multiple trade in single msg?

iscas.wang
iscas.wang
in EMA

Hi, seen from my log, I found there're multiple trades information in one single UpdateMsg received from TREP server via ema sdk.


NIO 42222 37 1 2 20200521212103799 BID(22)="3.370000"|ASK(25)="3.380000"|BIDSIZE(30)="83"|ASKSIZE(31)="25"|QUOTIM_MS(3855)="47141204"|ACVOL_1(32)="1103164"|IRGPRC(372)="3.380000"|IRGVOL(373)="12"|SALTIM_MS(3854)="47161063"|IRGSALCOND(4757)=" TI"|IRGTIM_MS(9063)="47161063"|BLK_PRC1(3861)="3.370000"|ODD_PRC(4205)="3.380000"|ACVOL_PRE(4418)="1103164"|BLKTRDVOL(6908)="10000"|ODD_TRDVOL(6922)="12"|NCHNG_PRE(7930)="-0.100000"|PCHNG_PRE(7932)="-2.8736"|PRERL1594(10585)="3.380000"|BLKTIM_MS(14206)="13:05:36:021:000:000"|ODDTIM_MS(14251)="13:06:01:063:000:000"|PRE_139_NS(14569)="13:06:01:063:000:000"


The first column is security code I received, and last column is all fid together with its value extracted from UpdateMsg.toString() method.

If multiples trades arrives, my application should decide which to choose or otherwise split into multiple trades on my own, which will make my app more complicated. So it's there any option that app can use to stop this behavior, sending at most trade info in one message ? many thanks.

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Best Answer

  • zoya faberov
    zoya faberov
    Answer ✓

    Hello @wangfugen,

    Let me share my understanding of this topic, please keep in mind that I am a developer, and an engineer may have a different viewpoint.

    Conflation is the practice, on the server side, of aggregating multiple updates into one, for the purposes of bandwidth preservation and reducing necessary processing on the consumer side.

    It is recommended for numerous use cases when the client does not require every tick.

    Some types of updates are commonly conflated, such as price quotes. Some are never conflated, such as trades and news. This is true for Elektron service and Refinitiv definition of best practice on managing it.

    So you should not be seeing conflated trades.

    That said, you appear to be connecting to local TREP infrastructure. In this case, TREP may be managed by your local market data admin or group. Your source may not be Elektron, it may be modified Eelktron, or a custom publisher.

    Your local market data admin/group is the best contact to find out, what service are available on your local TREP infrastructure, and you are permissioned for. If for instance, a full-tick service is available, or different levels of conflation are available, and if you can be permissioned to consume these.

    If you are looking to get deeper into details of conflation and trade-safe conflation, you may find out more from Advanced Data Hub Installation Guide, this is the component of TREP where conflation is defined.

    To summarize, EMA API and consumer application will be consuming what updates are published, the conflation is defined on the provider/source side.

    I hope this information is of help?

Answers

  • iscas.wang
    iscas.wang

    OK, I will contact my local market data admin for this. Many thanks.

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