Normalized market data level update timestamp from RFA api

mktdata
mktdata Contributor
in RFA

Hello,

We use RFA 8.1 c++ api to consume Level2 market data using MP(LL2) and MBP domain. One of our mutual client is looking for a field from RFA api that could tell us the time when given level was last updated. Based on attached response from api team, I know that there are various list of fields that carry this information but what we want to is if there is a normalized field that carry this information which is consistent across all exchanges and markets. ?

If there is a field that is set by Reuters itself that is also fine. Only thing is it has to be consistent in terms of availability across all markets.


What about rfa::common::Event::getEventAge()? Will that help the cause?


Regards,

Anand

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @mktdata

    Thanks for reaching out to us.

    According to the RFA reference guide, the rfa::common::Event::getEventAge() method returns time in milliseconds, elapsed since the event was created. It returns -1 if the enableOMMEventAge configuration parameter is false. Using getEventAge() on a cloned event is not supported.

    Therefore, it can be used to calculate the timestamp when the API or application retrieves this event. It can't be used to indicate the Normalized market data level update timestamp.

    RFA sends the data to the application "as is". It will not modify the data nor add extra fields in the payload. You need to contact the content team to verify if there is a normalized field that carries this information that is consistent across all exchanges and markets.

    I hope that this information is of help.

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