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 -
-
- Snapshot changes to 7 levels i.e. 2 new levels are added
- Snapshot changes to 3 levels i.e. 2 levels are deleted
- Is there any article that explains how to handle LL2 MP domain update