How to interpret BEST_BID1 without BEST_BSIZ1

martin.bjorling

I'm looking at instrument /IBKC.F and I see that I have values in

BEST_BID1 but not in BEST_BSIZ1 and I'm not sure how to interpret this.

Is there any rule on how to interpret a BEST_BID1 value without any BEST_BSIZE1?

Jirapongse

Yes,</IBKC.F>doesn't provide the values in BEST_BSIZ1.

It implies that this RIC only provides the first best bid without the associated size. The followings are the definitions of those fields.

BEST_BID1  "BEST BID 1"           436  NULL        PRICE              17  REAL64           7
BEST_BID2  "BEST BID 2"           437  NULL        PRICE              17  REAL64           7
BEST_BID3  "BEST BID 3"           438  NULL        PRICE              17  REAL64           7
BEST_BID4  "BEST BID 4"           439  NULL        PRICE              17  REAL64           7
BEST_BID5  "BEST BID 5"           440  NULL        PRICE              17  REAL64           7
!
! The five best bid price levels with the best in BEST_BID1. Note that these fields 
! are not rippled.
!
...

BEST_BSIZ1 "BEST BID SIZE 1"      730  NULL        INTEGER            15  REAL64           7
BEST_BSIZ2 "BEST BID SIZE 2"      731  NULL        INTEGER            15  REAL64           7
BEST_BSIZ3 "BEST BID SIZE 3"      732  NULL        INTEGER            15  REAL64           7
BEST_BSIZ4 "BEST BID SIZE 4"      733  NULL        INTEGER            15  REAL64           7
BEST_BSIZ5 "BEST BID SIZE 5"      734  NULL        INTEGER            15  REAL64           7
!
! The five best bid sizes associated with the fields BEST_BID1 to BEST_BID5.
!

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