what is the right way of filtering LSEG events ?

Mustapha · May 14

I have this piece of code( see below ), I am not sure it provides the right way of filtering ask and bid price events. please advise:

MarketDataItemEvent.MarketDataMessageType msgType = event.getMarketDataMsgType();

if (msgType == MarketDataItemEvent.IMAGE

|| msgType == MarketDataItemEvent.UNSOLICITED_IMAGE
|| msgType == MarketDataItemEvent.UPDATE

|| msgType == MarketDataItemEvent.CORRECTION
|| msgType == MarketDataItemEvent.CLOSING_RUN) {

PROCESS_THE_MESSAGE

} else if (msgType == MarketDataItemEvent.STATUS) {
LOG_THE_MESSAGE
} else {

DISCARD_SILENTLY

}

Gurpreet · May 14

Hello @Mustapha

Your pseudo-logic seems correct. I would also log the discarded messages, even though there should be none.

If you are specifically asking about filtering the BID/ASK messages in the real time feed, then please use the view feature build into the SDK. See this example here.

Mustapha · May 14

Thanks @Gurpreet for the quick response .

Unfortunately , the link doesn't show any results .

Also can you please provide some documents about the filtering types and their definitions

Thanks

Gurpreet · May 14

https://community.developers.refinitiv.com/discussion/comment/125738#Comment_125738

I apologize, I had linked you to the recent EMA API.

You seem to be using the legacy RFA API with the now deprecated SSL interface. Can you also confirm your exact API and version? The support for RFA with SSL interface has ended, and we would have to advise you to migrate to one of the newer SDKs.

Jirapongse · May 15

@Mustapha

According to the code, you are using the legacy MarketData interface.

As far as I know, the legacy MarketData doesn't support the Update Types which can be used to identify trade or quote update messages.

The update types are introduced in the OMM interface supported in Real-Time SDKs. If the data feed provides this information, you can check that if an update message is a quote or trade update type. For example:

UpdateMsg

    streamId="5"

    domain="MarketPrice Domain"
 updateTypeNum="1"

    seqNum="47248"

    name="PTT.BK"

    serviceId="5001"

    serviceName="ELEKTRON_DD"

    Payload dataType="FieldList"

        FieldList

            FieldEntry fid="5" name="TIMACT" dataType="Time" value="03:23:31:000:000:000"
  FieldEntry fid="22" name="BID" dataType="Real" value="30.75"

            FieldEntry fid="30" name="BIDSIZE" dataType="Real" value="12256000"

            FieldEntry fid="436" name="BEST_BID1" dataType="Real" value="30.75"

            FieldEntry fid="730" name="BEST_BSIZ1" dataType="Real" value="12256000"

            FieldEntry fid="3855" name="QUOTIM_MS" dataType="UInt" value="12211473"

            FieldEntry fid="14265" name="QUOTIM_NS" dataType="Time" value="03:23:31:473:440:659"

            FieldEntry fid="14281" name="INGEST_NS" dataType="Time" value="03:23:31:488:477:350"

        FieldListEnd


    PayloadEnd

UpdateMsgEnd

UpdateMsg

    streamId="5"

    domain="MarketPrice Domain"
 updateTypeNum="1"

    seqNum="47984"

    name="PTT.BK"

    serviceId="5001"

    serviceName="ELEKTRON_DD"

    Payload dataType="FieldList"

        FieldList

            FieldEntry fid="5" name="TIMACT" dataType="Time" value="03:25:19:000:000:000"
    FieldEntry fid="25" name="ASK" dataType="Real" value="31.00"

            FieldEntry fid="31" name="ASKSIZE" dataType="Real" value="7159300"

            FieldEntry fid="441" name="BEST_ASK1" dataType="Real" value="31.00"

            FieldEntry fid="735" name="BEST_ASIZ1" dataType="Real" value="7159300"

            FieldEntry fid="3855" name="QUOTIM_MS" dataType="UInt" value="12319656"

