No updates for 25 minutes on CLc1 when requesting intraday pricing summaries

cory.schmidt.1

Using Refinitiv Data Library Beta 5. When requesting 1-minute pricing summaries for CLc1 in the 2.1.11-HistoricalPricing-TSIntraday sample app we receive the historical data with an INSERT event but don't start receiving updates for 25 minutes. We are connecting through Workspace via a Desktop session. The Workspace chart is updating even when the sample app is not. Relevant code below...

    var stream = Summaries.Definition("CLc1")
        .Fields("DATE_TIME", "TRDPRC_1", "ACVOL_UNS", "NUM_MOVES")
        .Interval(Summaries.Interval.PT1M)
        .Count(5)
        .GetStream();

    // Specify the TSI lambda expressions to capture 'Insert' and 'Update' events
    stream.OnInsert((data, stream) => Common.DisplayTable($"INSERT: {DateTime.Now}", data.Table))
          .OnUpdate((data, stream) => Common.DisplayTable($"UPDATE: {DateTime.Now}", data.Table))
          .OnStatus((status, stream) => Console.WriteLine($"Status: {status}"))
          .OnError((error, stream) => Console.WriteLine($"Error: {error}"))
          .Open();

Here's a screenshot of the console app showing how long it took for updates to start flowing...

Not sure if it's relevant but my account is only permissioned for Delayed Data (10 min) on this exchange.

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Accepted answers

nick.zincone

Hi @cory.schmidt.1

We just heard today from the server team that the blending algorithm for realtime will be different for delayed as the core blending parameters are not provided for delayed. We will need to update the logic to account for this change. I don't know the details for the next release but it will be in there.

thanks.

All comments

nick.zincone

Hey @cory.schmidt.1

Does this 25 minute consistently happen for all items you request? What is your local timezone - I want to confirm the market hours of this specific instrument vs the timezone you tested.

nick.zincone

Hi @cory.schmidt.1

Can you try one of the basic market data examples: 3.1.01-Streaming-MarketPrice. This will help understand more about the streaming market data flow and delay based on your permissions.

For example, if I try that example against the desktop, I'll see this stanza within the refresh:

"Qos": {
   "Rate": "TickByTick",
   "Timeliness": "Realtime"
}

If I force a request for delayed by inserting a forward slash '/', I'll see this instead:

"Qos": {
   "Rate": "TimeConflated",
   "Timeliness": "DelayedUnknown"
}

thanks,

Nick

cory.schmidt.1

I'm in Mountain Daylight Time which is UTC - 6. The exchange is two hours ahead of us. The time stamps for the INSERTs and UPDATEs are 1 hour and 50 minutes behind the time stamps on the data records which is correct. The delay in receiving updates only seems to happen for commodities on that exchange.

cory.schmidt.1

This is what I get back for CLc1...

  "Qos": {
    "Rate": "TimeConflated",
    "Timeliness": "DelayedUnknown"
  },

I get the same thing when I request /CLc1.

cory.schmidt.1

This is the response for NGc1, also in the NYMEX...

Interesting that in this case the delay in getting updates seems to match the delay in the entitlements (10 min).

nick.zincone

Hi @cory.schmidt.1

I spent some time digging a little deeper. I believe the issue is occurring because of blending with delayed data. When working with intraday requests (1-minute bars), the library blends based on sequence numbers. When I test with realtime, which is what I have, the sequence number are typically very close and blending happens quite fast. However, once I force my request to be delayed by requesting for "/CLc1", the sequence numbers I use for blending are way off and thus could delay very long - which happened for me.

I've reached out to the server teams to get an explanation.

thanks.

cory.schmidt.1

Thanks for the update.

cory.schmidt.1

Any updates from the server team?

thanks.

Great news! Thanks!

Any news from the server teams on blending for delayed accounts?

cristian.baciuwahl

Hello Cory,

Currently there are no new updates on this topic.

We have notified the server teams last year about multiple mapping issues for records generated using instrument metadata that lead to incorrect updates indicating what records are incompletely mapped and should be corrected to avoid them being skipped by the process.

We received no reply so far, so today I have sent them a reminder to revive the email chain.

Also, sorry for late response - for some reason I did not receive any notifications about this post.

Best regards,

Baciu Wahl Cristian

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