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mktdata avatar image
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Empty levels in Limited Level 2(LL2 MP) domain

Hello,

We are using RFA 8.1 C++ api to consume Level2 market data.

Can you tell me if my following assumptions about LL2-MP domain are correct. If not correct then advise me about correct approach. Please reply against each bullet point.

  • If price is blank and size is non zero then it is a market order, is that correct?
  • Under what scenarios we can receive an update with price and size both blank.
  • Under what scenarios we can receive REFRESH message with ClearCache flag during trading session
  • Is it possible to receive REFRESH message with 10 levels but last few levels have price and size both blank
  • If current snapshot has 5 levels then how below updates are published -
    1. Snapshot changes to 7 levels i.e. 2 new levels are added
    2. Snapshot changes to 3 levels i.e. 2 levels are deleted
  • Is there any article that explains how to handle LL2 MP domain update


trep#productrfa#contentc++market-price
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Jirapongse avatar image
83.1k ●281 ●53 ●77

@mktdata

Thank you for reaching out to us.

For content questions, it is better to contact the content support team directly via MyRefinitiv.

That way a content specialist can work closely with you and verify the behavior of the LL2 MP domain.

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