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roig (guest)
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| 10/07/2008 1:23 PM |
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Hi,
I'm connected to the ARCA feeds via UDP only, therefore, I can only use interval book refresh messages for recovery and late joining.
To my understanding, LastSourceSeqNum in the Book Refresh Message signifies that the refresh message is covers all open orders in the book all the way to the order with SequenceNumber == LastSourceSeqNum.
This means that after refreshing my orderBook, I should only take into consideration and handle messages with SourceSeqNumber > LastSourceSeqNum.
However, I noticed that ignoring messages with SourceSeqNumber < LastSourceSeqNum caused me to skip erasion of orders that are no longer in the orderBook.
First I use the Refresh Feed: Symbol "BAC" (07.10.2008)
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LastSourceSeqNum = 1664282
An order with OrderID = 723718009 was added to the book.
Data Feed
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After refreshing, I skip all messages with SourceSeqNum < 1664282.
One of the messages was:
MsgType = Delete
OrderID = 723718009
SourceSeqNum = 1664180
* Therefore, the message was skipped and the order was not deleted from the book, causing a false OrderBook
How do I handle these situations? Do I need to store all messages even if SourceSeqNumber < LastSourceSeqNum ?
Thanks,
Roi |
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Verona
Posts:48
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| 10/13/2008 4:03 PM |
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You should skip all messages with a sequence number lower than LastSourceSeqNum. If you feel that there was an error in the
refresh, please contact the NYX Arca Team and we can look into the sequence of event that created that book.
Please note NYX Arca Team can only do this intraday. You may contact NYSE Arca Technical area at 1-888-689-7739 option 1 or connectivity@nyx.com. |
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amct (guest)
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| 10/31/2008 1:39 PM |
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| I have exactly the same problem. I dont have the packet numbers yet but see this happeneing to GLD@72.14 on an order recived at 8:30am but never got the delete. I skip all messages upto this LastSourceSeqNum. |
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