alexmin (guest)
 |
| 05/05/2008 11:05 AM |
 Quote
 Reply
 Alert
|
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.
|
|
|
|
|
Ariel
Posts:148
|
| 05/05/2008 11:13 AM |
Quote
Reply
Alert
|
| 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. |
|
|
|
|
guest (guest)
|
| 06/08/2008 8:42 AM |
Quote
Reply
Alert
|
| Is there any plan to include the market orders in the feed? |
|
|
|
|
jleija (guest)
|
| 06/18/2008 5:03 PM |
Quote
Reply
Alert
|
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.
|
|
|
|
|
Lydia
Posts:68
|
| 06/19/2008 9:03 AM |
Quote
Reply
Alert
|
Thank you for your inquiry. The appropriate parties have been notified of your question, and we will respond shortly.
Regards,
NYX Data Team |
|
|
|
|
Lydia
Posts:68
|
| 06/19/2008 12:19 PM |
Quote
Reply
Alert
|
No, there is no plan to include the market orders in the feed. OpenBook is a limit order book only.
Regards,
NYX Data Team |
|
|
|
|
Lydia
Posts:68
|
| 06/19/2008 12:22 PM |
Quote
Reply
Alert
|
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 |
|
|
|
|
guest (guest)
|
| 06/27/2008 10:28 AM |
Quote
Reply
Alert
|
| Is the issue with '\0' reason code fixed in the current feed or is that going to go live the 30th? |
|
|
|
|
michael (guest)
|
| 07/03/2008 11:28 AM |
Quote
Reply
Alert
|
As of the 2/7/2008 We are still seeing null characters in the reson code.
When is this going to be fixed in live ?.
Regards
Michael |
|
|
|
|
guest (guest)
|
| 08/12/2008 12:00 PM |
Quote
Reply
Alert
|
can someone elaborate on what the link IDs are? my understanding is that whenever there is a trade (when the reason code is either X or E), there will be a link ID. but how to I use it to find out the trade size in case of X. how do I find out what multiple events are there?
for example, I have this sequence of messages for a stock at price 76.57, how am I going to figure out what trades and/or new order and/or cancel orders have happened?
reason code volume ChgQty NumOrders LinkID1 LinkID2
O 200 200 1
X 200 0 2 6593
X 200 0 1 6594 6595
X 200 0 2 6596 |
|
|
|
|