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Add previous_sequence_number to MarketDataUpdate message #440

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pscott31 opened this issue May 25, 2022 · 0 comments · Fixed by #441
Closed

Add previous_sequence_number to MarketDataUpdate message #440

pscott31 opened this issue May 25, 2022 · 0 comments · Fixed by #441

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@pscott31
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Task Overview

In order to be able to ensure there are no missing messages in a stream of MarketDataUpdate messages
We will Add a new field, previous_sequence_number
So that API clients can verify when they get a message that previous_sequence_number matches the sequence_number of the previous message

Recent changes in data-node have altered the behaviour of sequence_number, it is no longer monotonically increasing with each update of the market depth. Instead it is derived from vega_time, as well as the event sequence number. It is guaranteed to always be increasing, just not montonically.

Also, data-node is about to add batching of MarketDataUpdate messages to reduce the volume. In order for clients to be completely sure there are no missed updates (which would lead to an incorrect view of the order book), include in each update message the first and the last sequence number of all the updates contained within it.

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