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
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RFA Market by Price: Handling keys like A-O, B-U
Hello @mktdata
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
Hello @mktdata
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
Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.
Thanks,
-AHS
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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.
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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.
