We are using RFA 8.1 C++ API to consume depth data using LL2 MBP domain [Market Price].
Consider following scenarios. consider maximum levels as 10.
case 1: BEST_ASK1 -> <blank> BEST_ASIZ1 -> 770 case 2: BEST_ASK1 -> 75.7 BEST_ASIZ1 -> <blank> case 3: in UPDATE message BEST_ASK1 -> <blank> BEST_ASIZ1 -> <blank> case 4: in REFRESH message BEST_ASK1 -> <blank> BEST_ASIZ1 -> <blank>
These cases can happen for Top Level [BEST_ASK1 BEST_ASIZ1 as mentioned above] or for Middle level [say for example BEST_ASK4 BEST_ASIZ4] or for last level/levels [BEST_ASK10 or BEST_ASK6 to BEST_ASK10].
when these scenarios/cases can happen? how can we identify them ?
For case 1 :
when these scenarios/cases can happen? --> As mentioned by Refinitiv support -- “in this scenario ,this is a Market order update. Note this can only occur during the auction”
how can we identify them? --> As mentioned by Refinitiv support -- “BID/ASK is blank but we would see BIDSIZE/ASKSIZE and BID/ASK_TONE == M.”
As the above example explains we can identify the case 1 scenario when we receive a market order update and market order update can be identified by ASK_TONE or BID_TONE value == ‘M’ .
We want to know same information for all other cases mentioned.