Multiple RFA OMM updates at same Nano second precision

mktdata

Hello, we use RFA 8.1 C++ api's to consume level2 market data using MBP domain. Recently we observed that we were missing on some DELETE instructions from TREP leading to stale data in our cache. In all of those cases we observed that DELETE instruction that we missed was accompanying other messages which had same nano second precision.

See attachment below.

My question is, is it possible that we would miss an update callbacks from RFA library that were received at the same time for any reason?

Jirapongse

@mktdata

Thank you for reaching out to us.

You can enable tracing in the API to verify the retrieved data.

If the DELETE actions were in the trace file but the application didn't receive it, you may need to check your application code. Otherwise, if the DELETE actions weren't in the trace file, you need to contact the content support team to verify the content.

Unknown

Is it possible that the DELETE crashed your callback thread?

mktdata

@CM Wong We have received updates after that specific delete instruction so I don't callback thread crashed.

Unknown

Did you process the OMMMapEntry in the iteration order?

mktdata

Yes we do.

const Map& mapData = static_cast<const Map&>(respMsg.getPayload());

MapReadIterator MapIter;

for ( MapIter.start(mapData); !MapIter.off(); MapIter.forth() )

{

}