How to retrieve timestamp for update messages via Elektron Websocket API

javan.graham
javan.graham
in WebSocket API

How can I get a timestamp for the quotes or trades with each update message coming in from the Websocket API? I've requested many fields that should have a time or date for trades and quotes but I don't get anything. This is what my update messages come in looking like:

[
  {
    "DoNotConflate":true,
    "Fields":{
      "ASK_YIELD":0.859,
      "BID_YIELD":0.966
    },
    "ID":750,
    "Key":{
      "Name":"DE159570487=",
      "Service":"ELEKTRON_DD"
    },
    "SeqNumber":31742,
    "Type":"Update",
    "UpdateType":"Unspecified"
  }
]

Is there a way to request a generated timestamp for each of these records, much like how rows in Tick History always have a datetime attached to them? How should I move forward if I must store this with a timestamp? Thank you.

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Best Answer

  • Gurpreet
    Gurpreet
    Answer ✓

    If you do not filter out the fields when subscribing to the instrument, your application will receive all the fields in the updates. The fields received will however depend on the instrument and the asset class as well as the venue where it is traded. In this instrument, it seems the update message does not have any time field, i.e. venue isn't marking update time.

    I do notice that an update message is always preceded by a trade message - which has VALUE_DT1 and VALUE_TS1 fields which seem to be time field. If you need clarification on these fields, please contact content helpdesk at my.refinitv.com.

    Since the update messages are conflated by 300 ms, it would siffice to use the message received timestamp as the update timestamp.

Answers

  • javan.graham
    javan.graham

    Thank you very much Gurpreet, VALUE_DT1 and VALUE_TS1 are present in all of my update messages now. I focus primarily on pricing and yields for bonds. I am assuming that these times are UTC:

    [
      {
        "DoNotConflate":true,
        "Fields":{
          "ASK_YIELD":0.751,
          "BID_YIELD":0.754,
          "VALUE_DT1":"2020-04-06",
          "VALUE_TS1":"15:02:57"
        },
        "ID":570,
        "Key":{
          "Name":"NL106732957=",
          "Service":"ELEKTRON_DD"
        },
        "SeqNumber":6126,
        "Type":"Update",
        "UpdateType":"Unspecified"
      }
    ]

    I already tried to raise a help desk ticket but they pointed me here, once again thank you.

  • Gurpreet
    Gurpreet

    Yes, the date/time is UTC.

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