We have noticed the following issue, that can be reproduces by using the rfa-tutorials/step8 app.
- We subscribe to about 1,300 names on Shanghai and Shenzhen markets (e.g 000001.SZh, 603997.SS etc) before the markets open (8 am Beijing time)
- We get L2 data passing the 'marketByOrder' parameter
- After open we can see big delays when receiving data (+5 minutes!)
- The delay peaks at around 9:45 am (China time, about 5-6 min delay) and then the delay goes down.
Example of delayed RFA message:
(the log timestamp is in EST, 20:45 ==> 9:45 Beijing time):
2020-02-25 20:45:43.909416: Received MARKET_BY_ORDER Message for '300315.SZh' Message type : Update MANIFEST: Sequence Num : 40848 PAYLOAD DATA: MAP (count=1): Map Summary Data: FIELDLIST (StandardDataCount=2): FieldEntry SEQNUM (1021): 20114710187 FieldEntry TIMACT_MS (4148): 6343000 Map Entries: Map Entry Action: Add Map Entry Key: '2011-4710187' Map Entry Data: FIELDLIST (StandardDataCount=9): FieldEntry LV_TIM_NS (14268): 01:40:41.860 FieldEntry OR_TIM_MS (6524): 6041860 FieldEntry ORDER_TN (13439): 1->"Not provided" FieldEntry PR_TIM_MS (6520): 6041860 FieldEntry ORDER_SIZE (3429): 300 FieldEntry ORD_TONE (8591): '2' FieldEntry ORDER_SIDE (3428): 1->"BID" FieldEntry ORDER_PRC (3427): 7.02 FieldEntry ORDER_ID (3426): '2011-4710187' Event dispatched. Approximate pending Events:12
How can the discrepancy between 'TIMACT_MS' and 'PR_TIM_MS' be explained?!
FieldEntry TIMACT_MS (4148): 6343000 FieldEntry PR_TIM_MS (6520): 6041860
Can someone check if our setup (on Reuters side) is optimal?