additional update messages via EMA post market hours and holidays

MayurC
MayurC LSEG
in EMA

one of large customer is using EMA client API, using 'Cons100' example to subscribe to real-time data from RTMDS.

Their observation is that on a market holiday or post market hours, they continue to receive updates on API like below. these updates have the same price and this price is matching with the last update of the previous day. but the additional updates are causing some issues and client need clarity on this.

example 1

NLGOV2YZ=R,2024-03-18 21:40:04,2024-03-18,2.934258,1,0.94380032,1

NLGOV2YZ=R,2024-03-19 06:35:00,2024-03-19,2.934258,1,0.94380032,1


In live, we got few updates and all these updates had the same price.

example 2

CHF10YZ=R,2024-04-01 01:40:07,2024-04-01,1.241866,1,0.883711916,1

CHF10YZ=R,2024-04-01 02:40:58,2024-04-01,1.241866,1,0.883711916,1

CHF10YZ=R,2024-04-01 03:39:44,2024-04-01,1.241866,1,0.883711916,1

CHF10YZ=R,2024-04-01 03:58:02,2024-04-01,1.241866,1,0.883711916,1

CHF10YZ=R,2024-04-01 03:59:44,2024-04-01,1.241866,1,0.883711916,1


another example in LIVE on 2024.04.05 on CHF10YZ=R . So the last 4 prices keep repeat after 17:00 with same price as 15:22.

example 3

CHF10YZ=R,2024-04-05 14:49:24,2024-04-05,1.295655,1,0.879022899,1

CHF10YZ=R,2024-04-05 15:22:13,2024-04-05,1.298166,1,0.878804645,1

CHF10YZ=R,2024-04-05 17:00:13,2024-04-05,1.298166,1,0.878804645,1



The recommend example was used - RTMDS/RTDS is the Cons100 example

· GitHub: https://github.com/Refinitiv/Real-Time-SDK/tree/master/Cpp-C/Ema/Examples/Training/Consumer/100_Series/100_MP_Streaming

· Quick Start: https://developers.refinitiv.com/en/api-catalog/refinitiv-real-time-opnsrc/rt-sdk-cc/quick-start

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @MayurC

    Thank you for reaching out to us.

    EMA just retreives data from the data feed or ADS and then passes the data to the application without any modifications.

    I checked the data on 2024-04-05. I got the update message of SEC_ACT_1,0.878804645 at 15:22:13.455256501Z.

    CHF10YZ=R,Market Price,2024-04-05T15:22:13.455256501Z,+0,Raw,UPDATE,UNSPECIFIED,,,,3310,,10160,,28
    ,,,,FID,3,,DSPLY_NAME,10Y ZERO YIELD,
    ,,,,FID,5,,TIMACT,15:22:13.000000000,
    ,,,,FID,11,,NETCHNG_1,0.023016,
    ,,,,FID,17,,ACTIV_DATE,2024-04-05,
    ,,,,FID,56,,PCTCHNG,1.804964,
    ,,,,FID,68,,MATUR_DATE,2034-04-11,
    ,,,,FID,270,,ACT_TP_1,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,
    ,,,,FID,356,,RT_YIELD_1,1.298166,
    ...

    Then, I got the same SEC_ACT_1 value at 17:00:13.005060093Z but the field was in a refresh message. 

    CHF10YZ=R,Market Price,2024-04-05T17:00:13.005060093Z,+0,Raw,REFRESH,,,,,3310,59,10207,,129
    ...
    ,,,,FID,272,,ACT_TP_3,41," M"
    ,,,,FID,273,,ACT_TP_4,41," M"
    ,,,,FID,274,,ACT_TP_5,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,

    I think the client should check if it is a refresh or update message.

    If you have any further questions regarding the content, you contact the content support team directly via MyRefinitiv.


Answers

  • MayurC
    MayurC LSEG

    Thanks, Jirapongse.

    for 1 ric client have shared the below.

    CHF10YZ=R,2024-04-05 17:00:13,2024-04-05,1.298166,1,0.878804645,1 -> updateMsg

    CHF10YZ=R,2024-04-05 17:00:13,2024-04-05,1.298166,1,0.878804645,1 -> refreshMsg

    CHF10YZ=R,2024-04-05 17:00:35,2024-04-05,1.298166,1,0.878804645,1 ->updateMsg

    CHF10YZ=R,2024-04-05 17:00:35,2024-04-05,1.298166,1,0.878804645,1 ->refreshMsg

    Client want to know if they should ignore any messages i.e. update message or refresh message to avoid issues. However as per them not all the extra live messages are refresh messages. There are extra Update Messages also in the live feed. They say that they should be receiving any message after market is closed or on holidays.

    The extra updates issue have been raised with content/TRTH team via ticket.

    Can something be done at API level.

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @MayurC

    You need to check the content with the Tick History. The following is the data from Tick History.

    CHF10YZ=R,Market Price,2024-04-05T15:22:13.455256501Z,+0,Raw,UPDATE,UNSPECIFIED,,,,3310,,10160,,28
    ,,,,FID,3,,DSPLY_NAME,10Y ZERO YIELD,
    ,,,,FID,5,,TIMACT,15:22:13.000000000,
    ,,,,FID,11,,NETCHNG_1,0.023016,
    ,,,,FID,17,,ACTIV_DATE,2024-04-05,
    ,,,,FID,56,,PCTCHNG,1.804964,
    ,,,,FID,68,,MATUR_DATE,2034-04-11,
    ,,,,FID,270,,ACT_TP_1,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,
    ...


    CHF10YZ=R,Market Price,2024-04-05T17:00:13.005060093Z,+0,Raw,REFRESH,,,,,3310,59,10207,,129
    ....
    ,,,,FID,271,,ACT_TP_2,41," M"
    ,,,,FID,272,,ACT_TP_3,41," M"
    ,,,,FID,273,,ACT_TP_4,41," M"
    ,,,,FID,274,,ACT_TP_5,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,
    ...
    CHF10YZ=R,Market Price,2024-04-05T17:00:35.250302895Z,+0,Raw,REFRESH,,,,,3310,59,10239,,129
    ...
    ,,,,FID,270,,ACT_TP_1,41," M"
    ,,,,FID,271,,ACT_TP_2,41," M"
    ,,,,FID,272,,ACT_TP_3,41," M"
    ,,,,FID,273,,ACT_TP_4,41," M"
    ,,,,FID,274,,ACT_TP_5,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,
    ...
    CHF10YZ=R,Market Price,2024-04-06T04:29:07.944781912Z,+0,Raw,REFRESH,,,,,3310,59,10239,,129
    ..
    ,,,,FID,270,,ACT_TP_1,41," M"
    ,,,,FID,271,,ACT_TP_2,41," M"
    ,,,,FID,272,,ACT_TP_3,41," M"
    ,,,,FID,273,,ACT_TP_4,41," M"
    ,,,,FID,274,,ACT_TP_5,41," M"
    ,,,,FID,275,,SEC_ACT_1,0.878804645,

    As I say, API is used to retrieve the real-time data and it just passes the retrieved data to the application. Therefore, the application needs to decide how to process those messages at the business level.

    First, you may need to contact the content team to verify what purpose of those messages. Then, the client can decide if it is safe to ignore those messages.


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