question

Upvotes
Accepted
cdefusco avatar image
43 ●3 ●5 ●5

How to handle not rippled fields in Legacy Data Model (Domain=MP) ?

I cannot understand how to handle fields like BEST_BID1, BEST_BID2..,BEST_BIDN,...,BEST_BID10.

Reading the description I read "Note that these fields are not rippled." as shown in the image below. This make sense because I image that the provider will sent me always all the rows (10 in this case).

But there is a case when I can't imagine how to handle these fields.
I explain what i mean:
Supposing to have all 10 rows populated, If for example the BestBid at row 1 is filled and the row 2 became the new row 1 and so on, what happen to last row? How can I flush the last row (number 10 in this case) if now in my example I have only 9 rows?

elektronrefinitiv-realtimeelektron-sdkrrtema-apielektron-message-apidata-modelmarket-by-price
notrippledfields.jpg (102.4 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

2 Answers

Upvotes
Accepted
umer.nalla avatar image
20.3k ●73 ●10 ●20

Hi @cdefusco

The BEST_BID1 to BEST_BID10 fields are used to represent top of order book as I explained in one of your previous questions - i.e. the 10 best BID and ASK prices. As my colleague Nick explained, they may not ripple e.g. if 1 or 2 more new prices become available in the market, they will get inserted into the correct position and if other orders get filled they will be deleted and the next best order prices will replace them.

The Ripple functionality normally apply to fields like TRDPRC - where the fields TRDPRC_1 to TRDPRC_5 represent the last 5 most recent trade prices. As new trades occurs, the previous 4 trade prices get rippled down.

I am not entirely sure about the final paragraph of your post - are you planning to publish an Order Book - or are you just consuming?

If you are just consuming and you have seen an instance of only BEST_BID1 to BEST_BID9 being populated - then this could have been because the instrument only had 9 orders active in the market at that point in time?

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

cdefusco avatar image cdefusco

Yes I am only consuming data. Yes could be possible that the instrument only had 9 (BEST_BID1 to BEST_BID9) rows at that point in time.
My doubt was in the case where all 10 rows (BEST_BID1 to BEST_BID10) were populated in a point and then in another point later only 9 rows (maybe because on or more orders at row 10 were removed). From the point of view of consumer, if there are not other orders to fill the row 10 (for example orders on row 11), how could be filled then the field at row 10 if does not exist anymore?

umer.nalla avatar image umer.nalla cdefusco

Hi @cdefusco

I don't really understand your question - if there are only 9 order, there is no 10th order to display? Not sure what you mean about row 11?

I recommend you contact the Content Helpdesk and discuss with them as this is more of a Content query rather than API query.

cdefusco avatar image cdefusco umer.nalla

I try to explain what I mean:
Image you have 10 rows at time t1, then at time t2 image that you now have only 9 rows. From the point of view of consumer's cache, the value that was stored at row 10 how could be flushed if now (time t2) does not exist anymore?

Show more comments
Upvotes
nick.zincone avatar image
9.7k ●49 ●38 ●60

Hi @cdefusco,

Content questions such as this one are best directed to Refinitiv Helpdesk, which you can reached by calling the Helpdesk number in your country.

I didn't follow what specific problem you are facing but I'll try to explain my understanding of these fields. The BEST_BID1, BEST_BID2 fields are not rippled because there are active trades and quotes entering the market. That is, at any given time, the order of the best values can change based on market conditions. This is especially true if the service you are using is a conflated service where the book can change significantly within a small window of time. While it is possible that the BestBid at row 1 can be filled with row 2, this isn't always the case. Many trades and quotes can come in where new best bids can replace old ones. The values here I believe are based on the underlying order book.

Looking at the dictionary of values, I don't see 10 values provided. That is, I only see BEST_BID1 to BEST_BID5. If you truly want to manage the book, then it may be possible to request for the MBO (Market By Order) book.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

cdefusco avatar image cdefusco

Yes I know that I could use MBO.
However in this case I will use a MP. In this case, if as you told, there are only BEST_BID1 to BEST_BID5, the fields from BEST_BID6 to BEST_BID7 will be not provided or will be provided but with a code as thomsonreuters::ema::access::Data::BlankEnum ?

Click below to post an Idea Post Idea