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?
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.
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
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.
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.
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.