Transaction Begin Message Fields

The Transaction Begin message indicates any subsequent messages, up to the accompanying Transaction End message, are all part of the same transaction block. One example of where this might be used is when a single aggressive order executes against several resting orders. All PITCH messages corresponding to such an event would be included between a Transaction Begin message and Transaction End message. It is important to note that any PITCH Message Type may be included in a transaction block and there is no guarantee that the messages apply to the same price level or even the same Symbol. Transaction Begin messages do not alter the book and can be ignored if messages are being used solely to build a book.

Feed processors can use a transaction block as a trigger to postpone publishing a quote update until the end of the transaction block. In the prior example of a single aggressive order executing against multiple resting orders, a top of book feed would be able to publish a single trade message and quote update resulting from multiple Order Executed messages once it finished processing all of the messages within the transaction block.