Summary information in LL2 MP domain

mktdata
mktdata
in RFA

Hello, we use RFA C++ 8.1 api to consume Level1 and Level2 market data. One of our mutual client wants to get timestamp that is available in summary[E.g. TIMACT_NS] of MBP domain. Basically this timestamp represents last activity time for entire message[& not the individual row update].

If we need similar timestamp in Limited Level 2 MP [LL2 MP domain then how would we get it? I know summary fields are not available for LL2 MP domain but is there any work around you suggest?

Tagged:

Best Answer

  • nick.zincone
    nick.zincone
    Answer ✓

    Hi @mktdata

    The link you provided seems to imply there is a special domain called LL2 MP, but there really is not. There is only just MarketPrice (MP Domain).

    1712756605854.png


    The key thing is that the MP domain may carry LL2-related content, depending on the instrument, but not everything. For example, I can see some LL2 content, but not everything you see within the fixspec definition.

    1712757184674.png

    You can see an example above what I'm referring to. For Apple, you can see some LL2 content (BID, BID_1, BID_2) and possibly other LL2-specific content. It's also worth noting, there are a number of fields you won't see in the LL2 Fixspec definition, such as a number of time-related fields. This is entirely depending on what the exchange provides for that instrument.

Answers

Categories