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Handle Blank values in LL2 MBP domain [MP domain]

We are using RFA_v8 C++ API , we are seeing duplicate values for Vienna Stock Exchange for RIC - VERB.VI. Upon receiving the tick history for the time when we observed the duplicates , we observed a level with blank BEST_ASK1 but valid value for BEST_ASIZ1.

Please refer the details [ Image attached ] below:


1673256139568.png


  • top 2 Ask levels of the book according to UPDATE 1


Level    Ask Price   Ask Size
  1        75.7         92
  2        75.8        650
  • Top 2 Ask levels of the book according to UPDATE 2
Level    Ask Price   Ask Size
  1                      7
  2         75.7        92


  • As per guidelines by Refinitive support forum responses - “when exchange sends no tag for bid/ask levels we treat it as empty/no update. In case exchange sends '0' - we treat this as blank or no update.”

Considering this we have 2 possibilities for creating Ask book at our end from above updates for top 2 ask levels.

  • POSSIBILITY 1 – update BEST_ASK1 with blank
Level    Ask Price   Ask Size
  1                     7
  2         75.7        92

How do we justify this , a level having a blank value in price but a valid size, How can we create a book at our end for this update?


  • POSSIBILITY 2 - treat blank value at BEST_ASK1 from Refinitiv as no update
Level    Ask Price   Ask Size
  1        75.7         7
  2        75.7         92

If we treat blank values in BEST_ASK1 as no update – it would mean the previous value in UPDATE 1 will stay in the BEST_ASK1 FID i.e. 75.7 .Resulting in duplicate.


Please provide some clarity over above 2 scenarios of possible values with which we should construct the book at our end for above mentioned UPDATE 1 and UPDATE 2.


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Hello @mktdata,

I recommend that you reach out to Refinitiv content support for help on how this can be handled. We can only help with technical questions on these forums.

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