Two Side Update Message

Two Side Update messages provide an updated price and size for both sides of a Symbol. One Two Side Update message may reflect one or more updates to the inside book that were processed at the same time, but will only be done so in a way that can be arbitrated between A/B feeds.

Two Side Update messages come in two variants: Two Side Update Expanded (Short and Two Side Update Expanded (Long). The Two Side Update Expanded(Short) message is used whenever possible, but the Two Side Update Expanded (Long) message is used when the Price cannot be represented by a Binary Short Price or the Quantity cannot be represented by an unsigned 16-bit integer.

If any All or None size exists on both sides at a price level at or better than the firm quote, it will be represented by a separate message.

If any customer firm size exists, the best customer firm quote will be represented as a separate message. (C1 Only)