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mktdata avatar image
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Crossing observed with PNT.OQ(PNT.ITC) and NAVYA.PA L2 data

Hello,

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 :-

Ask -

Level[0] - 6.16,

Level[1] - 6.17,

Level[2] - 6.18,

Level[3] - 6.25,

Level[4] - 6.27

Bid -

Level[0] - 6.2,

Level[1] - 6.11,

Level[2] - 6.05,

Level[3] - 6.01,

Level[4] - 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?


#technologyrfarfa-api#contentc++
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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @mktdata and all,

Please be informed from the resolution provided on the case #11839878:

"The updates resumed at 23:30 GMT on 15-Nov-22. Data lost during the outage is irrecoverable. There was no impact on daily aggregated values. Incident Summary: Nasdaq E-Speed US Treasury data was not updating between 15:50 and 23:30 GMT on 15-Nov-22. This was due to an issue at Refinitiv. Customers globally were impacted."

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @mktdata ,

For a large order book, provider can publish and consumer can receive an Update message, including Delete, before Refresh is completed.

Please see article How to Sort & Process Level 2 Orderbook Data using EMA C++ API, the code details are EMA C++, but the processing, the structure and the parsing guidance will apply to RFA consumer and should be informative.

Hope that this information is of help

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @mktdata ,

It is possible to retrieve the captured order book data on our side and to verify it via Refinitiv Tick History.

At this time, today's content is still under embargo restrictions as very recent. Consequent to the embargo period, the content that is captured in Tick History becomes available and can be verified in detail.

If you would like to verify the specific content that is suspected of crossing issue, I suggest submitting the specific content inquiry Refinitiv content support to be addressed to a Refinitiv expert for the specific area of content.

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