L2 MBO 0 price rungs

Are 0 price rungs allowed? I saw an answer which suggested they are accumulation of all orders outside the llowed L2 market depth, per exchange? for example is this correct?

For example for depth=2

ASK 0.0 5000

ASK 22.1 1000

ASK 22.05 740

BID 22.0 1100

BID 21.90 2902

BID 0.0 4023

so the two rungs with 0 price represent the total price outside the 4 prices closest to the market?

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Accepted answers

tim.andrew.smith

Hi @duncan.kerr

Currently we display 0 price (or rather blank it) at the top of the book.

For OMM MBO/MBP domains we show it in ORDER_TONE fid where 1= market order, 0 = not a market order. Can you confirm if you are seeing this value in the ORDERR_TONE field?

All comments

Tim Smith

Hi @duncan_kerr. That doesn't sound right. MBO should be individual orders, rather than an accumulation of orders. There isn't enough information to really go on above but its likely these are Market Orders (ie will execute at whatever the current price is rather than a limit price order), or they could be orders that execute against another criteria like closing price, which is why the price is Null/zero.

Are there any flags to go with the row here, or do you have the venue so I can look into this a little bit more.

However the generic answer is they should be individual orders, but with a certain matching functionality that means they don't need to/are able to display the price.

duncan_kerr

Hi Tim - unfortunately I deleted the logs when I last saw this, but next time I see it I will keep the logs. If I remember correctly the MBO update messages were normal KEY/ACTION/PRICE/SIZE messages, only difference being that they have a 0 price.

duncan_kerr

Hi Tim, the venue is OSLO (eg TEL.NO)

Tim Smith

Thanks @duncan_kerr. I haven't been around this week but will check the functionality of Oslo and see if this is expected. I suspect these are market orders, but if so they should have a flag to indicate they are market orders so you know the zero is valid.

Will check and get back to you.

tim.andrew.smith

Hi @duncan.kerr

Currently we display 0 price (or rather blank it) at the top of the book.

For OMM MBO/MBP domains we show it in ORDER_TONE fid where 1= market order, 0 = not a market order. Can you confirm if you are seeing this value in the ORDERR_TONE field?

tim.andrew.smith

ORDER_TONE

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