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.