Table of Contents


NxCoreMMQuote

The structure NxCoreMMQuote is defined in NxCoreAPI.h as:


struct NxCoreMMQuote {
    NxCoreQuote   coreQuote;
    NxString*     pnxStringMarketMaker;
    unsigned char MarketMakerType;
    unsigned char QuoteType;
    unsigned char alignment[2];
};

coreQuote

See here

pnxStringMarketMaker

Is a pointer to a NxString, which is a 2- or a 4-character string that identifies the Market Maker making the update to the coreQuote data member fields. Example strings are "BRUT", "MSCO", "D1", "D3", etc.

When it's a 2-or-3-character string in the form of "D1", "D2", "D3", ..., "D10", it represents a "Depth Level" for a Level 2 book, and not a market maker.

"D1" is the BBO of the book, "D2" is a tick worse than the best, "D5" is the 5th worst Bid or Ask of the book, and up until D10.

Futures is a good example where this field is used to signify a 5- or 10-level deep book (depending on the exchange), via the D1-D10 market maker IDs

MarketMakerType

Defined and supplied by Nasdaq to identify the type of Market Maker (identified in MarketMakerString) is for the equity SymbolString. MarketMaker types are defined in NxCoreAPI.h as:

#define Value Comments
NxMMT_UNKNOWN 0 When the Market Maker type has not been defined.
NxMMT_REGULAR 1 Regular Market Maker -- not a Primary Market Maker, and not a Passive Market Maker.
NxMMT_PRIMARY 2 Primary Market Maker for the equity identified in coreHeader.pnxStringSymbol.
NxMMT_PASSIVE 3 Passive Market Maker for the equity identified in coreHeader.pnxStringSymbol

QuoteType

Defined and supplied by Nasdaq to identify a special type of quote. QuoteTypes are defined in NxCoreAPI.h as:

#define Value Comments
NxMMQT_UNKNOWN 0
NxMMQT_REGULAR 1
NxMMQT_PASSIVE 2 Passive quote. (not same thing as NxMMT_PASSIVE, which is a type of market maker)
NxMMQT_SYNDICATE 3 A syndicate bid. One-sided quote, BID only.
NxMMQT_PRESYNDICATE 4 A presyndicate bid. One-sided quote, BID only.
NxMMQT_PENALTY 5 A penalty bid. One-sided quote, BID only.