What is the actual meaning of the integer return updateTypeNum in UpdateMsg Class?

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in TREP APIs

What is the actual meaning of the integer return updateTypeNum in UpdateMsg Class?

INSTRUMENT_UPDATE_UNSPECIFIED=0


INSTRUMENT_UPDATE_QUOTE=1


INSTRUMENT_UPDATE_TRADE=2


INSTRUMENT_UPDATE_NEWS_ALERT=3


INSTRUMENT_UPDATE_VOLUME_ALERT=4


INSTRUMENT_UPDATE_ORDER_INDICATION=5

INSTRUMENT_UPDATE_CLOSING_RUN=6


INSTRUMENT_UPDATE_CORRECTION=7


INSTRUMENT_UPDATE_MARKET_DIGEST=8


INSTRUMENT_UPDATE_QUOTES_TRADE=9


INSTRUMENT_UPDATE_MULTIPLE=10


INSTRUMENT_UPDATE_VERIFY=11

If I want to capture the traded event, only capture the updateTypeNum =2 with FID = 6, is it correct?

Thanks,

Sam

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Best Answer

  • moragodkrit.chumsri_1
    moragodkrit.chumsri_1
    Answer ✓

    @samuel.yan

    Not sure about API you are using. But there are some informations about the meaning of Instrument Update from RFA Reference Manual (.html file) which provided in <RFA Install folder>\Docs\refman\rfa\a00363.html 

    -INSTRUMENT_UPDATE_UNSPECIFIED=0 
    Not specified. Data Feed/Provider not specified the type. 

    -INSTRUMENT_UPDATE_QUOTE=1 
    The update is Quote 

    -INSTRUMENT_UPDATE_TRADE=2 
    The update is Trade

    -INSTRUMENT_UPDATE_NEWS_ALERT=3 
    The update is News Alert 

    -INSTRUMENT_UPDATE_VOLUME_ALERT=4 
    The update is Volume Alert 

    -INSTRUMENT_UPDATE_ORDER_INDICATION=5 
    The update is Order Indication 

    -INSTRUMENT_UPDATE_CLOSING_RUN=6 
    The update is Closing Run 

    -INSTRUMENT_UPDATE_CORRECTION=7 
    The update is Correction 

    -INSTRUMENT_UPDATE_MARKET_DIGEST=8 
    The update is Official information from the exchange 

    -INSTRUMENT_UPDATE_QUOTES_TRADE=9 
    One or more conflated quotes followed by a trade 

    -INSTRUMENT_UPDATE_MULTIPLE=10 
    Update with other filtering and conflation applied 

    -INSTRUMENT_UPDATE_VERIFY=11 
    Fields may have changed

    As far as I understand if you want to capture trade, normally you have to check the updateTypeNum=2 and get trade price from FID 6 but for some exchange it might use other FID to represent trade price. Please check with data support if you can not get it from FID 6.

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