            FieldEntry fid="14265" name="QUOTIM_NS" dataType="Time" value="03:25:19:656:352:930"

            FieldEntry fid="14281" name="INGEST_NS" dataType="Time" value="03:25:19:672:321:289"

        FieldListEnd


    PayloadEnd

UpdateMsgEnd

UpdateMsg

    streamId="5"

    domain="MarketPrice Domain"
    updateTypeNum="2"

    DoNotConflate

    seqNum="48222"

    name="PTT.BK"

    serviceId="5001"

    serviceName="ELEKTRON_DD"

    Payload dataType="FieldList"

        FieldList

            FieldEntry fid="5" name="TIMACT" dataType="Time" value="03:25:34:000:000:000"
    FieldEntry fid="6" name="TRDPRC_1" dataType="Real" value="30.75"

            FieldEntry fid="11" name="NETCHNG_1" dataType="Real" value="-0.50"

            FieldEntry fid="14" name="PRCTCK_1" dataType="Enum" value="2"

            FieldEntry fid="18" name="TRDTIM_1" dataType="Time" value="03:25:34:000:000:000"

The updateTypeNum="1" indicates that this message is a quote update type which contains BID or ASK.
The updateTypeNum="2" indicates that this message is a trade update type which contains TRDPRC_1.

Mustapha · May 15

Thanks @Jirapongse for the response .

FYI , we are upgrading to the least API ( 3.8.3.0 )

My question is : are there other values of updateTypeNum that I need to know rather than 1 and 2.

Thanks

Mustapha · May 15

@Jianping

We did some test , but we only see UpdateTypeNum set to "0" , I dont see values like 1 or 2 . Please advise

Payload 1:

UpdateMsgstreamId="33"domain="MarketPrice Domain"updateTypeNum="0"name="USFN15451=TWEB"serviceId="23"serviceName="IDN_SELECTFEED"Payload dataType="FieldList"FieldListFieldEntry fid="8636" name="NA_MSG_TYP" dataType="Rmtes" value="QUOTEUPD"FieldEntry fid="4148" name="TIMACT_MS" dataType="UInt" value="64391913"FieldEntry fid="1021" name="SEQNUM" dataType="Real" value="5514548.0"FieldEntry fid="17" name="ACTIV_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="213" name="MKT_SOURCE" dataType="Enum" value="118"FieldEntry fid="3887" name="SEQNUM_QT" dataType="Real" value="154954.0"FieldEntry fid="7031" name="QTE_NUMMOV" dataType="Int" value="430"FieldEntry fid="7001" name="B_DLR_CNT" dataType="Int" value="3"FieldEntry fid="3131" name="IRGFID" dataType="Real" value="3.0"FieldListEndPayloadEndUpdateMsgEnd

Payload 2:

