Hello everyone, I read this article How to Sort & Process Level 2....., now I have some general understanding as to how to process level2 orderbook message. Some extra problem I want to know more :
First, Is there any flag for the first RefreshMsg just like the Complete flag for the last RefreshMsg ? As I see, application should clear the whole cached orderbook if receiving the first RefreshMsg, as it can't apply the RefreshMsg on the maybe outdated local cache caused by network problem, like connection loss.
Second, I read that it is theoretically possible to receive an UpdateMsg interspersed with the multi-part RefreshMsgs, so is there possible that the update message for certain row arrives before refresh message for that row ? For example, the update message indicates delete the row, while later the subsequent refresh message add the row, which may cause the wrong processing result.
Third, Will full RefreshMsg sent periodically especially after market close? If no, suppose my application lost some operation for example deleting some order entries due to network problem, Then it will forever exist in my local cached orderbook and will never have opportunity to be deleted again.
Thanks, expecting your reply!