Pages/FAQ.md

Go to the documentation of this file.

\addtogroup faq 

\brief Frequently asked questions.

<!-------------------------------------------------------------------------->

\section faq-handler-single-channel Can more than one channel per Handler be processed? Alternatively, are multiple Handler instances necessary?

One instance of OnixS::CME::MDH::Handler processes market data for a single 
channel only. Users must create multiple instances of the Handler to process 
data from multiple channels.

[Permanent link to the answer](@ref faq-handler-single-channel)

<!-------------------------------------------------------------------------->

\section faq-handler-securities-subscribed Is the Handler implicitly subscribed to all instruments of the specified channel? Will it receive security definitions for all instruments of this channel?

Yes, exactly.

[Permanent link to the answer](@ref faq-handler-securities-subscribed)

<!-------------------------------------------------------------------------->

\section faq-filtering How does instrument/group filtering work? Why would we want to do this?

Filtering (instrument selection) is useful when market data required for 
specific instruments only. Instrument selection is like an inclusive 
whitelist. E.g., if security A is selected, security-related events 
(members of OnixS::CME::MDH::SecurityListener) are raised for security 
A only.

If two or more securities are selected, events are triggered only for those securities.

\see \ref security-selection

[Permanent link to the answer](@ref faq-filtering)

<!-------------------------------------------------------------------------->

\section faq-book-consistency How do we know whether the data delivered through onBookAtomicUpdate is the first or last change of a "transaction"? That is, how can it be determined that the order book is valid/consistent/not-crossed after a single onBookAtomicUpdate() call?

It is a bit more complicated with book consistency & up-to-date. Please, note 
that CME does not guarantee 100% book up-to-date on intermediate updates.
It is guaranteed only after 'End of XXX quote' market event where XXX is real or 
implied. So you have to check this field to ensure the book is 100% up-to-date.

It can be achieved by using book update callbacks of 
OnixS::CME::MDH::SecurityListener rather than atomic book update 
listening. They are publishing the books only on 'End of XXX quotes' 
market event giving guarantee books are consistent and up-to-date.

\see OnixS::CME::MDH::SecurityListener, OnixS::CME::MDH::MarketDataListener

[Permanent link to the answer](@ref faq-book-consistency)

<!-------------------------------------------------------------------------->

\section faq-initial-book How to retrieve/receive the initial order book?

Any OnixS::CME::MDH::SecurityListener::onBookUpdate call gives you 
consistent order book state (except for Natural Refresh mode). If you 
need book state at startup, you can just get a snapshot at first call.

\see \ref book-construction-and-copying

[Permanent link to the answer](@ref faq-initial-book)

<!-------------------------------------------------------------------------->

\section faq-no-market-data After switching the Operating System, even the sample program is no longer able to receive market data (code=NoNetworkActivity). However, I can ping the CME router and iLink server. Any insight or suggestions on what may be going on here?

See \ref connectivity-troubleshooting.

[Permanent link to the answer](@ref faq-no-market-data)

<!-------------------------------------------------------------------------->

\section faq-cache-limit-exceeded If Handler joins while the market is busy, warnings (code=QueueOverflow) are reported. Is there any possibility to raise the configured limit, if so how?

When the Handler performs book recovery, it caches all the data received on incremental 
feeds. When the market is busy, a number of cached messages may exceed configured limit 
defined by the OnixS::CME::MDH::HandlerSettings::recoveryQueueMaxSize parameter value. 
So, to avoid `QueueOverflow` warnings, it is necessary to increase the value of the noted 
parameter.

[Permanent link to the answer](@ref faq-cache-limit-exceeded)

<!-------------------------------------------------------------------------->

\section faq-queue-overflow What is the cause of 'QueueOverflow' warnings?

The cause is a violation of received packets sequence (gap) that wasn't restored 
after the OnixS::CME::MDH::RealtimeFeedSettings::outOfOrderPacketMaxInterval number 
of packets or after the OnixS::CME::MDH::HandlerSettings::lostPacketWaitTime elapsed. 
Violation of packet sequence can be caused by packets loss on different levels: 
CME environment issues, network connectivity issues, system or application issues.

