EMA stream returns only delta values but without timestamp

vuk.magdelinic
vuk.magdelinic
in EMA 
{
    "Ask": "N/A",
    "Contributor": "N/A",
    "Mid": "0.519",
    "Value_TS1": "N/A",
    "Bid": "N/A",
    "RIC": "EURAB6E28Y=",
    "Tenor": null
}


Here we only have a value for Mid, but no changes to Bid and Ask are reported. Plus, Value_TS1 is blank which doesn't tell us whether the data is in order or out of order since there are multiple threads involved in Refinitiv stream

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Best Answer

  • nick.zincone
    nick.zincone
    Answer ✓

    Hi @vuk.magdelinic,

    Can you provide the specific version and EMA language you are using? Also, can you confirm that the item you are requesting is "EURAB6E28Y="

    The expected behavior of EMA, when you receive an update, is that it normally provides either a quote or trade update. However, I've observed with the above RIC there were no timestamps received, for example:

    {
        "DURATION": -25.35,
        "MID_PRICE": 0.584,
        "GEN_VAL1": null,
        "GEN_VAL2": null,
        "GEN_VAL4": 0.584,
        "GEN_VAL5": 16.8,
        "GEN_VAL6": -1.0,
        "GEN_VAL7": 5.9,
        "GEN_VAL8": 7.8,
        "GEN_VAL9": 7.0,
        "GEN_VAL10": 55.9,
        "MID_1": 0.584,
        "PV01": 2521.9832
      }

    However, I do see this:

    {
        "BID": 0.564,
        "PRIMACT_1": 0.564,
        "ASK": 0.604,
        "SEC_ACT_1": 0.604,
        "NETCHNG_1": -0.013,
        "PCTCHNG": -2.25,
        "ACT_TP_1": " B",
        "VALUE_DT1": "2021-05-19",
        "VALUE_TS1": "17:02:23",
        "SC_ACT_TP1": " A"
      }

    For cases where no timestamp was included (as I observed in my example), there may be a good reason. I would suggest you reach out to the Refinitiv Helpdesk - they can likely explain the rationale why no timestamps are included in some updates within the specific data service.

    thanks.

Answers

  • vuk.magdelinic
    vuk.magdelinic

    What is the difference between the first quote and second one you have pasted above? How did you get each of these?

  • nick.zincone
    nick.zincone
    Hi @vuk.magdelinic,

    We are starting to get into understanding the market and the specific content set and what the specific change means. This is why I suggested you reach out to the support desk to get an explanation of the specific market and the details around expectations of the types of updates to expect. I don't know what the 1st update represents, but the 2nd one looks like it is trade-related.

  • vuk.magdelinic
    vuk.magdelinic

    Can you tell us how the mid values are being calculated at refinitiv end? What are the inputs to this calculation?

  • umer.nalla
    umer.nalla

    Hi @vuk.magdelinic

    As suggested by my colleagues, your best course of action would be to raise a Content ticket with the My.Refinitiv helpdesk - so that a content specialist can help answer your question. In your query, please provide example RICs that you exhibit the described behaviour - so the ticket can be routed to the relevant content team.

    Most of the Refintiiv colleagues on this forum are API specialist and not content specialists. Refinitiv Real-Time carries over 100 million instruments from across 550 venues and 3rd party sources - hence the specialist content teams.

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