RFA Market by Price: Handling keys like A-O, B-U
How to handle the messages with key as "A-O", "B-U", "A-M" etc
I see that these messages have no price data. It only has size data.
So i am not sure how to handle these in my RFA application
Hi @mktdata
Depending on what you are trying to achieve in terms of your application and its representation of the orderbook, it may make sense not to process orderbook entries with these type of keys - for example, 'B-M' and 'A-M' indicates it 'is a buy or sell order to be executed immediately at current market prices' - and therefore may not make sense to add to the order book.
If you do need further clarification, I recommend you contact the originating exchange directly and obtained their guidance.
Hi @mktdata
A-O and B-O are Aggregated sell volume not displayed as a specific price point in the order book.
A-U and B-U are Aggregated buy volume not displayed as a specific price point in the order book
For more information about Orderbook Map Key. Please visit the Data Model Discovery.