MarketDataItemEven. How to find out if it's Trade or Quote msg?

igorg
igorg Advocate
in RFA

RFA 7.

Not uprading to Elektron at this moment.



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  • Jirapongse
    Jirapongse ✭✭✭✭✭
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    @igorg

    RSSL has the updateType flag which can be used to verify the type of update message.

    <updateMsg domainType="RSSL_DMT_MARKET_PRICE" streamId="4" containerType="RSSL_DT_FIELD_LIST" flags="0x90 (RSSL_UPMF_HAS_SEQ_NUM|RSSL_UPMF_DO_NOT_CONFLATE)" updateType="2 (RDM_UPD_EVENT_TYPE_TRADE)" seqNum="606" dataSize="265">

    However, this information is not available in the legacy SSL/Marketfeed protocol (MarketDataItemEvent).

    For the legacy SSL/Marketfeed protocol, you may need to use fields in the payload to verify if it is a trade or quote message. For example:

    • If it contains the TRDTIM_1 or TRDPRC_1 field, the update message is a trade
    • If it contains the BID, ASK, or QUOTIM field, the update message is a quote

    However, you need to directly contact the content team via my.refinittiv.com for confirmation because the data among exchanges may be different. Moreover, for some exchanges, it may have a specific field which can be used to identify trade or quote update.

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