Hello, we use RFA C++ 8.1 api to consume Level1 and Level2 market data. One of our mutual client wants to get timestamp that is available in summary[E.g. TIMACT_NS] of MBP domain. Basically this timestamp represents last activity time for entire message[& not the individual row update].
If we need similar timestamp in Limited Level 2 MP [LL2 MP domain then how would we get it? I know summary fields are not available for LL2 MP domain but is there any work around you suggest?
Hi,
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Thanks,
AHS
Hi @mktdata
The link you provided seems to imply there is a special domain called LL2 MP, but there really is not. There is only just MarketPrice (MP Domain).
The key thing is that the MP domain may carry LL2-related content, depending on the instrument, but not everything. For example, I can see some LL2 content, but not everything you see within the fixspec definition.
You can see an example above what I'm referring to. For Apple, you can see some LL2 content (BID, BID_1, BID_2) and possibly other LL2-specific content. It's also worth noting, there are a number of fields you won't see in the LL2 Fixspec definition, such as a number of time-related fields. This is entirely depending on what the exchange provides for that instrument.
Hi @mktdata
I just tried to retrieve level 2 - MBP for the instrument (BNS.TO) and do see TIMACT_MS (not TIMACT_NS) within the Summary Data section:
As for MP, are you referring to this Level 2 data?
The TIMACT_* FIDs were not carried with this data but there are other Time fields, such as: SALTIM_MS.
