Insufficient response to Timeseries Subscription of OHLC data for Hongkong futures

tt1057
tt1057
in Eikon COM

Hi,

I have issues with subscribing to 1 min bar updates (ohlc) via a timeseries subscription via the .net API (ThomsonReuters.Desktop.SDK.DataAccess).

It currently mainly shows for Hongkong futures - with European and Japanese Futures the 1 min data updates are pushed correctly.

Please see a my version of the 1 min ohlc char I get from the subscription:
hsi-missing-bars.jpg

As you see, the bars are incomplete and the gaps between bars are too big for such a liquid futures market.

This is the code I use to subscribe to the 1 min data:

timeSeries.SetupDataSubscription(sym)

.WithView("TRDPRC_1")

.WithAllFields()

.WithInterval(CommonInterval.Intraday1Minute)

.From(DateTime.UtcNow.AddMinutes(-1))

.OnDataReceived(DataReceivedCallback)

.OnDataUpdated(DataUpdatedCallback)

//.WithTimeZone(TimezoneType.Instrument)

.CreateAndStart());


Currently, I am subscribing these symbols:

HSIH3

HCEIH3


What is really strange to me, is that it works with European and Japanese rics but not with Hongkong futures.


Any idea on how to improve this?


Thanks for your support.

Mike



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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @tt1057

    I checked with the Eikon Chart and I saw the gap in the data.

    1678425834080.png

    You may need to contact the content support team via MyRefinitiv to verify this gap.

    I tested with the code below and it returned nothing.

                tsRequest = timeSeries.SetupDataSubscription("HCEIH3")
                .WithView("TRDPRC_1")
                .WithAllFields()
                .WithInterval(CommonInterval.Intraday1Minute)
                .From(DateTime.UtcNow.AddMinutes(-1)) //this can be extended to hours any anything of that kind
                .OnDataReceived(DataReceivedCallback)
                .OnDataUpdated(DataUpdatedCallback)
                //.WithTimeZone(TimezoneType.Instrument) //when this is enabled, then it does not fire the events for new bars and everything
                .CreateAndStart();

    Therefore, I need to change the From to DateTime.UtcNow.AddMinutes(-30) in order to get the data.

    In the DataUpdatedCallback, I got several updates within the same minute. 

    ...
    #### DataUpdatedCallback ExistingPoint, HCEIH3
    -----HCEIH3 TimeStamp:>>7:33:0:0
    HIGH 6473
    LOW 6471
    OPEN 6472
    CLOSE 6472
    VOLUME 23
    TIMESTAMP 3/10/2023 7:33:00 AM
    COUNT 16
    #### DataUpdatedCallback ExistingPoint, HCEIH3
    -----HCEIH3 TimeStamp:>>7:33:0:0
    HIGH 6473
    LOW 6471
    OPEN 6472
    CLOSE 6472
    VOLUME 25
    TIMESTAMP 3/10/2023 7:33:00 AM
    COUNT 17
    #### DataUpdatedCallback ExistingPoint, HCEIH3
    -----HCEIH3 TimeStamp:>>7:33:0:0
    HIGH 6473
    LOW 6471
    OPEN 6472
    CLOSE 6472
    VOLUME 31
    TIMESTAMP 3/10/2023 7:33:00 AM
    COUNT 18
    #### DataUpdatedCallback NewPoint, HCEIH3
    -----HCEIH3 TimeStamp:>>7:34:0:0
    HIGH 6472
    LOW 6472
    OPEN 6472
    CLOSE 6472
    VOLUME 1
    TIMESTAMP 3/10/2023 7:34:00 AM
    COUNT 1
    ...

    I assume that you use the last one to plot a chart. Then, I ran an application again to check the actual value at 7:33:00 AM and I got the following value via the DataReceivedCallback.

    ---- HCEIH3 TimeStamp:>>7:33:0:0
    HIGH 6473
    LOW 6471
    OPEN 6471
    CLOSE 6472
    VOLUME 284
    TIMESTAMP 3/10/2023 7:33:00 AM
    COUNT 161
    ---- HCEIH3 TimeStamp:>>7:34:0:0
    HIGH 6472
    LOW 6470
    OPEN 6472
    CLOSE 6472
    VOLUME 292
    TIMESTAMP 3/10/2023 7:34:00 AM
    COUNT 196

    The values of the OPEN fields are different.

    Please confirm if you see this problem in the application.


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