How to determine instrument type?

jerrymao

When subscribe to a list of symbols, for example (EUR=, EUR1YD=, EUR1YO=R), is there anyway to determine the type (deposit rate, spot rate, volatility) of the instrument during the process of decoding update/refresh messages?

Thanks

Jerry

nick.zincone

Hi @jerrymao,

Correct, the FID 259 only comes with the first response. Updates only provide change so static fields are not sent down when a trade occurs for example.

You will have to manage your own lookup when updates come in. This is easily done by capturing the details of FID 259 from the first response and recording this information within a lookup table (dictionary). Simply use the stream ID or item name as your lookup key.

nick.zincone

Hi @jerrymao,

You can try to refer to FID 259 to determine the asset type. Refer to this article: Using FID 259 to identify your market data records.

jerrymao

Hi @nick.zincone

But FID 259 only comes with first response or refresh message right? I need to know the type for every single message that I receive, is there a way to do?

jerrymao

@nick.zincone

Ok, will give it a try, thank you!