OMM L2 start of trading day

We have a binary using RFA C++ 8.2.1.L1. We use OMM L2 to get L2 data. Our client subscribe during the morning to L2 data and everything is fine. We get a stream of L2 data. On the next day, during opening we still have order book from previous day present. How can we know it's a new day and order book has to be cleared ?

Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hi @Nicolas.Brunel ,

    You didn't specify, if your application disconnects overnight or stays connected. The orderbook behavior will depend on the listing venue. Some markets clear the books after the trading day and repopulate open orders next day, while others can leave the orders.

    If your application stays connected, then look out for a clear cache message from the system, which implies your application should discard all the orders it is holding in the memory. Your application still has to process a clear cache, if it starts at 5AM and the market clears the old books right before trading start. This message can also be send during the trading hours or after trading halt etc.

    Please read the article linked by Umer and see this question about details on clear cache.

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