UMDF FIX/FAST and Conflated: Order Book Management Based on Price/OrderID

Mandatory

Book management by priority makes operations more efficient and global

By aligning processes, products and services with the best practices in the world's leading stock exchanges, B3 is improving its order book management, which will now be based on priority rather than position.

This improvement serves institutions, traders, and market makers who consume market data from major stock exchanges around the world. It is also part of the continuous enhancement process of its trading systems and aims to ensure compatibility with the publication origin of the Binary UMDF messages.

The changes will have minimal impact on the current message structure. In Market By Order (MBO), order priority will be defined by OrderID for same price orders. Order book position will no longer be sent. In Market By Price (MBP) and Top of Book (TOB) feeds, sending order book position will also cease with no changes to ordering by price level.

Project Tags:

Trading

Listed

In Progress

Listed

Technology and operations

Product benefits

Operational efficiency

With more efficient order changes and deletions, which minimizes computational processing and reduces latency.

Resilience

Order book consistency is less affected by the loss of some order messages.

In line with global standards

Market data specifications will match those of other exchanges, thus facilitating integration.

Natural refresh

Feasibility of a natural refresh approach. When previously unreceived orders are deleted, the order book becomes more consistent.

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Priority model ensures greater resilience and integration with global market data systems.

Management of public books will be based on priority (order ID) for same price level. This model minimizes latency and in line with global market data best practices.
By disabling the publication of positions, the overall speed of the market data service increases and generates lower latency.
Market data specifications will be in line with the specifications of other exchanges, thus facilitating integration.
Investors may manage the order book in their own systems in a simple way, based on price and priority.

Institutions, traders, market makers and all participants who demand greater compatibility with global standards, besides providing greater efficiency and resilience in market data processing.

The Unified Market Data Feed (UMDF) platform provides data on events occurring for all assets traded on the PUMA Trading System, such as the order book and its updates, executed trades, instrument status, statistical data, and high availability, synchronization and message recovery services.

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The UMDF Conflated platform enables the use of a lower-cost, lower-maintenance infrastructure. It features a conflation algorithm that limits the order book update rate to every 300 milliseconds, thus avoiding delays during peak periods for investor ystems with low message absorption capacity.

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