The conflation mechanism in RTO, 3 updates per second?

Frederic
Frederic
in EMA

May I know the conflation mechanism for the RTO?
It's described as 'all trades and 3 updates per second for quotes'.

So how to do the conflation for 3 updates per second? every 1/3 second it will generate a quote update? or 3 quote update at most for a second? what's the conflation logic on that?

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Best Answer

  • umer.nalla
    umer.nalla
    Answer ✓

    Hi @Frederic

    With the RTO conflation, you should receive all Trade events.

    It is also possible for a quote update to be combined with a trading update.

    For quotes, if there have been any quotes in the past1/3 second, they would be conflated into a single quote update. If there has been no market activity on that instrument in the past 1/3 second you should not receive an update.

    For example, below I subscribed to STAN.L for just over 60s from RTO:

    Stats; Refresh: 0 Updates: 0 Status: 0 Pings: 0 Elapsed Time: 0.00secs
    Stats; Refresh: 1 Updates: 1 Status: 1 Pings: 0 Elapsed Time: 5.02secs
    Stats; Refresh: 1 Updates: 8 Status: 1 Pings: 0 Elapsed Time: 10.05secs
    Stats; Refresh: 1 Updates: 23 Status: 1 Pings: 0 Elapsed Time: 15.09secs
    Stats; Refresh: 1 Updates: 26 Status: 1 Pings: 1 Elapsed Time: 20.13secs
    Stats; Refresh: 1 Updates: 26 Status: 1 Pings: 1 Elapsed Time: 25.15secs
    Stats; Refresh: 1 Updates: 27 Status: 1 Pings: 1 Elapsed Time: 30.19secs
    Stats; Refresh: 1 Updates: 30 Status: 1 Pings: 1 Elapsed Time: 35.24secs
    Stats; Refresh: 1 Updates: 32 Status: 1 Pings: 2 Elapsed Time: 40.26secs
    Stats; Refresh: 1 Updates: 53 Status: 1 Pings: 2 Elapsed Time: 45.33secs
    Stats; Refresh: 1 Updates: 55 Status: 1 Pings: 2 Elapsed Time: 50.38secs
    Stats; Refresh: 1 Updates: 55 Status: 1 Pings: 2 Elapsed Time: 55.44secs
    Stats; Refresh: 1 Updates: 56 Status: 1 Pings: 3 Elapsed Time: 60.48secs
    Stats; Refresh: 1 Updates: 94 Status: 1 Pings: 3 Elapsed Time: 65.53secs

    As you can see:

    in the 10-15 sec time window, I received 15 updates = 3 per second.
    in the 20-25 sec time window, I received 0 updates.
    in the 5-65 sec time window, I received 93 updates - an average of 1.5 updates a second.




Answers

  • Frederic
    Frederic

    The conflation is done by RTO server side or EMA application side? And if this goes to the LPC in the scenario, will the conflation be done by LPC?

  • umer.nalla
    umer.nalla
    Conflation is done by RTO servers.

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