enable quick updates to the DORRS order book as new orders come in, existing orders are modified, or orders are removed.

When managing orders in an order book, particularly with New Orders and Add Orders, the use of Reference IDs is key for tracking and modifying these orders. Here's how Reference IDs are used in these scenarios:

New Order:

• When a New Order is created, it is assigned a unique Reference ID.
• This Reference ID serves as a unique identifier for that specific order throughout its lifecycle in the trading system.
• The ID allows for easy tracking and management of the order, whether it is for trade matching, modification, or cancellation.

Add Order (Order Modification) and Remove Order (Order Cancellation):

• When an Add Order is submitted, which refers to the modification of an existing order, there are two scenarios regarding the Reference ID:
  • Maintaining the Same Reference ID: In some systems, the original Reference ID is retained for the modified order. This approach keeps a consistent identifier for the order, even as its details (like quantity or price) change.
  • Assigning a New Reference ID: In other systems, a new Reference ID may be generated when an order is modified. This new ID then replaces the original one, and the modified order is treated as a new entity in the order book.
  • The same would apply to a Remove Order message.

System-Specific Implementation:

The exact approach to handling Reference IDs with Add Orders can vary depending on the specific platform. Some systems might opt for one method over the other based on their requirements for order tracking and system performance.