Streaming Quotes missing data

jaydoubleu79

Hi,

When I use the EIkon Data API to stream quotes in a python script from lets say ESc1 (ES mini continuous future) I do not get all price ticks when I subscribe to fields 'TRDPRC_1 & TRDVOL_1'. Same goes for stocks which I tested as well. I do get many ticks, but miss a lot of the volume/ticks when compared with the chart or with the Time and sales book in EIkon.

I figured it must be some software thing, so reinstalled the whole PC, but even on a clean install same thing. I really dont know how to solve this.

Any help?

Cheers,

Jan

Alex Putkov.1

Eikon delivered over the Internet subscribes to trade safe conflated streaming market data service. For exchange traded RICs like ESc1 bid and ask quotes are conflated to 333 milliseconds, meaning at most you can get 3 updates a second for BID/ASK fields. The trades are not conflated, meaning for TRDPRC_1 and TRDVOL_1 fields you should be getting every tick. However, Eikon Data API by default utilizes streaming service that provides non trade safe conflation. So, by default you're getting a max of 3 updates per second on the trades as well as on the quotes. You can subscribe to the trade safe conflated service by specifying the service name IDN_RDF, e.g.

sp = ek.StreamingPrices(
    instruments = ['ESc1'],
    fields = ['TRDPRC_1', 'TRDVOL_1'],
    service = 'IDN_RDF',
    on_refresh = lambda streaming_prices, instrument_name, fields : 
        print("Fields received for", instrument_name, ":", fields),
    on_update = lambda streaming_prices, instrument_name, fields : 
        print("Fields received for", instrument_name, ":", fields))

The downside is that with IDN_RDF you cannot use consolidated fields like CF_LAST, CF_BID, CF_ASK etc because the service does not provide them.