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mktdata avatar image
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Getting add entry for already existing levels. Getting update entry for non existing levels.

Hi,

We are using RFA 8.1 API's with MarketByPrice domain.

This is in regards with level 2 data.

We received an add entry for an order id that already exists in our local book.

Symbol : APPS.MC

Timestamp : 20220907-06:30:17 EST
Order Id : 6.6350B


Similarly an update entry was received for an order ID that was not present in our local book.

Symbol : APPS.MC

Timestamp : 20220907-06:30:17.268656 EST

Order Id : 6.6350B


Is this a valid scenario?

c++OMMmarket-by-pricelevel-2
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1 Answer

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Gurpreet avatar image
18.4k ●50 ●13 ●19

Hi @mktdata,

No this is not a valid scenario. In my experience, it only happens when the client application missed processing an order or other important indication flags like clear cache.

Since you are using RFA, you can try one of the example applications like gui/orderbookdisplay shipped with the SDK, after modifying it to show MARKET_BY_PRICE instead of MARKET_BY_ORDER domain.

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Gurpreet avatar image Gurpreet
Also you mention that application received an update for non-existant order, but the pervious order is the one that is being updated here.