MARKET_BY_PRICE OR_RNK_RUL OPT But No Oder Type

jzhao
jzhao
in ETA

Hi,

In processing MarketByPrice data for HK, the value of OR_RNK_RUL is 4(OPTS), i.e., Order Type, Price, Time, Size. However the feeds don't have "Order Type". See snippet below. Please advise.

SUMMARY DATA

PROD_PERM4949[4]

DSPLY_NAMEHSBC HOLDINGS[19]

TIMACT08:08:40:000:000:000[10]

CURRENCYHKD(344)[14]

ACTIV_DATE<blank data>

RECORDTYPE113[4]

PREF_DISP<blank data>

DSPLY_NMLL匯豐控股[19]

RDN_EXCHD2HKG(92)[14]

PROV_SYMB5[19]

PR_RNK_RULNOR(1)[14]

OR_RNK_RULOPTS(4)[14]

MNEMONIC5[19]

TIMACT_MS29320125[4]

CONTEXT_ID2398[8]

DDS_DSO_ID4097[4]

SPS_SP_RIC.[SPSHKTL2[17]

BOOK_STATEN(1)[14]

HALT_REASN<blank data>

MKT_OR_RUL(0)[14]

TRD_STATUS<blank data>

HALT_RSN<blank data>

PRICE POINT: 64.600A

ACTION: RSSL_MPEA_ADD_ENTRY

ORDER_PRC64.600[8]

ORDER_SIDEASK(2)[14]

NO_ORD38[4]

ACC_SIZE131200[8]

LV_TIM_MS<blank data>

LV_DATE<blank data>

Tagged:

Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @jzhao

    Apologies for the late reply.

    I have been advised by Level 2 specialist that there is an error with the OrderBook ranking rules related information we have with HKEx and it will be addressed in the next possible venue software (feed handler) update.

    I have been advised that it should be PTS rather than OPTS.

Answers

  • umer.nalla
    umer.nalla

    Hi @jzhao

    Can you please confirm exactly which RIC code (instrument name) you are requesting?

    And is this from Elektron service or you are using some other Direct Feed?

    Thanks.

  • jzhao
    jzhao

    the RIC code is 0005.HK, and the Elektron service is ELEKTRON_DD. Thank you,

  • umer.nalla
    umer.nalla

    Hi @jzhao

    I have contacted some level 2 specialist and will get back once I get a response.

  • jzhao
    jzhao

    Thank you Umer. We thought the ORDER_TONE was kind of providing the order type (like market order and maybe others) so in that sense we should sort the order type first. However all other markets like Japan, Korea, Taiwan, Australia all have PTS

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