leve2 orderbook processing problem
Hello everyone, I read this article How to Sort & Process Level 2....., now I have some general understanding as to how to process level2 orderbook message. Some extra problem I want to know more :
First, Is there any flag for the first RefreshMsg just like the Complete flag for the last RefreshMsg ? As I see, application should clear the whole cached orderbook if receiving the first RefreshMsg, as it can't apply the RefreshMsg on the maybe outdated local cache caused by network problem, like connection loss.
Second, I read that it is theoretically possible to receive an UpdateMsg interspersed with the multi-part RefreshMsgs, so is there possible that the update message for certain row arrives before refresh message for that row ? For example, the update message indicates delete the row, while later the subsequent refresh message add the row, which may cause the wrong processing result.
Third, Will full RefreshMsg sent periodically especially after market close? If no, suppose my application lost some operation for example deleting some order entries due to network problem, Then it will forever exist in my local cached orderbook and will never have opportunity to be deleted again.
Thanks, expecting your reply!
Best Answer
-
Hi @iscas.wang
To answer Q1 and Q3 - as with Level 1 MarketPrice data, If there is a temporary issue e.g. the Service is down/unavailable; you would expect to receive a statusMsg with either a DataState Suspect - so you would need to handle any such status message accordingly.
Once the connection recovers - the server should send you a full unsolicited Refresh - which would contain the full order book again - thereby ensuring you have the latest representation of the Order Book.
In other connection loss scenarios, you will receive a StatusMsg with a StreamState Closed/ClosedRecover etc - depending on whether the upstream server believed the item was recoverable in the near future. Once a stream is closed, you will not receive any further updates for that instrument stream. You can read the following article for more details on EMA connection and item recovery.
The Mechanics of EMA Connection and Item Recovery | Refinitiv DevelopersIn terms of Q2, an UpdateMsg can only reference a row that has already been sent to you as part of a previous RefreshMsg.
0
Answers
-
@umer.nalla Thanks for your reply. Your article helps me greatly in understanding the level2 orderbook data format and processing logic.
1
Categories
- All Categories
- 6 AHS
- 37 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 367 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 59 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