Also, when Handler performs a large-scale recovery due to the gap or while joining 
market lately, incremental packets are cached. In case of intensive data transmission,
queue keeping incremental packets may reach its limit causing a noted warning. 

Please refer to our [Lost multicast packets troubleshooting guide](
http://ref.onixs.biz/lost-multicast-packets-troubleshooting.html) 
for more details.

\see \ref connectivity-troubleshooting.

[Permanent link to the answer](@ref faq-queue-overflow)

<!-------------------------------------------------------------------------->

\section faq-book-atomic-and-complex-update What's the difference between 'Book Atomic Update' and 'Book Update' events?

**Book Atomic Update** (OnixS::CME::MDH::SecurityListener::onBookAtomicUpdate) 
is an *elementary action over a book,* and usually, *there're multiple atomic 
updates inside a single snapshot or incremental refresh*. Also, the book *may not 
be valid between two atomic updates*. Only when all atomic updates are processed 
from the single market event, the book is considered as valid. 

**Book Update** (OnixS::CME::MDH::SecurityListener::onBookUpdate) are raised 
exactly at a time when all atomic updates are processed, and the book appears 
to be *valid* and *up-to-date*.

\see \ref book-self-building

[Permanent link to the answer](@ref faq-book-atomic-and-complex-update)

<!-------------------------------------------------------------------------->

\section faq-price-dividing While processing market data for CME, I noticed that some instruments are divided by 100, others by 10000 and the others are not. How do I determine what value to scale the prices?

Security definition sent by Market Data Platform contains fields

- DisplayFactor (tag 9787) - for securities with non-fractional price
- MainFraction (tag 37702) and SubFraction (tag 37703) - for securities 
  with fractional price
  
representing the multipliers to convert the CME Globex display price to 
the conventional price.

\see [CME Pricing documentaton](
http://www.cmegroup.com/confluence/display/EPICSANDBOX/MDP+3.0+-+CME+Globex+Pricing).

[Permanent link to the answer](@ref faq-price-dividing)

<!-------------------------------------------------------------------------->

\section faq-handler-latency Which latency is added by the Handler?

Minimal book update latency falls into 100-250 nanoseconds depending 
on hardware/operating system/network conditions. Please, contact 
[Onix Sales](mailto:sales@onixs.biz) for most recent official 
benchmark results.

[Permanent link to the answer](@ref faq-handler-latency)

<!-------------------------------------------------------------------------->

\section faq-handler-cpu-consumption What is Handler CPU consumption?

It depends significantly on many different parameters including network,
hardware, operating system environment, market data rate and applied 
handler settings.

[Permanent link to the answer](@ref faq-handler-cpu-consumption)

<!-------------------------------------------------------------------------->

\section faq-expected-callback-latency What is the expected maximum latency our callback implementation should have?

The smaller, the better. It shall be microseconds to do not 
impact handler ability to process data on high tickers.

[Permanent link to the answer](@ref faq-expected-callback-latency)

<!-------------------------------------------------------------------------->

\section faq-error-reporting How are problems with market data indicated (book became invalid)?

The Handler reports all errors and warnings 
through OnixS::CME::MDH::HandlerListener::onError and 
OnixS::CME::MDH::HandlerListener::onWarning callbacks 
respectively. 

\see \ref error-and-warning-handling

[Permanent link to the answer](@ref faq-error-reporting)

<!-------------------------------------------------------------------------->

\section faq-detect-packet-issues How can packet issues (back-pressure/queuing) be diagnosed?

The Handler allows tracing packets as they are received by active feeds 
including out-of-order or duplicated packets (in contrast to market 
data listening which exposes packets passed through session rules). 
With the help of the new OnixS::CME::MDH::FeedListener listener, it is 
possible to write advanced diagnostic services.

\see \ref feed-event-listener

[Permanent link to the answer](@ref faq-detect-packet-issues)