Real Time - Bid Size and Ask Size are found in UNSPECIFIED update(EDGESHA0205 ，EDGESHA0206)

litong.fei
litong.fei LSEG
in Elektron

Hi team,

when client the subscribed RIC has UNSPECIFIED and the immediately following QUOTE update at the same time, the subscribed data in [MarketPriceResponse] will be written together, The problem should be that the API can't separate UNSPECIFIED and QUOTE updates at the same time. Would you advise how to separate Unspecified and Quote?

[MarketPriceResponse] [RSSL_MC_UPDATE] [TYPE_UNSPECIFIED] [KCU4] [RSSL_DT_RMTES_STRING,ASK_TONE,c] [RSSL_DT_RMTES_STRING,ASK_TONE1,c] [RSSL_DT_REAL,COMB_ACVOL,13856] [RSSL_DT_UINT,ACVOL_UNS,13735] [RSSL_DT_REAL,ACVOL_1,13735] [RSSL_DT_UINT,STRGY_ACVL,3216] [RSSL_DT_REAL,BID,227.75] [RSSL_DT_REAL,BIDSIZE,3] [RSSL_DT_TIME,QUOTIM,17:29:50] [RSSL_DT_TIME,EXCHTIM,17:29:50] [RSSL_DT_UINT,QUOTIM_MS,62990167] [RSSL_DT_TIME,TIMACT,17:29:50] [RSSL_DT_REAL,MID_PRICE1,227.8] [RSSL_DT_TIME,QUOTIM_NS,17:29:50] [RSSL_DT_REAL,ASKSIZE,9] [RSSL_DT_REAL,ASK,227.85]

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  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @litong.fei

    Thank you for reaching out to us.

    Generally, Real-time APIs retreive real-time data from the data feed, and then send it to the application without any modifications. 

    [MarketPriceResponse] [RSSL_MC_UPDATE] [TYPE_UNSPECIFIED] [KCU4] 
    [RSSL_DT_RMTES_STRING,ASK_TONE,c] 
    [RSSL_DT_RMTES_STRING,ASK_TONE1,c] 
    [RSSL_DT_REAL,COMB_ACVOL,13856] 
    [RSSL_DT_UINT,ACVOL_UNS,13735] 
    [RSSL_DT_REAL,ACVOL_1,13735] 
    [RSSL_DT_UINT,STRGY_ACVL,3216] 
    [RSSL_DT_REAL,BID,227.75] 
    [RSSL_DT_REAL,BIDSIZE,3] 
    [RSSL_DT_TIME,QUOTIM,17:29:50] 
    [RSSL_DT_TIME,EXCHTIM,17:29:50] 
    [RSSL_DT_UINT,QUOTIM_MS,62990167] 
    [RSSL_DT_TIME,TIMACT,17:29:50] 
    [RSSL_DT_REAL,MID_PRICE1,227.8] 
    [RSSL_DT_TIME,QUOTIM_NS,17:29:50] 
    [RSSL_DT_REAL,ASKSIZE,9] 
    [RSSL_DT_REAL,ASK,227.85]

    According to the log, the appication retrieved the quote data in the unspecified message type. I checked the data from Tick History and found this this update is merged from the following three update messages.

    KCU4,Market Price,2024-06-28T17:29:50.104318253Z,-4,Raw,UPDATE,UNSPECIFIED,,,,134,,27872,,6
    ,,,,FID,4368,,COMB_ACVOL,13856,
    ,,,,FID,32743,,ACVOL_UNS,13735,
    ,,,,FID,32,,ACVOL_1,13735,
    ,,,,FID,32489,,STRGY_ACVL,3216,
    ,,,,FID,5,,TIMACT,17:29:50.000000000,
    ,,,,FID,1067,,EXCHTIM,17:29:50.000000000,
    KCU4,Market Price,2024-06-28T17:29:50.104318253Z,-4,Raw,UPDATE,QUOTE,,,,134,,27888,,12
    ,,,,FID,22,,BID,227.75,
    ,,,,FID,25,,ASK,227.85,
    ,,,,FID,30,,BIDSIZE,3,
    ,,,,FID,31,,ASKSIZE,7,
    ,,,,FID,1025,,QUOTIM,17:29:50.000000000,
    ,,,,FID,3855,,QUOTIM_MS,62990096,
    ,,,,FID,346,,ASK_TONE,c,
    ,,,,FID,1067,,EXCHTIM,17:29:50.000000000,
    ,,,,FID,5,,TIMACT,17:29:50.000000000,
    ,,,,FID,8464,,ASK_TONE1,c,
    ,,,,FID,4990,,MID_PRICE1,227.8,
    ,,,,FID,14265,,QUOTIM_NS,17:29:50.096978000,
    KCU4,Market Price,2024-06-28T17:29:50.174962785Z,-4,Raw,UPDATE,QUOTE,,,,134,,27904,,8
    ,,,,FID,25,,ASK,227.85,
    ,,,,FID,31,,ASKSIZE,9,
    ,,,,FID,14265,,QUOTIM_NS,17:29:50.167476000,
    ,,,,FID,4990,,MID_PRICE1,227.8,
    ,,,,FID,5,,TIMACT,17:29:50.000000000,
    ,,,,FID,3855,,QUOTIM_MS,62990167,
    ,,,,FID,1067,,EXCHTIM,17:29:50.000000000,
    ,,,,FID,1025,,QUOTIM,17:29:50.000000000,
    • The values of COMB_ACVOL, ACVOL_UNS, ACVOL_1and STRGY_ACVL fields are from the first UNSPECIFIED message.
    • The values of ASK_TONE, ASK_TONE1, BID, BIDSIZE fields are from the first quote message.
    • The values of ASK, ASKSIZE and other fields are from the last quote message.

    It looks like that the server merged these three update messages into one UNSPECIFIED message and then sent it to the application. The client may consume data from the conflated service. You may need to contact the server team to verify if this is an expected behavior.


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