Real-time Elektron and historical Datascope data format equivalence

vic
vic
in Elektron

In Datascope we can get historical level 1 data called "Tick history time and sales" and level 2 data called "Tick History Market Depth". Also there is the option to get "Tick history raw".

In real-time we can get data from Elektron with UPA or RFA. Is it possible to get real-time and historical data in the same format? If so, is it correct to say that RFA data is equivalent to the "Tick history times and sales / Tick History Market Depth" data and UPA data is equivalent to "Tick history raw".

Thanks in advance.

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Best Answer

  • Jirapongse
    Jirapongse admin
    Answer ✓

    Both TRTH V2 (historical DSS) and UPA or RFA get the raw real-time data from Elektron. However, TRTH V2 processes or adds values to the raw data before storing to its database.

    UPA or RFA retrieves data in binary format. The application needs to decode the binary data before using it. For example, for MarketPrice domain, the binary data will be decoded to a field list contains field-value pair data , as shown below.

    [FieldList]:  Dictionary ID: 1  FieldListNum: 99
    PROD_PERM       213
    RDNDISPLAY      153
    DSPLY_NAME      Raiffeisen   MOW
    TIMACT          08:49:00:000:000:000
    NETCHNG_1       -0.0017
    HIGH_1          1.1657
    LOW_1           1.1617
    CURRENCY        USD (840)
    ACTIV_DATE      27 OCT 2017
    OPEN_PRC        1.1648
    HST_CLOSE       1.1650
    BID             1.1633

    However, the data from TRTH V2 is in JSON or CSV format. For "Tick history raw", the data looks like:

    EUR=,Market Price,2017-07-22T00:05:06.885058466Z,+0,Raw,REFRESH,,,,,213,99,8975,317
    ,,,,FID,1,,PROD_PERM,213,
    ,,,,FID,2,,RDNDISPLAY,153,
    ,,,,FID,3,,DSPLY_NAME,SE BANKEN    NYC,
    ,,,,FID,5,,TIMACT,21:00:00.000000000,
    ,,,,FID,11,,NETCHNG_1,-0.0003,
    ,,,,FID,12,,HIGH_1,1.1658,
    ,,,,FID,13,,LOW_1,1.1664,
    ,,,,FID,15,,CURRENCY,840,USD
    ,,,,FID,17,,ACTIV_DATE,2017-07-21,
    ,,,,FID,19,,OPEN_PRC,1.1658,
    ,,,,FID,21,,HST_CLOSE,1.1661,
    ,,,,FID,22,,BID,1.1658,
    ,,,,FID,23,,BID_1,1.1661,
    ...
    ...

    The data is in CSV but it is still field-value pair data.

    Therefore, it is correct to say that both RFA and UPA data is equivalent to "Tick history raw" and TRTH V2 processes this raw data to create "Tick history time and sales".

    For "Tick History Market Depth", if you are using RawMarketByPrice, RawMarketByOrder, and RawMarketMaker view, you will see that the data is also equivalent to MarketByPrice, MarketByOrder, and MarketMaker domains in UPA and RFA.

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