Limited Level2 MBP (MP domain) providing multiple levels with same price

mktdata
mktdata Contributor
in RFA

Hello, We are using RFA 8.1 C++ api's to consume Legacy Level2 data using MP domain. We recently noticed that we got multiple levels with same price. Is it expected? We were under impression that LL2 will provide price aggregated levels. Sample RIC for which we received same prices - 1CAIV.VI

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Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hi @mktdata,

    No, this should not happen; can you check the raw logs from the SDK, that your application did indeed receive multiple levels for the same price. In my experience, this usually happens when an application fails to process update/delete or clear cache message correctly.

Answers

  • mktdata
    mktdata Contributor

    Hello, Thank you for your reply. Where I can get LL2 MP domain documentation that describes what type of messages are received (Refresh, update .. etc)?

  • Gurpreet
    Gurpreet admin

    Hello @mktdata. In the legacy MarketFeed protocol, there is no MP domain. The top 10 levels of the book used to be sent as a pseudo market price message, and there were no addition/deletion of individual orders. Are you referring to this as LL2 MP?

  • mktdata
    mktdata Contributor

    Hello @Gurpreet I am referring to what is shown in screenshot below. Where I can get LL2 MBP domain documentation that describes what type of messages are received (Refresh, update .. etc)? I know there is documentation for OMM L2 MBP domain but not sure if same is applicable for LL2 MBP domain.



    1670824605660.png

  • Gurpreet
    Gurpreet admin

    Hi @mktdata,

    Ok, this is using the MarketPrice domain to represent 10 levels of book data. You should not see multiple levels with same price point. Is this error reproducible - can you please capture the OMM logs from the EMA SDK so that we can analyze the raw messages to confirm this is indeed happening.

    The insert/delete of individual orders isn't applicable to this domain. The new update message with directly overwrite an old field value.

  • mktdata
    mktdata Contributor

    @Gurpreet , where can I read more about this domain? Can you mention document name and page no?

  • Gurpreet
    Gurpreet admin
    https://community.developers.refinitiv.com/discussion/comment/100569#Comment_100569
    LL MBP2 isn't a separate domain, but just a way to represent MBP data in a MP domain. You can read about MP domain in this RDM concepts guide in section 6.


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