Electron over Cloud and Realtime Data bars

we subscribe to Elektron over Cloud (AWS) via websocket.

We get realtime streaming data fine. Trades come in as "Conflated: False"..Would this mean that we are seeing every "tick"? I notice gaps in the sequence numbers, so I am thinking there are some missing trade ticks.

We would like to compute 1-second bars from the realtime trade data. I realize that without every single tick, that I may miss a "high" or "low" within a timeframe. Also, i'm not sure which field to pay attention to for the volume. Any help would be appreciated.

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elektron-sdk

refinitiv-realtime

rdp-api

tick-data

Accepted answers

umer.nalla

Hi @bgonzales

The ERT in Cloud is a 'Trade Safe' conflated service - so you should receive every trade as well as conflated quotes - at a rate of maximum 3 quotes a second.

The sequence number gaps would be as a result of the quote type updates being conflated.

For the volume field I recommend you create a content type ticket and discuss with a Content specialist - as the field may vary depending on asset class, exchange etc.

All comments

nick.zincone

Hi @bgonzales,

The ERT in Cloud realtime service is a conflated service and not full tick. If you are interested in full tick data, you will need to communicate to an EaaS (Elektron As a Service).

When working with higher throughput, full tick data, I would recommend you use one of the Elektron SDK APIs which is a fully manage solution providing optimized data delivery.

Reach out to your Refinitiv Account Manager for more details.

umer.nalla

Hi @bgonzales

The ERT in Cloud is a 'Trade Safe' conflated service - so you should receive every trade as well as conflated quotes - at a rate of maximum 3 quotes a second.

The sequence number gaps would be as a result of the quote type updates being conflated.

For the volume field I recommend you create a content type ticket and discuss with a Content specialist - as the field may vary depending on asset class, exchange etc.

bgonzales

Thank you for the replies. I will follow up with the suggested services. So, @umer.nalla would trade safe imply that we may miss some quotes (level 2 type data), but not miss any trades. Is this correct?

umer.nalla

Hi @bgonzales

That is correct - as per your previous post on a related matter, Trade type updates are not conflated when Trade Safe conflation is used.

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