Reuters Elektron exchange date and timestamp issue

mojtaba.danai
mojtaba.danai
in EMA

Hi,

We are using Elektron Message API C++ edition, and have some issues with interpreting the exchange date and timestamps from the provided fields. Currently we are using the following fields to read the date and time from received messages:

- QUOTE_DATE (Field ID 3386)
- ACTIV_DATE (Field ID 17)
- QUOTIM_MS (Field ID 3855)
- SPARE_TS1 (Field ID 1697) (for NYMEX exchange instruments)

The issue we are having is that around midnight UTC, when the date field changes to next day the time field(s) values are still before midnight (for example 23:59) and causing errors in our data feed to timestamp the received data correctly.

Do you know the reason for this, or can you provide us the correct behavior for reading the exchange date and time from the provided fields in the received messages?

Thanks.

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Answers

  • mojtaba.danai
    mojtaba.danai

    @zoya.farberov

    This issue happens on many RICs such as:

    Cocoa (CC)
    Euro-OAT (FOAT)
    CAC (/.FCHI)
    Wheat (1W)
    Soyabean Oil (1BO)
    Copper (1HG)
    ...

    This has happened in H8, K8 and M8 contracts.

    Please let me know, if you find some information in regards to this.

    Thanks

  • mojtaba.danai
    mojtaba.danai

    @zoya.farberov

    In addition to my reply above, we have captured received data from ReutersElektron API around UTC midnight for RIC 1HGK8 (Copper K8 contract).

    As you can see below and update message (SeqNum 4320) is received with QUOTIM_MS: 86397788 after a trade message (SeqNum 4302).The update message with SeqNum 4272 had already set the QUOTIM_MS to 67 but the strange thing is that there is no date change in the message. Do you know the reason?

    This shows that the QUOTIM_MS timestamp has gone backwards. Please see attached file CopperK8.txt which is captured messages from OMMViwer.copperk8.txt

  • mojtaba.danai
    mojtaba.danai

    @zoya.farberov

    I guess we need to clarify couple of issues we found in the received messages from ReutersElektron:

    1. Why don't we receive any date change update when time changes to next day?

    2. Why the time goes backwards in received update message? As you can see in the attached file for Copper K8 contract, we do receive an update message with time before midnight UTC, after we have received an update message with quote time after midnight.

    3. Is there any special handling of exchange timestamp fields updates?

  • zoya faberov
    zoya faberov

    Hi @mojtaba.danai,

    Thank you for the specific example of 1HGK8, it's very helpful.

    I have conveyed this info to the appropriate content team within TR, for further investigation.

    We will follow-up once we have the updates.

  • zoya faberov
    zoya faberov

    Hello @mojtaba.danai,

    Conveying an update from TR product development:

    "known issues with this FID have been
    acknowledged and a ticket has been opened with development. Case# is 06367031. At this time,
    a release has not been scheduled"

    We will keep you updated.

  • mojtaba.danai
    mojtaba.danai

    @zoya.farberov

    Ok, thanks. Please keep me updated.

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