MARKET_BY_PRICE no size
Im subscribed to tokyo exchange, and every now and then I get an ADD or UPDATE that has no size.
How should I interpret these?
EDIT-
So I get
OMMMapEntry.Action.ADD maps for various RICs, an example one from today is 5538.T. Specifically im using RFA java on an ELEKTRON feed. These adds updates, from what I can see, have mostly HC and SC tones. The size I refer to is the
ACC_SIZE and ORDER_SIZE fields in the DATA in the ADD map.
Best Answer
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I have found a list of the ORDER_TONE (3886) field's definition on page 22 of this document. The "S" in upper byte of the tone is "Special Quote", while "H" is "No Quote / Cancel", so I believe this behavior is directly related to the content definition.
I have submitted the case: 05214923 to Elektron data support team on your behalf to clarify the data.
0
Answers
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Hi @RN
Could you provide more information about the data?
- Which service you subscribe to? Elektron or TRDFD
- Sample of RICs and sample of data
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- What's an 'ADD' ? I'm not familiar with that term.
- What object is it that has no size?
- Can you tag the question with the appropriate API, please. (eg RFA Java, RFA C++, etc)
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@RN, Can you include some of the output your seeing in your question? Can you include a specific RIC that you are testing with?
Also, can you try using one of the RFA tutorials on our portal that demonstrates processing of level 2 data?
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@RN, thank you for the updated information. However, the <5538.T> RIC seems not valid on both MarketPrice and MarketByPrice domain. My Elektron service returns "The record could not be found" message. Could you confirm the RIC name?
Also, can you attach full log of the data once the issue occurred?
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An example I get from my logging is:
8185.T ADD, No Size for update. Size:,Price:3165.0,Side:1, key:31650000B, Tone:HC, DepthSize:
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@RN
I have been subscribing to the 8185.T from Elektron service in my environment but still cannot find the MapEntry with "Add" action which has no size.
It seems that the issue occurs on random RIC. Could you enable the RSSL tracing in your application by setting ipcTraceFlags = 23 and specifying logFileName and then provide us the file once the issue reoccurs?
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Yep can do. Ive noticed that pretty much all of these occurences have H or S or something irregular in the first byte of the tone, however it was my understanding that the keys were the only index marker.
Perhaps im not checking an entry within the map? I check for:
ORDER_SIZE,ORDER_PRC,ORDER_SIDE,QUOTIM_MS,ORDER_TONE,ACC_SIZE,LV_TIM_MS
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Heres a relevant section from the ipcTrace
MAP_ENTRY (Action.ADD) :
The Value for FID 4356 is unpopulated.
Key: 313739303030303041 | 17900000A
Value:
FIELD_LIST
FIELD_ENTRY 3427: 0d45ec
FIELD_ENTRY 3428: 02
FIELD_ENTRY 3430: 00
FIELD_ENTRY 3886: 4843
FIELD_ENTRY 4356:
FIELD_ENTRY 6527: 04f52abf
FIELD_ENTRY 6529: 1a0107e10 -
FID 4356 (order size) would be blank for quote before opening, special quote or sequential trade quote case. Also, it would be blank if quote is removed even general quote. Therefore your understanding is correct, that is one of FID 4356 (order size) blank case.
- “SC” Special quote/ middle of the book case, FID 4356 (order size) would be blank. But if would be updated too, if there is order.
- “HC” case, no quote / middle of the book case, FID 4356 (order size) would be blank.
- “AC” case, sequential trade quote / middle of the book case, FID 4356 (order size) would be blank.
0 - “SC” Special quote/ middle of the book case, FID 4356 (order size) would be blank. But if would be updated too, if there is order.
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