Handle Blank values in LL2 MBP domain [MP domain]

mktdata

We are using RFA_v8 C++ API , we are seeing duplicate values for Vienna Stock Exchange for RIC - VERB.VI. Upon receiving the tick history for the time when we observed the duplicates , we observed a level with blank BEST_ASK1 but valid value for BEST_ASIZ1.

Please refer the details [ Image attached ] below:

• top 2 Ask levels of the book according to UPDATE 1

Level    Ask Price   Ask Size
  1        75.7         92
  2        75.8        650

• Top 2 Ask levels of the book according to UPDATE 2

Level    Ask Price   Ask Size
  1                      7
  2         75.7        92

• As per guidelines by Refinitive support forum responses - “when exchange sends no tag for bid/ask levels we treat it as empty/no update. In case exchange sends '0' - we treat this as blank or no update.”

Considering this we have 2 possibilities for creating Ask book at our end from above updates for top 2 ask levels.

• POSSIBILITY 1 – update BEST_ASK1 with blank

Level    Ask Price   Ask Size
  1                     7
  2         75.7        92

How do we justify this , a level having a blank value in price but a valid size, How can we create a book at our end for this update?

• POSSIBILITY 2 - treat blank value at BEST_ASK1 from Refinitiv as no update

Level    Ask Price   Ask Size
  1        75.7         7
  2        75.7         92

If we treat blank values in BEST_ASK1 as no update – it would mean the previous value in UPDATE 1 will stay in the BEST_ASK1 FID i.e. 75.7 .Resulting in duplicate.

Please provide some clarity over above 2 scenarios of possible values with which we should construct the book at our end for above mentioned UPDATE 1 and UPDATE 2.

Gurpreet

Hello @mktdata,

I recommend that you reach out to Refinitiv content support for help on how this can be handled. We can only help with technical questions on these forums.