UpdateMsgstreamId="17"domain="MarketPrice Domain"updateTypeNum="0"name="USFN1515=TWEB"serviceId="23"serviceName="IDN_SELECTFEED"Payload dataType="FieldList"FieldListFieldEntry fid="22" name="BID" dataType="Real" value="86.9375"FieldEntry fid="393" name="PRIMACT_1" dataType="Real" value="86.9375"FieldEntry fid="25" name="ASK" dataType="Real" value="87.1875"FieldEntry fid="275" name="SEC_ACT_1" dataType="Real" value="87.1875"FieldEntry fid="875" name="VALUE_DT1" dataType="Date" value="13 MAY 2025"FieldEntry fid="1010" name="VALUE_TS1" dataType="Time" value="18:11:24:000:000:000"FieldEntry fid="3349" name="MID_1" dataType="Real" value="87.0625"FieldEntry fid="4148" name="TIMACT_MS" dataType="UInt" value="65484204"FieldEntry fid="3855" name="QUOTIM_MS" dataType="UInt" value="65484204"FieldEntry fid="3386" name="QUOTE_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="8636" name="NA_MSG_TYP" dataType="Rmtes" value="QUOTEUPD"FieldEntry fid="975" name="ACT_FLAG1" dataType="Rmtes" value="A"FieldEntry fid="270" name="ACT_TP_1" dataType="Enum" value="27"FieldEntry fid="1021" name="SEQNUM" dataType="Real" value="5639820.0"FieldEntry fid="17" name="ACTIV_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="7854" name="BIDPCTCHNG" dataType="Real" value="-0.1973100000"FieldEntry fid="11" name="NETCHNG_1" dataType="Real" value="-0.171875"FieldEntry fid="135" name="MID_NET_CH" dataType="Real" value="-0.1171875"FieldEntry fid="56" name="PCTCHNG" dataType="Real" value="-0.19731"FieldEntry fid="114" name="BID_NET_CH" dataType="Real" value="-0.171875"FieldEntry fid="280" name="SC_ACT_TP1" dataType="Enum" value="17"FieldEntry fid="3887" name="SEQNUM_QT" dataType="Real" value="159237.0"FieldEntry fid="14509" name="MIDLO1_NS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="4351" name="MID_LOW" dataType="Real" value="87.0625"FieldEntry fid="14265" name="QUOTIM_NS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="11644" name="SESS_FL1" dataType="Rmtes" value="PRI"FieldEntry fid="3750" name="RTR_OPN_PR" dataType="Real" value="-0.203125"FieldEntry fid="10531" name="AMERPC_BID" dataType="Real" value="-0.234375"FieldEntry fid="2286" name="ASK_NET_CH" dataType="Real" value="-0.0625"FieldEntry fid="10528" name="AMERNC_ASK" dataType="Real" value="-0.015625"FieldEntry fid="10532" name="AMERPC_ASK" dataType="Real" value="-0.01953125"FieldEntry fid="8241" name="ASKPCTCHNG" dataType="Real" value="-0.0716300000"FieldEntry fid="2169" name="MID_PCT_CH" dataType="Real" value="-0.1344200000"FieldEntry fid="14202" name="MIDLO1_MS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="4990" name="MID_PRICE1" dataType="Real" value="87.0625"FieldEntry fid="12924" name="ASK_TICK1" dataType="Enum" value="3"FieldEntry fid="10527" name="AMERNC_BID" dataType="Real" value="-0.203125"FieldEntry fid="7031" name="QTE_NUMMOV" dataType="Int" value="431"FieldEntry fid="12921" name="BID_TICK1" dataType="Enum" value="2"FieldEntry fid="213" name="MKT_SOURCE" dataType="Enum" value="118"FieldListEndPayloadEnd

Jirapongse · May 16

https://community.developers.refinitiv.com/discussion/comment/125774#Comment_125774

This means that the exchange or data feed doesn't provide the update types. Therefore, the API can't retrieve the update types.

Mustapha · May 19

A quick update : Our tests show that we only receive messages with updateTypeNum set to "0"

I dont see 1 or 2 values . Please advise .

Payload 1:

UpdateMsgstreamId="33"domain="MarketPrice Domain"updateTypeNum="0"name="USFN15451=TWEB"serviceId="23"serviceName="IDN_SELECTFEED"Payload dataType="FieldList"FieldListFieldEntry fid="8636" name="NA_MSG_TYP" dataType="Rmtes" value="QUOTEUPD"FieldEntry fid="4148" name="TIMACT_MS" dataType="UInt" value="64391913"FieldEntry fid="1021" name="SEQNUM" dataType="Real" value="5514548.0"FieldEntry fid="17" name="ACTIV_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="213" name="MKT_SOURCE" dataType="Enum" value="118"FieldEntry fid="3887" name="SEQNUM_QT" dataType="Real" value="154954.0"FieldEntry fid="7031" name="QTE_NUMMOV" dataType="Int" value="430"FieldEntry fid="7001" name="B_DLR_CNT" dataType="Int" value="3"FieldEntry fid="3131" name="IRGFID" dataType="Real" value="3.0"FieldListEndPayloadEndUpdateMsgEnd

Payload 2:

