full depth deeper than 10 levels

Brad.Reeson
Brad.Reeson Newcomer
in EMA

We've been using the EMA Java libraries and have 2 queries around how updates take place.

We are subscribing to the full depth for an instrument - e.g. 1MCU=LX, and there can be more than 10 levels of depth. When there is more 10 levels of depth the key changes from BEST_ASI9 to BEST_ASZ10 - can you please confirm what pattern we should be using to pull this out, or if we need to be using a EMA java function to pull this out?

The other query is when we are using a refresh style update, how does the consuming application know when a particular layer has been removed? I.e. with 10 layers of depth provided and layer 5 gets consumed, do we get the full snapshot again, or publish with 0 volume at the old price level, or some other solution?

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Best Answer

  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @Brad.Reeson

    What you are consuming currently is commonly referred to as Level 1 Top of OrderBook data.

    If you are licenced to full depth Level 2 OrderBook data, then you can do so by requesting the MarketByPrice or MarketByOrder domain as required. The intro to this article provides a good overview and summary of the differences - How to Sort & Process Level 2 Orderbook Data using EMA C++ API | Refinitiv Developers

    Whilst the above is based on C++, the same information and techniques apply to EMA Java.

    In terms of the Top of OrderBook MarketPrice domain data you are currently using, you should raise a Content-type ticket with our Helpdesk to discuss the FID naming rules etc. EMA is content-neutral and just returns the data as published by our feed handlers.

    Also, in terms of your 2nd question - this is again best referred to the content team - as they can also advise how the Top of the Orderbook is updated. My understanding would be that you would receive an update for all the affected FIDs and as long as you apply those updates to any application level cache you have - this should ensure the local cache reflects the current state of the top of the orderbook.

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