Modulus Financial Engineering
NAQ Professional Data Feed API (Level I and Level II)

ProcessL2NASDAQRecap

This event will fire once, immediately after calling WatchL2.

Update Key = Symbol, Feed, MarketMakerID, BidOrAsk
If there is an entry in your table with this update key, update the record. Otherwise, create a new record in your table with this data.

Ignore this message if you are using the supplied grid Level II interface, as the grid control automatically recognizes this message.

ProcessL2NASDAQRecap (BSTR Symbol, long TradeDate, long TradeTime, double Price, long Quantity, double Delta, long Count, long CorrelatedCount, BSTR Condition, BSTR MarketMakerID, BSTR Feed, BidAsk BidOrAsk)

Remarks

The ProcessL2NASDAQRecap event is for NASDAQ equities only.

If BidOrAsk is Bid, Quantity refers to the Bid Size. If BidOrAsk is Ask, Quantity refers to the Ask Size.

CorrelatedCount is the number of times an entry has been at the top (also known as @Top).