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Hi
The websocket API sends conflated prices (fields BID, ASK) every 300ms, and will set these to null if there wasn't a price during the last 300ms. This is problematic for us, especially since we don't get a price at application start until there is a tick.
Is there any way to configure (or subscribe to market) so that for any conflated prices messages we always get the last BID/ASK price instead of null?
Hello @stefanos
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Thanks,
AHS
Thank you for your participation in the forum.
Is the reply below satisfactory in resolving your query?
If yes, please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.
Thanks,
AHS
Also clarifying your statement - the Websocket protocol will not set BID/ASK fields to null, if there is no activity. The application simply won't receive any update message if the fields haven't changed.
Only time these fields might be null or 0 is way before the trading day has started. The exact value - null or 0 or last price depends on the exchange/venue that is quoting that instrument.
@stefanos The conflation only happens in the update messages. Upon login and sending a new subscription request, the application will receive a "Type": "Refresh" message - which is immediate and not conflated and contains all the fields that the instrument supports - unless application requests a subset of fields.
