-
RFA Api : Multipart Refresh message with unexpected cache clearing instruction in between
Hello, we use RFA 8.2 C++ api to consume market data in MBP domain. Please let us know if following message format is expected and if yes where it is documented? <Refresh Message A> Part <1> of Refresh Message <A> with clear cache instruction and summary fields Part <2> of Refresh Message <A> with clear cache instruction…
-
MarketByPrice fields - B3 data
Dear team, I am getting full book from exchange B3 data in Refinitiv OMMItemStream class using this code, with domain MarketByPrice: futures = rdp.OMMItemStream(session = session,name="DOLG23",domain = "MarketByPrice, on_refresh = lambda euro, event : display_event("Refresh", event),on_update = lambda euro, event :…
-
MapEntry Action -> DELTE [ ORDER_ID] -> 1668520581231622381_1481511_1
Hi team, Need help for this query. thanks in advance We are using RFA 8.1 C++ API to consume depth data using MBP domain [Market By Price]. When we receive DELETE instruction we receive only OrderID. Side is not mentioned. Order ID are received in given format MapEntry Action -> DELTE [ ORDER_ID] ->…
-
Sequences of trades/quotes/market updates within the same nanosecond
I'm looking at both the refinitiv real time SDK and the CSV per-exchange data. I see a few cases where (on LSE) we see this sequence of events: market status - opening auction ...events trade (MMT class implies it's outside of opening auction) market status - normal trading The sequence of events as delivered to our…
-
EMPTY Levels in RFA API
I'm using the the MARKET_BY_PRICE to get the orderbook using RFA 8.1 . But I can't find any information in the documentation how empty levels are signaled. Say that there are only 3 levels. Will I receive a MAP with all (10) levels? In that case what will signal that only 3 of them are valid? I have seen people asking…
-
Getting add entry for already existing levels. Getting update entry for non existing levels.
Hi, We are using RFA 8.1 API's with MarketByPrice domain. This is in regards with level 2 data. We received an add entry for an order id that already exists in our local book. Symbol : APPS.MC Timestamp : 20220907-06:30:17 EST Order Id : 6.6350B Similarly an update entry was received for an order ID that was not present in…
-
Eikon Python API - close prices after market closes for Baltic Exchange Supramax Index (.BSIS) and C
I am trying to get the daily close price for for Baltic Exchange Supramax Index (.BSIS) and CRB Index (.TRCCRB) after the market closes. I run my script around 6:50pm UK time but the close price for the current day come up as 0. This is my code below: start_date =str(datetime.date.today() - datetime.timedelta(80)) end_date…
-
MMT_MARKET_PRICE
MMT_MARKET_PRICE using this domain, can I get a trade? int main(int argc, char* argv[]) { EmaString configFile; if (argc == 2) configFile = argv[1]; try { AppClient client; OmmConsumer consumer(OmmConsumerConfig(configFile). username("MY_USERNAME"). password("MY_PASSWORD"). clientId("MY_CLIENT_ID").…
-
Missing TRADE_DATE in Update Message
Hello. I am using EMA Market Price Domain to retrieve market data. Some update messages contain field TRADE_DATE, some update messages does not. Could you please help me to understand if it is related to the fact that Refinitiv aggregates data from different sources and not all of them may have TRADE_DATE? In general, I am…
-
How do I find right MP number that includes all the FIDs of the RIC?
Dear all, Could you guide How I find the MP number for the correspond RIC? For example, the number of FID for <2802.T> is not same with the number of FID of "MP - 1072 - Tokyo Stock Exchange" Do I need to look up multiple Market Prices(MP - 1072 , 1081...) for one RIC? and If I call Level 1 & 2 of a RIC via realtime API,…
-
Get Relevant Stock Index
How do I get the relevant stock index closing price starting from a Ultimate Parent Id in order to get Abnormal Returns? Is there a field I can add that I am unable to find on DIB? bonds, err = ek.get_data( identifiers, ['TR.ClosePrice.date', 'TR.ClosePrice'], {'SDate': starting_date, 'EDate': ending_date})
-
Lost the MARKET PRICE capabilities on active session
Hi, My ETA based Elektron adapter lost the MARKET PRICE (6) capability when there was some active subscription and getting data at the same time. I faced this issue when trying to subscribe for new ID and while checking "hasCapabilities" it found that MARKET PRICE capability was not available. What is the reason for this…
-
Incorrect timestamps from MP feeds for Taiwan
Hello, We have been having timestamps problems on a few Taiwan RICs. Please see below snippet for 4132.TWO. This particular message came around 07:07:53 UTC (of 2020-05-26), however the TRdTIM_1 FID had 16:00:00.000000000. This kind of message with incorrect timestamp is very rare, but it does happen. Could you explain why…
-
RIC request works for MP Domain but doesn't work with MBO or MBP domain.
