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.
