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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


treprfa#product#contentc++market-price
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wasin.w avatar image   wasin.w

Hello @mktdata

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?


If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,


AHS

wasin.w avatar image   wasin.w

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,


AHS


1 Answer

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Jirapongse avatar image
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@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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