Handling Data Depth

Hi.

I'm using Eikon eta for receiving real time market data.

I would like to know if there is a specification file for how to use the data, specially depth.

I have some trouble figuring out the correct way to handle depth since I don't get all depth level is a single message (sometimes update for some level field i.e. level 2 only the bid size ... )

Should I erase of all levels from the last the received level ( Delete from ) ?

Shouldn't I get full update for the current level ? i.e. both price & size ?

How can I know how many levels are provided for a specific market ?

Thanks

Elad.

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Accepted answers

Jirapongse

@eladC

The payload of MBP is an RsslMap. The RsslMap is a uniform container type of associated key-value pair entries. Each entry, known as an RsslMapEntry, contains an entry key, which is a base primitive type and value. Each map entry contains an action that helps to manage change processing rules and tells the consumer how to apply the information contained in the entry.

The available actions are:

You need to process the data in a map according to the map actions. For more informtion, you can refer to the ETA Developer Guide and RDM Usage Guide in the API package.

All comments

Jirapongse

@eladC

Thanks for reaching out to us.

Please confirm the API that you are using. Is it ETA (Enterprise Transport API) or Eikon Data API?

If you mean Level 2 data, such as Market By Order, or Market By Price, you can refer to the How to Sort & Process Level 2 Orderbook Data using EMA C++ API article.

I hope that this information is of help.

eladC

Thanks.

I'm using ETA.

Do you have an article for MBP ( MarketByPrice )?

I'm looking for the logic of handling BMP such as Should I apply delete from once I get an update for level? if only level 3 was changes , should I receive data for level 1 & 2 also .

Thanks

Jirapongse

@eladC

The available actions are:

You need to process the data in a map according to the map actions. For more informtion, you can refer to the ETA Developer Guide and RDM Usage Guide in the API package.

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