msgs.zipPlease can you assist with the following questions regarding message types add/delete/update. A sample of the script and output are enclosed for your reference.
Our goal is to track bids/asks in according maps see: "def process_message(message_json):". We encounter a lot of situations with double DELETES etc. The full data from one of our runs is enclosed, as well as grepped messages for only the "MTQ6NDA1MS8x" key, to illustrate.
You can run the script yourself if needed.
Service: Refinitiv Real-Time Optimised
Exchange: CME
Instrument: ESH3 (EMINI S&P MAR3)
Question 1:
We get DELETES and UPDATES for levels that we did not receive before, and sometimes ADDS for levels that already existed. The most frequent occurrence is to receive a DELETE message before an ADD.
Can you please advise how we should interpret and handle the following scenarios:
1. We receive DELETE before ADD
2. We receive UPDATES for price levels of which we did not receive an ADD; and ADD messages for price levels that already existed
3. We receive and ADD and DELETE in one message. It is unclear which happened first (no sequence number of timestamp provided)
Question 2:
We are not receiving a “Complete” message flag while documentation suggests we should.
In this article: https://developers.refinitiv.com/en/article-catalog/article/consuming-order-book-level-2-data-with-elektron-websocket-api it says that at first we get a L2 orderbook snapshot and then a "Complete" flag in message points it's end. We have never seen this "Complete" flag in any message.
Question 3:
We have a 12:399575/1 string after decoding "Key" from base64. What does it mean? 399575 obviously a price in integer, 1/2 BID/ASK but what is “12”? Also consuming-order-book-level-2-data tutorial says encoded format is like 128.56A. Quote: "Convert the Key into string format e.g. '128.56A'"
Examples (further details in the msgs.zip with json file inside):
ADD/DELETE/DELETE
MTI6Mzk5NTc1LzE= base64: 12:399575/1
ADD/DEL/DEL+ADD in one
MTI6Mzk5ODI1LzI= base64: 12:399825/2
DEL/ADD
MTQ6Mzk5My8x base64: 14:3993/1
DEL+ADD in one
MTQ6Mzk5OC8y base64: 14:3998/2
DEL+ADD in one
MTM6Mzk5NTUvMQ== base64: 13:39955/1
For a deeper look into our Elektron API, look into:
Overview | Quickstart | Documentation | Downloads | Tutorials | Articles
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Questions regarding message types add/delete/update
Hi @Saifullah.Hassan ,
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?
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Thanks,
AHS
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Thanks,
AHS
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Thanks for reaching out to us.
You can check the meanings of the Map actions in the following table.
Regaring the complete flag, it states in the article that "The final Refresh does not have this attribute as the default value for Complete is true.".
This forum is aimed at answering "how to" types of questions about using Refinitiv APIs and the moderators are not Content/Data specialists. For content questions, please contact the content support team directly via MyRefinitiv.
The content team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.
Hi Saifullah Hassan,
the client is still not fully clear and has said the below:
The good news is that the support team reposted our questions on the Q&A forum and we received some replies on our questions. Some items are still unanswered or not conclusive. Can you please escalate these unclear and unresolved items to a content expert? There is currently no clear conclusion on how to interpret this content, or whether there might be an error.
Unclear
Question 1.1:
We receive DELETE before ADD
Question 1.3:
We receive and ADD and DELETE in one message. It is unclear which happened first (no sequence number of timestamp provided)
Unresolved
Question 3:
We have a 12:399575/1 string after decoding "Key" from base64. What does it mean? 399575 obviously a price in integer, 1/2 BID/ASK but what is “12”? Also consuming-order-book-level-2-data tutorial says encoded format is like 128.56A. Quote: "Convert the Key into string format e.g. '128.56A'"
Johan
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Hi Saifullah Hassan,
The client is still not fully clear and has said the below, Please can you look through and help answer the question:
The good news is that the support team reposted our questions on the Q&A forum and we received some replies on our questions. Some items are still unanswered or not conclusive. Can you please escalate these unclear and unresolved items to a content expert? There is currently no clear conclusion on how to interpret this content, or whether there might be an error.
Unclear
Question 1.1:
We receive DELETE before ADD
Question 1.3:
We receive and ADD and DELETE in one message. It is unclear which happened first (no sequence number of timestamp provided)
Unresolved
Question 3:
We have a 12:399575/1 string after decoding "Key" from base64. What does it mean? 399575 obviously a price in integer, 1/2 BID/ASK but what is “12”? Also consuming-order-book-level-2-data tutorial says encoded format is like 128.56A. Quote: "Convert the Key into string format e.g. '128.56A'"
Johan
This forum is dedicated to technical queries on Refinitiv product APIs. From the question, you can use the WebSocket API to retrieve the AP and I have provided answers regarding API perspectives.
For questions regarding unclear actions and how to interpret the data sent by the data feed, please contact the data feed or content support team directly via MyRefinitiv.
Sorry for this inconvenience.
