Exchange-assigned OrderIDs

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hedgefair
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Joined: Wed Nov 13, 2019 6:49 pm

Exchange-assigned OrderIDs

Post by hedgefair » Tue Apr 20, 2021 11:01 pm

CME : "Exchange-assigned OrderIDs are unique per order and are consistent for the life of the order.  " 

With bookmap onDepth (boolean isBid, int price, int size) looks like the ID of the order is missing.

How can I get the CME OrderID for each orderbook update?

Thanks

AndreyR
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Re: Exchange-assigned OrderIDs

Post by AndreyR » Wed Apr 21, 2021 8:04 am

Hi, if the question is about getting order ids (market-by-order data, if supported by the adapter) in your module:
  • for Simplified API, your module should implement MarketByOrderDepthDataListener
  • for Core API , your module should implement Layer1ApiMboDataListener
Again, the adapter should support MBO data.

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