rfa quotes, trades, corrections, cancellations
Best Answer
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Hi @sohagan857,
You can refer to the complete set of tutorials which provide guidance to request streaming data from Refinitiv streaming services. Within our streaming APIs, you can refer to the data dictionary files called: RDMFieldDictionary and enumtype.def
In addition, you can refer to the Refinitiv Data Model Discovery tool.
Note: If this is new development you are planning, I would recommended you use our strategic streaming Elektron SDK. The TREP APIs, i.e. RFA are in maintenance mode only.
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Answers
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Hi @sohagan857
For tutorials on how to consume MarketPrice date please visit the RFA page and select your required version i.e. C++, Java or .NET.
From there, select the Tutorials tab and work through the tutorials on MarketPrice Data.
Once you have worked through the tutorials you will have a basic understanding of how to consume Trade + Quotes data.
When you subscribe to any instrument you will receive the current Market State in a Refresh Msg. After which you will receive an Update message when Market activity occurs. In the Update message header there will an UpdateType attribute which can indicate things like quote, trade, correction, market digest, closing run etc. See some of the following posts on UpdateType:
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Thank you. I wasn't aware of that file, but thanks. I'm just looking a simple online DD where I can search for a FID and return the field type/description etc. Are you aware off any online tool?
As for Elektron, do you have a press announcement of when and why RFA 8 is being deprecated? I thought that was the new one to use. Do you have a good list of reasons why one would use elektron over rfa8? I'm happy to do this, but need to see the reasons
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Thanks for this. Those Q+As are very useful. How does one determine a cancellation though? They seem to show corrections, trades, quotes, but no cancellations? How can this be determined?
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Hi @sohagan857,
To perform the simple search of a FID is best within the file. The Refinitiv Data Model Discovery tool I linked is a more comprehensive guide that outlines field types/descriptions by venue/location/asset type etc. That is the online tool.
The Elektron SDK is a significantly easier to use API for clients. As far as I'm aware, the RFA tool is not being deprecated. It is simply in maintenance mode.
You can refer to this video: https://developers.refinitiv.com/content/why-migrate-rfa-ema-api-0 which outlines the reasons why to migrate to EMA.
Hope this helps.
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Hello @sohagan857,
To my understanding, exchange published market data does not include cancellations. If the order was cancelled after it was executed- the cancellation did not come in effect, if it was before, then it was not executed. I.e. trades, quotes, or, rarely corrections can be part of the market data stream, but not cancellations.
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