Hi, I have a consumer client written using EMA C++ library. The consumer works fine and receive refresh and update messages when use MP Domain. However when I try to change the domain to Market by Order or Market by Price to read level 2 data I have an error as "The record could not be found". Maybe I need to use a…
-
[Level 2-MBP] How to identify market order in market-by-price update
Hi, We are subscribing the level 2 market-by-price data for SGX & CME and would like to know if the data includes information on market order. How can we identify the price point for market order and what value is expected in the field "ORDER_PRC"? Besides, as "ORDER_TONE" is sent as 'RMTES_STRING', what is the possible…
-
Market Price response message
We wish to see the created Date/ last updated time (timestamps) for RIC. Below is an example of a request MESSAGE Msg Type: MsgType.REQUEST Msg Model Type: MARKET_PRICE Indication Flags: ATTRIB_INFO_IN_UPDATES | REFRESH Hint Flags: HAS_ATTRIB_INFO | HAS_QOS_REQ QosReq: (RT, TbT) AttribInfo ServiceName: DIRECT_FEED…
-
What is the meaning of "TooManyItemsEnum"?
Hi, I got "TooManyItemsEnum" StatusCode response when I register to some RIC for Market Price data. What is the meaning of this status? I tried to search the explanation of this in the docs, but haven't found any explanation about this yet. Can someone explain to me about this StatusCode and how should I respond to this…
-
Program terminated when receiving market data at specific time
I'm receiving market data by this function in a console app: void MarketByPriceClient::onUpdateMsg(const UpdateMsg& updateMsg, const OmmConsumerEvent&) But the console app were auto terminated at some specific time(01:00, 15:30,... not sure). And show message: Terminated You have new mail in /var/spool/mail/speedy How to…
-
Last 5 Trades in Trade Reporting Data Model (MP)
I need to read as consumer application some information about last 5 trades. In detail I need to have Last Price, Last Qty, and Trade Time. For the Last Price and Trade Time, I am using respectively fields: TRDPRC_1 to TRDPRC_5 and SALTIM_NS to SALTIM5_NS. For Last Qty I mean the "Quantity (e.g. shares) bought/sold on this…
-
How to handle not rippled fields in Legacy Data Model (Domain=MP) ?
I cannot understand how to handle fields like BEST_BID1, BEST_BID2..,BEST_BIDN,...,BEST_BID10. Reading the description I read "Note that these fields are not rippled." as shown in the image below. This make sense because I image that the provider will sent me always all the rows (10 in this case). But there is a case when…
-
Limited Level-2 Market by Price Data Model (Domain = MP)
Using the object thomsonreuters::ema::access::ReqMsg in EMA C++ how can I require a Limited Level-2 Market by Price Data Model ? Aside from set the domain type to MMT_MARKET_BY_PRICE, which other parameters I need to set to have a Limited Level 2 using this domain?
-
Market price response RespStaus::NoResources meaning?
Which resources are we talking about here. user's account usage or is it from Reuters side. and how is expected to be fixed.
-
MARKET_BY_PRICE OR_RNK_RUL OPT But No Oder Type
Hi, In processing MarketByPrice data for HK, the value of OR_RNK_RUL is 4(OPTS), i.e., Order Type, Price, Time, Size. However the feeds don't have "Order Type". See snippet below. Please advise. SUMMARY DATA PROD_PERM4949[4] DSPLY_NAMEHSBC HOLDINGS[19] TIMACT08:08:40:000:000:000[10] CURRENCYHKD(344)[14] ACTIV_DATE<blank…
-
EMA error after running for 2 hours (Error text SocketChannel.read returned -1 (end-of-stream))
error.txt I subscribed few hundreds RIC (stock + options) for MARKET_PRICE & MARKET_BY_PRICE. Running fine and after an hour or 2, it stopped with following message from log. Using EMA Java 1.2.1 on windows 7. Oct 23, 2018 10:39:18 AM com.thomsonreuters.ema.access.ChannelCallbackClient reactorChannelEventCallback WARNING:…
-
How to properly manage EMA orderbook delete action (from market_by_price)?