UpdateMsgstreamId="17"domain="MarketPrice Domain"updateTypeNum="0"name="USFN1515=TWEB"serviceId="23"serviceName="IDN_SELECTFEED"Payload dataType="FieldList"FieldListFieldEntry fid="22" name="BID" dataType="Real" value="86.9375"FieldEntry fid="393" name="PRIMACT_1" dataType="Real" value="86.9375"FieldEntry fid="25" name="ASK" dataType="Real" value="87.1875"FieldEntry fid="275" name="SEC_ACT_1" dataType="Real" value="87.1875"FieldEntry fid="875" name="VALUE_DT1" dataType="Date" value="13 MAY 2025"FieldEntry fid="1010" name="VALUE_TS1" dataType="Time" value="18:11:24:000:000:000"FieldEntry fid="3349" name="MID_1" dataType="Real" value="87.0625"FieldEntry fid="4148" name="TIMACT_MS" dataType="UInt" value="65484204"FieldEntry fid="3855" name="QUOTIM_MS" dataType="UInt" value="65484204"FieldEntry fid="3386" name="QUOTE_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="8636" name="NA_MSG_TYP" dataType="Rmtes" value="QUOTEUPD"FieldEntry fid="975" name="ACT_FLAG1" dataType="Rmtes" value="A"FieldEntry fid="270" name="ACT_TP_1" dataType="Enum" value="27"FieldEntry fid="1021" name="SEQNUM" dataType="Real" value="5639820.0"FieldEntry fid="17" name="ACTIV_DATE" dataType="Date" value="13 MAY 2025"FieldEntry fid="7854" name="BIDPCTCHNG" dataType="Real" value="-0.1973100000"FieldEntry fid="11" name="NETCHNG_1" dataType="Real" value="-0.171875"FieldEntry fid="135" name="MID_NET_CH" dataType="Real" value="-0.1171875"FieldEntry fid="56" name="PCTCHNG" dataType="Real" value="-0.19731"FieldEntry fid="114" name="BID_NET_CH" dataType="Real" value="-0.171875"FieldEntry fid="280" name="SC_ACT_TP1" dataType="Enum" value="17"FieldEntry fid="3887" name="SEQNUM_QT" dataType="Real" value="159237.0"FieldEntry fid="14509" name="MIDLO1_NS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="4351" name="MID_LOW" dataType="Real" value="87.0625"FieldEntry fid="14265" name="QUOTIM_NS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="11644" name="SESS_FL1" dataType="Rmtes" value="PRI"FieldEntry fid="3750" name="RTR_OPN_PR" dataType="Real" value="-0.203125"FieldEntry fid="10531" name="AMERPC_BID" dataType="Real" value="-0.234375"FieldEntry fid="2286" name="ASK_NET_CH" dataType="Real" value="-0.0625"FieldEntry fid="10528" name="AMERNC_ASK" dataType="Real" value="-0.015625"FieldEntry fid="10532" name="AMERPC_ASK" dataType="Real" value="-0.01953125"FieldEntry fid="8241" name="ASKPCTCHNG" dataType="Real" value="-0.0716300000"FieldEntry fid="2169" name="MID_PCT_CH" dataType="Real" value="-0.1344200000"FieldEntry fid="14202" name="MIDLO1_MS" dataType="Time" value="18:11:24:204:000:000"FieldEntry fid="4990" name="MID_PRICE1" dataType="Real" value="87.0625"FieldEntry fid="12924" name="ASK_TICK1" dataType="Enum" value="3"FieldEntry fid="10527" name="AMERNC_BID" dataType="Real" value="-0.203125"FieldEntry fid="7031" name="QTE_NUMMOV" dataType="Int" value="431"FieldEntry fid="12921" name="BID_TICK1" dataType="Enum" value="2"FieldEntry fid="213" name="MKT_SOURCE" dataType="Enum" value="118"FieldListEndPayloadEnd

what is the right way of filtering LSEG events ?

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what is the right way of filtering LSEG events ?

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