zero price but positive accumulated size on EMA L2 orderbook feed

steve.lau

I am using EMA to subscribe HKFE for L2 order book
options feed, using the following

IDN_SELECTFEED, MARKET_BY_PRICE, Ric: HSI30000D9.HF



I encounter sometimes the orderbook I captured is not aligned with what showing
in Eikon 0#HSI30000D9.HF



One thing I noticed that, I regularly receive an UpdateMsg that something on
the accumulated size but price is zero.

String key = EmaUtility.asHexString(mapEntry.key().buffer().buffer());

key="422D 55 B-U"

FID/3427=zero

FID/4356=Some value



That I don't understand what does it mean.

It would be a reason why my orderbook is not in sync with Eikon.

would you please urgently help?

wasin.w

This is an answer from Elektron support team.

“A-O” refers to the Map Key for the Over order on the Ask Side.
In Market By Price support, as it is sharing the same FID set, Row Map Key is the unique identifier to differentiate each price level.

In HKF case, “A-O” is referring the aggregated Ask side orders outside 10 levels of Market by Price that Exchange provided. As an aggregated level, there is only Size and no Price available to this level.

wasin.w

Hello @steve.lau,

Could you please enable the EMA trace file, replicate the issue and then give us the trace file when the problem occurs? The EMA trace file contains incoming/outgoing messages between the API and Elektron/TREP. It will let us check incoming data in detail.

You
can enable the EMA Java trace messages by setting <XmlTraceToStdout value="1"/> in the EmaConfig.xml file. Please
note that this feature requires EMA Java 1.1.0 and above versions.

Example:

<ConsumerGroup>
   <DefaultConsumer value="Consumer_1"/>
   <ConsumerList>
      <Consumer>
         <Name value="Consumer_1"/>
         <Channel value="Channel_1"/>
         <Dictionary value="Dictionary_2"/>
         <XmlTraceToStdout value="1"/>
      </Consumer>
   </ConsumerList>
</ConsumerGroup>

duncan_kerr

HI - can you explain this key please?

key="422D 55 B-U"

Ive been looking at L2 MBO for *.NO exchange and the keys are simply:

"ascii codes<spaces>hex key", eg "31 1" where the hex key is a rung index for the market depth dictionary. Is there some extra information excoded in the key in this case?

As a secondary question does L2 MBO ever contain the original order type that was posted on the exchange (Market, Limit, FOK etc)?

umer.nalla

Hi @duncan_kerr

According to my notes, B-U or A-U indicates an order type of Under

Aggregated buy volume not displayed as a specific price point in the order book (TSE)

The full list of order types is below:

I will try and find where this document is available online and paste a link here.

umer.nalla

https://community.developers.refinitiv.com/discussion/comment/63540#Comment_63540

Hi @duncan_kerr

I found this link:

https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-elektron-q2-2020/info/individual-rows-and-map-keys-mbp

If you select the menu to the left on that page - you can find some other associated information.

Hope that helps!

duncan_kerr

Hi Umer - do the above codes apply to MBP? Ive was asking about MBO...

umer.nalla

https://community.developers.refinitiv.com/discussion/comment/63543#Comment_63543

Hi @duncan_kerr

Ah sorry - no. they are not listed under the MBO section in the doc.

https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-elektron-q2-2020/info/individual-rows-and-map-keys-mbo

If you are seeing such values with MBO data, you should raise a Content-type ticket so the Elektron L2 team can confirm.

duncan_kerr

Umer Nalla are you talking about L2 MBO or MBP?

umer.nalla

https://community.developers.refinitiv.com/discussion/comment/63655#Comment_63655

Hi @duncan_kerr

I shared the MBP link in my 1st reply and the MBO link in my 2nd reply

https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-elektron-q2-2020/info/individual-rows-and-map-keys-mbp

https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-elektron-q2-2020/info/individual-rows-and-map-keys-mbo

If you are seeing values listed in the MBP section with your MBO data, you should raise a Content-type ticket so the Elektron L2 team can confirm/investigate what you are seeing.