Joined: Sep 19, 2013
Posted: Nov 20, 2020 06:04 AM
Msg. 1 of 3
What kind of Update message should we receive in Level 1 data feed in case, if, for example, there are no active bid orders on the market anymore after the latest trade, and the bid side of the book should be cleared?
I guess, there should be a special case for this situation? What will be the values of "Message Contents" field and bid related fields ("Bid" and "Bid Size")?
Could you please clarify?
Joined: Jul 3, 2019
Posted: Nov 23, 2020 02:54 PM
Msg. 2 of 3
When the exchange tells us to clear books (or any other field), this should appear in IQFeed Level 1 as a message with an empty field for the affected fields. The Message Contents field should also indicate b or a as appropriate, depending on whether bid, ask, or both was cleared.
DTN IQFeed Implementation Support Specialist