MBP/MBO book level update timestamp FID

ming.cheng
ming.cheng Newcomer
in RFA

I am using RFA C++ API to access MBP/MBO data. I'd like know which FIDs are for MBP/MBO book level update timestamp. I knew there are timestamp FIDs for each level. Now I need to know the whole book timestamp if any.

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  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @ming.cheng

    I checked the Market By Order historical data of LSEG.L and found the timestamp field (TIMACT_MS) in the Summary data of the Map. 

    LSEG.L,Market By Order,2023-02-02T12:06:56.807103129Z,+0,Raw,UPDATE,UNSPECIFIED,,,,249,,45328,,0
    ,,,,Summary,,,,,,,,,,2
    ,,,,FID,1021,,SEQNUM,9044545,
    ,,,,FID,4148,,TIMACT_MS,43616757,
    ,,,,MapEntry,,UPDATE,,,,,,180361982603061488,,13
    ,,,,FID,6522,,PR_DATE,2023-02-02,
    ,,,,FID,13439,,ORDER_TN,1,"L       "
    ,,,,FID,3426,,ORDER_ID,180361982603061488,
    ,,,,FID,3428,,ORDER_SIDE,1,BID
    ,,,,FID,3429,,ORDER_SIZE,98,
    ,,,,FID,6520,,PR_TIM_MS,43555649,
    ,,,,FID,3427,,ORDER_PRC,7414,
    ,,,,FID,14268,,LV_TIM_NS,12:06:56.757919257,
    ,,,,FID,3435,,MMID,,
    ,,,,FID,8591,,ORD_TONE,0,
    ,,,,FID,14275,,PR_TIM_NS,12:05:55.649275483,
    ,,,,FID,6524,,OR_TIM_MS,43616757,
    ,,,,FID,6527,,LV_TIM_MS,43616757,

    Typically, the summary data contains information that applies to every entry encoded in the Map.

    It could be this field. However, you may need to contact the content support team directly to confirm this and a list of fields may be different among exchanges.

    Otherwise, you may need to decode everything in a Map and verify if there is any field that indicates the whole book timestamp.

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