null prices (refresh and update)

stefanos
stefanos
in WebSocket API

Hi

The websocket API sends conflated prices (fields BID, ASK) every 300ms, and will set these to null if there wasn't a price during the last 300ms. This is problematic for us, especially since we don't get a price at application start until there is a tick.

Is there any way to configure (or subscribe to market) so that for any conflated prices messages we always get the last BID/ASK price instead of null?

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Best Answer

  • Gurpreet
    Gurpreet
    Answer ✓

    Also clarifying your statement - the Websocket protocol will not set BID/ASK fields to null, if there is no activity. The application simply won't receive any update message if the fields haven't changed.

    Only time these fields might be null or 0 is way before the trading day has started. The exact value - null or 0 or last price depends on the exchange/venue that is quoting that instrument.

Answers

  • Gurpreet
    Gurpreet

    @stefanos The conflation only happens in the update messages. Upon login and sending a new subscription request, the application will receive a "Type": "Refresh" message - which is immediate and not conflated and contains all the fields that the instrument supports - unless application requests a subset of fields.

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