Level 2 ask Price duplicate

g.rossetti
g.rossetti Newcomer
in RFA

Hi Team,

I have been seeing level 2 prices keeps having duplicate price from tag 2472 to 2491.

Take AIMS.SI as an example, tag 2474 (best ask 3) is 1.82, there should be no more best ask after that, and values starting from 2475 should be all 0s. However, when I loop thru the iterator, the databuff value of 2475 onwards stays at 0.182.

I fired ticket to TR Helpdesk and they said they do not see such problem and asked me to find RFA supports.

I keep seeing this problem for all stocks having less than 20 levels of ask prices.

Cheers,

Juno

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Best Answer

  • moragodkrit.chumsri_1
    moragodkrit.chumsri_1 LSEG
    Answer ✓

    @g.rossetti
    Not sure that what’s the date and time you found the issue and not sure Is this market by price or market by order level 2 data?

    -Can you please test the issue again by using Consumer example which provided in RFA.NET Devkit. It locates under folder “<RFA.NET Installation Path>/Examples”. You can use the Consumer example to test the RIC you found the issue and then compare the result with your test. The Consumer example usually print all message to console output and it also log the result to Consumer_<pid>.log.

    If you also found the issue with Consumer example then we can ask the data support or electron team who provide data again. But if you cannot replicate the issue with Consumer example and you still found issue with your application, you can compare the implementation with our example.

    -In addition, I would suggest you verify the raw data that API sends and receive from the server. Please turn on RSSL tracing log by add the RFA configuration mentioned in this post to RFA configuration file. It will generate RSSL Tracing log (.xml) under running directory. The RSSL trace log can help us confirm if data feed really sends the duplicate value to API.

Answers

  • g.rossetti
    g.rossetti Newcomer

    great thanks.

    Indeed I had referenced to the consumer example.

    I overlooked that there is a 'IsBlank' checking. on the fieldentry data.

    Seems like in 8.1.0.1 L1, direct access of the Data property is not allowed as in the Consumer Example, I have to use the GetData method.

    However, while I loop thru the iterator, for example best ask 1 to 20, if only bid 1 is not blank, GetData of ask 2 to 20 will still have returned the ask 1 value, while the IsBlank property is indeed true.

    I accommodated this behavior and it looks good now.

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