RFA OMM : how to identify regular versus block/OTC trades

claude.thomas
claude.thomas Newcomer
in RFA

Hello,

I am currently switching a pricing system from market-native APIs to RFA (Java). When I get a last trade price, I would like to get rid of trades which are not regular (i.e. which are not from market order-book matching).

Do you know which field I can use in OMM messages to achieve this goal ?

In advance thank you

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Best Answer

  • Gurpreet
    Gurpreet admin
    Answer ✓

    Hi @claude.thomas

    If you are switching API's, then I would recommend Elektron API's - namely Eletron Message API.

    Regarding your question about filtering non-OTC trades, this content question is dependent on market data venue. Most exchanges provide additional information on irregular trades, which is available in OMM fields IRGPRC, IRGCOND etc.

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