quickfix-developers

[Erich <gra...@al...>]

I am writting a FIX 4.2 market data publisher for an ECN-type platform. We
want to report market depth in snapshots followed by incremental refresh
messages. The order book is two sided and aggregated, i.e. we do not report
individual orders, just the total volume at each price level. The MDEntryID
seems unnecessary as every entry will be uniquely identified by the price
level and position number. Additionally I am not clear how this would work
with the snapshot as this message does not support the MDEntryID field?
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