Elektron Websocket

Laarni Evelyn Acierto.Santiago

Hello,

I am a developper at Walnut Algorithm I have some questions about Elektron via Websocket.

Today we use a delayed stream to test the service. For instance I can subscribe to /TOTF.PA but cannot subscribe to TOTF.PA. The problem is the stream appears to be JITConflated and I cannot see if the events will be effectively split as they are when we request extraction on TRTH.

1/ As the Elektron mechanism is to send only updates which occured in fields I wonder if we can receive all Quote and Trade events occuring in the same micro seconds (we can see this happens on TRTH datascope extraction) ?

2/ What is the best practice dynamically subscribe & unsubscribe to data with the websocket ? Get one websocket by instrument and keep the same when we have to subscribe to new instrument or use a new one for each subscription ?

3/ Also I would like to know how it works behind. I mean, does the websocket toggle in conflated mode if we don't call ReceiveAsync at a sufficent pace ? Or It is independent and messages are queued on server side ?

Gurpreet

Hi @Laarni Evelyn Acierto.Santiago Its better to ask a single focused question so that we help you get an exact answer.

Your delayed service might not be carrying the real time instrument TOTF.PA. The websockets API is provided for the ease of use - in any environment and language of choice. It is unable to support the real time streaming updates for equity instruments, and hence the data is conflated. If you have a need to get real time tick-by-tick updates, please use the Elektron C++ or Java SDK.

A user can either keep the instrument stream open or close it if its no longer required. Any new instrument subscription has to be on a new request ID. An application should use a single websocket connection to connect to infrastructure and use it for all subscription needs.