We have C++ application developed on top of RFA8.1 library with Market By Price(MBP) domain. Currently we are experiencing crossing very frequently. Below are two scenarios we observed
1. During pre trading sessions, we see lot of crossing as expected but when trading session starts we expect matched orders to be removed from L2 order book. That don't seems to be happening . We experienced that today(15/11/2022) with symbols NAVYA.PA, LLOY.L ...etc. Can you tell is it a expected behavior?
2. We also observed crossing during trading session for symbol PNT.OQ(PNT.ITC). This happened during US time "20221114-10:41:58" when price with order id [6.2000B] got inserted in L2 book. Snapshot for top 5 levels looked like below :-
Level - 6.16,
Level - 6.17,
Level - 6.18,
Level - 6.25,
Level - 6.27
Level - 6.2,
Level - 6.11,
Level - 6.05,
Level - 6.01,
Level - 6.00
We handle Refresh, Update and Summary messages correctly from Refinitiv. We also expect not to receive Delete instruction while processing Refresh message. Is that correct?
Is it possible to check historical data on your side and guide us on whether something went wrong on your side or we are missing some messages?