Order of feed messages
Is there a strict order in which messages from the feed are received? For example, if a "trade" message from the public feed always preceedes the accompanying updated "depth" message?
RE: Order of feed messages - Added by Nordnet Simon over 5 years ago
Hi, no the order is undefined. Exchanges can do it in different order and we are using multiple threads/processes which means that we never can guarantee the order between diferent types of messages. We can guarantee that the for each instrument and message type the order is guaranteed. So all trades in ERIC B on NasdaqOMX will come in the correct order.