I receive the delete action from market_by_price in EMA. I checked the map action with case MapEntry.MapAction.DELETE : But when I tried to get the price to delete. The field 3427 (ORDER_PRC) is always empty. Below is the implementation P.S. The code tag doesn't format the code nicely so I paste as plain text. private void…
-
State: Closed/Suspect/Login rejected, exceeded maximum number of mounts per user - text: "Exceeded m
I try to use ETA API to pull market price data via EZD, it worked before, but today when I try to pull price data for EUR=, I kept getting "Exceeded maximum number of mounts per user". Log from ezd: The EZD process has intercepted a login response failure to the client from host amers1.streaming-ec.cp.thomsonreuters.com on…
-
How to get closing trade price for European markets
We're using ELEKTRON to get European market data. What is the best way to get closing trade price before closing auction? We know there is "OFF_CLOSE" but it comes to late (15 - 30 minutes after close). We're attempting to use CLS_AUC as the last trade price of the day. Is that reliable? what if there is no close auction…
-
How can I decode a subset of fields from the summary data without reading every field?
I'm using UPA library to read and receive RWF messages, and with each MarketByPrice message I'm only interested in a subset of the summary data. Currently I'm having to decode every single field to find the data that I'm interested in, which is costly. Is there a way of only decoding the fields I'm interested in (e.g…
-
trailing junk characters in market price data
Reference: ACT_TP_1 "ACT TYPE 1" 270 ACT_TP_2 ENUMERATED 3 ( 2 ) ENUM 1 similar to SC_ACT_TP1 "SEC ACT TYPE 1" 280 SC_ACT_TP2 ENUMERATED 3 ( 2 ) ENUM 1 Sample message: {"RIC":"USDAM3L3Y=","BID":"2.8510","PRIMACT_1":"2.8510","ASK":"2.8610","SEC_ACT_1":"2.8610",…
-
Over / Under Level in May Entry Class
hi, can somebody explain what it means by "Over" or "Under" level? See below. thanks,
-
What is cache in ClearCache and DoNotCache?
We're developing an application using EMA. In Refresh and Status messages there is something like ClearCache and DoNotCache. What is meant by "cache"? Suppose we are getting Market By Price data (market depth data) and we want to get and maintain a state of the order book. Then for every ADD, UPDATE or DELETE of prices we…
-
Received MMT_MARKET_PRICE
rfaexamplecfg.txt When I send request for for the market for an item I got the follwoing result <- Received MMT_MARKET_PRICE Status EUR= serviceName : IDN_RDF symbolName : EUR= streamState : Open dataState : Suspect statusCode : None statusText : Source unavailable... will recover when source is up I got this messages…
-
Does ELEKTRON Market By Price data have trade information?
Hi, we're subscribing to TSE (Tokyo Stock Exchange) via Reuters Elektron Market By Price book, with the hope of getting all quotes and trades. However, it looks like the messages don't include the trades. Can somebody clarify if we should have received trades information when subscribing to Reuter's Elektron via…
-
How to build and keep full order book snapshot using EMA MarketByPrice domain - C++
Hi, We are using Elektron Message API C++ edition to receive level 1 and level 2 market data. In case of level 2 or order book retrieval, the call back messages contain a Map with which defines an action (Add, Update or Delete) for each map entry for an order book level. In case of Delete action there is no FieldList…
-
Sequence number
Hello, im tracking the sequence numbers while subscribing to the whole market for Tokyo, Market_by_price. From my observations I can see that each subsequent sequence number is incremented by 16 untill ~36500, then starts again from zero. However ever now and then I get a skip or a jump. See Below: 2017-01-24 08:00:11.717…
-
MARKET_BY_PRICE no size
Im subscribed to tokyo exchange, and every now and then I get an ADD or UPDATE that has no size. How should I interpret these? EDIT- So I get OMMMapEntry.Action.ADD maps for various RICs, an example one from today is 5538.T. Specifically im using RFA java on an ELEKTRON feed. These adds updates, from what I can see, have…
-
Market_by_price/by_order How to differentiate between market orders and others
Hello, Im subscribed to lvl 2 market data, however I need to differentiate market orders at market price and all other orders. Im trying to implement a IEP/IEV calculator for the Tokyo market since Reuters does not supply that data, and to do this I need use the Itayose method, which in turn needs to differentiate between…
-
HI Team - I am trying to subscribe some Trade values using MARKET_BY_PRICE. Please can you advise me
HI Team - I am trying to subscribe some Trade values using MARKET_BY_PRICE. Please can you advise me some example of RIC codes which I can use to get trades ?
-
By when we can get Elektron data
Hi Guys, May us know by when we can retrieve other domain data in Elektron since that is quite useful for us to develop useful APP for clients?