Format of MDServerDepth
MDServerDepth has a sequence of MDDepthEntry's, each giving leg information on askside or bidside. The ExtraParamameters of MDDepthEntry should contains the following keys:
Key | Value | Mandatory | Description |
legside | 1 or 2 | yes | The leg number of the values. |
Allin | float | no | AllinRate of quote of the corresponding leg. |
FwdPts | float | no | Forward Points of the corresponding leg. |
The extra parameter of the MDServerDepth should also contain "QuoteType" key with value SPOT/SWAP/FORWARD. (Refer to Sample events).