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qiang.zhu avatar image
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why lastPrice is NOT between bid/ask price? (MarketByPrice)

hi

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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wrongprice.txt (3.1 KiB)
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1 Answer

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warat.boonyanit avatar image
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@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.

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qiang.zhu avatar image qiang.zhu

hi

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

warat.boonyanit avatar image warat.boonyanit qiang.zhu 
in msg for order book (marketByPrice), there is NO timestamp.

For <DXU7>, the time stamp is in summary data. The field is "TIMACT_MS".

Unlike "TIMACT", "TIMACT_MS" is milliseconds pass midnight.

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

The delayed is entirely up to the server configuration. You should contact server admin.

qiang.zhu avatar image qiang.zhu warat.boonyanit

hi

I just checked,

there is NO delay in 'TIMACT_MS' in order book (MARKET_BY_PRICE) , but there is delay (around 10 minutes) in TRDTIM_1 (MARKET_PRICE) that's the root cause.

thanks.

warat.boonyanit avatar image warat.boonyanit qiang.zhu 
I was told that might get orderbook by normal marketprice mode, using another RIC.

Yes, you can get a fixed depth order-book from "MARKET_PRICE" domain.

You have to request 0#[Root-RIC]. You will get a chain containing the Root RIC, fixed depth order-book RIC, and other associated RICs.

For example, if you request 0#DXU7, the chain will return DXU7 and the fixed depth order-book RIC D2DXU7.

Please note that they are not full order-book.

Also, 0#[Root-RIC] will return not found status if Root RIC does not have order-book or if the fixed depth order-book already included in Root RIC.

qiang.zhu avatar image qiang.zhu warat.boonyanit

hi,

thanks for the reply,

tried below scenario :

  • send one request ,"0#DXU7"
  • received data, [LINK_2]=[D2DXU7]

what does LINK_1/LINK_2/LONGLINK1/LONGLINK2 mean??

shall I choose LINK_2 and LONGLINK2 ?

  • get new value(D2DXU7) from these data (by a tag LINK_2), then send out another request for this D2DXU7
  • received a snapshot of order book for new RIC,

BEST_BID1/BEST_BSIZ1/BEST_ASK1/BEST_ASIZ1/etc.from 1 to 10

but there is NO more update.

actually, NO more update for any tag.

is there any simple way to get prefix/postfix for RIC?

it should be hard coded for specific exchange, right?

thanks.

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