How can I find the [decimal locator] and [ask/bid flag]?

davegan
davegan Newcomer
in Elektron

I'm currently receive market infomation of RICs code: NQU9.

The code I'm using :

Map.getEntry().getKey().getBuffer()

Question 1:

The problem is that ask price and bid price that I got is wrong.

such like:

　　　wrong price: 786750

　　　right price: 7867.50

I thought TRD_UNITS is the the decimal locator (wrong price/(10^2)=right price)

image

But TRD_UNITS changed all the time(not always 2)

So how can I adjust wrong price to the right?

Question 2:

There should be one byte that indicate the bid/ask flag of every price 

if((char)flag=='A') 
{ /*ask price*/}
else if((char)flag=='B') 
{/*bid price*/}

but for NQU9 I always receive flag 'X' instead of 'A' or 'B'

So how can I get the real bid/ask flag?

Tagged:

Best Answer

  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @davegan

    Can you confirm which Domain you are using in your request - I am guessing it is MARKET_BY_PRICE? If not please correct me.

    The getKey method can be used to obtain the unique key for each map entry of a Level 2 orderbook entry such as MarketByPrice

    image

    If you look at the above example, the Key value for the first row is '786200.000000000B'. Now, whilst this does contain the PRICE (of sorts) and also a BID/ASK indicator - this cannot be relied on to always be the case and we do not recommend you parse this field to extract price / bid/ask flag etc. All you can be sure of the Key value is that it will be unique for each order book entry.

    To obtain the actual data values you should use the other fields such as

    • ORDER_PRC field which contains the Price of 7862
    • ORDER_SIDE field which the BID / ASK enumerated value of 1 = BID
    • and so on...

    You may also find the first part of the following article useful which provides a overview of how OrderBook data is represented How to Sort & Process Level 2 Orderbook

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