why lastPrice is NOT between bid/ask price? (MarketByPrice)

this is questiona following

how to get full order book (10 buy + 10 sell)

connected to reuters, service : EED_DELAYED , using QA account,

subscribe data by both "MARKET_PRICE" and "MARKET_BY_PRICE"

found that BID/ASK mismatch to order book, e.g.

for RIC : DXU7

time=[2017-09-01 16:17:55.684166], sym=[    DXU7], [Action=Update;Key=<strong>92.720A</strong>;

time=[2017-09-01 16:17:56.119753], sym=[    DXU7], [                 ASK]=[<strong>92.755</strong>]
<br>time=[2017-09-01 16:17:56.119753], sym=[    DXU7], [                 BID]=[<strong>92.750</strong>]

<br>time=[2017-09-01 16:17:56.416813], sym=[    DXU7], [Action=Update;Key=<strong>92.720A</strong>;

ask price (in order book) is less than BID price.

attached log file : wrongprice.txt

could you advise?

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Accepted answers

warat.boonyanit

@qiang.zhu

Do you have the time of the updates?

It is possible that "MARKET_PRICE" and "MARKET_BY_PRICE" have difference delay.

Consider that you subscribed to a delayed service, you should always use the time from time fields rather than system time.

All comments

warat.boonyanit

@qiang.zhu

Do you have the time of the updates?

It is possible that "MARKET_PRICE" and "MARKET_BY_PRICE" have difference delay.

Consider that you subscribed to a delayed service, you should always use the time from time fields rather than system time.

qiang.zhu

just checked, in msg for order book (marketByPrice), there is NO timestamp.

for the same RIC,

why "MARKET_PRICE" and "MARKET_BY_PRICE" have difference delay??

this will block my testing.

is there any other way to get 'last trade price/qty' and 'order book (10 bid + 10 ask) ', which are on the same timeline?

I was told that might get orderbook by normal marketprice mode, using another RIC, will receive tag like BID_1, ASK_1, ..., BID_10, ASK_10, etc.

where can I find all 'another RIC' for all future?

thanks

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