alexmin (guest)
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| 05/05/2008 11:05 AM |
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OB Ultra spec defines 4 delta update reason codes as follows:
‘O’ - New order/additional interest added
‘C’ - Cancel
‘E’- Execution
‘X’ - Multiple events
Cancel/Execution would be quite useful to extract trades from the book. However 'Multiple events' makes this impossible (for obvious reasons.)
Would it be possible to make sure that decreases in total qty on the price level are separated from additions/cancels? That would really increase value of the data which is coming over.
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Ariel
Posts:145
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| 05/05/2008 11:13 AM |
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| Yes, we are trying make sure we do get as much information as possible on the feed and we anticipate that the 'x' condition will be infrequent. At the moment, if there is an execution and new interest added at a price point at the same time, you will see an "x' condition with the linkID field populated to know that an execution did in fact take place. |
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guest (guest)
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| 06/08/2008 8:42 AM |
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| Is there any plan to include the market orders in the feed? |
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jleija (guest)
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| 06/18/2008 5:03 PM |
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Every once in a while (about 10-20 times per hour) we get a ReasonCode == '\0' (a null character) instead of the 4 reason codes stated in the specs (O, C, E or X). Everything else in these packets is correct. The null reason code can happen on any of the price points (not only on the last one). ie. the first price point can have a null reason code and the very next price point has a valid one.
Please advise on how should we handle this case.
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Lydia
Posts:60
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| 06/19/2008 9:03 AM |
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Thank you for your inquiry. The appropriate parties have been notified of your question, and we will respond shortly.
Regards,
NYX Data Team |
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Lydia
Posts:60
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| 06/19/2008 12:19 PM |
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No, there is no plan to include the market orders in the feed. OpenBook is a limit order book only.
Regards,
NYX Data Team |
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Lydia
Posts:60
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| 06/19/2008 12:22 PM |
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Jleija,
DBK has been notified of the issue in your posting, and the bug has been fixed. You should not experience this issue in the future.
Regards,
NYX Data Team |
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guest (guest)
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| 06/27/2008 10:28 AM |
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| Is the issue with '\0' reason code fixed in the current feed or is that going to go live the 30th? |
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