Insufficient response to Timeseries Subscription of OHLC data for Hongkong futures

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question

tt1057

65 ●3 ●2 ●8

Insufficient response to Timeseries Subscription of OHLC data for Hongkong futures

Hi,

I have issues with subscribing to 1 min bar updates (ohlc) via a timeseries subscription via the .net API (ThomsonReuters.Desktop.SDK.DataAccess).

It currently mainly shows for Hongkong futures - with European and Japanese Futures the 1 min data updates are pushed correctly.

Please see a my version of the 1 min ohlc char I get from the subscription:

As you see, the bars are incomplete and the gaps between bars are too big for such a liquid futures market.

This is the code I use to subscribe to the 1 min data:

timeSeries.SetupDataSubscription(sym)

.WithView("TRDPRC_1")

.WithAllFields()

.WithInterval(CommonInterval.Intraday1Minute)

.From(DateTime.UtcNow.AddMinutes(-1))

.OnDataReceived(DataReceivedCallback)

.OnDataUpdated(DataUpdatedCallback)

//.WithTimeZone(TimezoneType.Instrument)

.CreateAndStart());

Currently, I am subscribing these symbols:

HSIH3

HCEIH3

What is really strange to me, is that it works with European and Japanese rics but not with Hongkong futures.

Any idea on how to improve this?

Thanks for your support.

Mike

#product time-series eikon-.net-api

hsi-missing-bars.jpg (45.1 KiB)

Mar 03, 2023 at 07:12 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

jonathan.legrand Mar 08, 2023 at 02:15 PM

There is indeed more data than that available:

1678284937858.png (65.3 KiB)

wasin.w Mar 15, 2023 at 08:38 AM

Hello @tt1057

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks,

AHS

wasin.w Mar 22, 2023 at 09:07 AM

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

Answer 1 · 2023-03-10T08:41:24Z

Jirapongse

79.2k ●251 ●52 ●74

@tt1057

I checked with the Eikon Chart and I saw the gap in the data.

You may need to contact the content support team via MyRefinitiv to verify this gap.

I tested with the code below and it returned nothing.

            tsRequest = timeSeries.SetupDataSubscription("HCEIH3")
            .WithView("TRDPRC_1")
            .WithAllFields()
            .WithInterval(CommonInterval.Intraday1Minute)
            .From(DateTime.UtcNow.AddMinutes(-1)) //this can be extended to hours any anything of that kind
            .OnDataReceived(DataReceivedCallback)
            .OnDataUpdated(DataUpdatedCallback)
            //.WithTimeZone(TimezoneType.Instrument) //when this is enabled, then it does not fire the events for new bars and everything
            .CreateAndStart();

Therefore, I need to change the From to DateTime.UtcNow.AddMinutes(-30) in order to get the data.

In the DataUpdatedCallback, I got several updates within the same minute.

...
#### DataUpdatedCallback ExistingPoint, HCEIH3
-----HCEIH3 TimeStamp:>>7:33:0:0
HIGH 6473
LOW 6471
OPEN 6472
CLOSE 6472
VOLUME 23
TIMESTAMP 3/10/2023 7:33:00 AM
COUNT 16
#### DataUpdatedCallback ExistingPoint, HCEIH3
-----HCEIH3 TimeStamp:>>7:33:0:0
HIGH 6473
LOW 6471
OPEN 6472
CLOSE 6472
VOLUME 25
TIMESTAMP 3/10/2023 7:33:00 AM
COUNT 17
#### DataUpdatedCallback ExistingPoint, HCEIH3
-----HCEIH3 TimeStamp:>>7:33:0:0
HIGH 6473
LOW 6471
OPEN 6472
CLOSE 6472
VOLUME 31
TIMESTAMP 3/10/2023 7:33:00 AM
COUNT 18
#### DataUpdatedCallback NewPoint, HCEIH3
-----HCEIH3 TimeStamp:>>7:34:0:0
HIGH 6472
LOW 6472
OPEN 6472
CLOSE 6472
VOLUME 1
TIMESTAMP 3/10/2023 7:34:00 AM
COUNT 1
...

I assume that you use the last one to plot a chart. Then, I ran an application again to check the actual value at 7:33:00 AM and I got the following value via the DataReceivedCallback.

---- HCEIH3 TimeStamp:>>7:33:0:0
HIGH 6473
LOW 6471
OPEN 6471
CLOSE 6472
VOLUME 284
TIMESTAMP 3/10/2023 7:33:00 AM
COUNT 161
---- HCEIH3 TimeStamp:>>7:34:0:0
HIGH 6472
LOW 6470
OPEN 6472
CLOSE 6472
VOLUME 292
TIMESTAMP 3/10/2023 7:34:00 AM
COUNT 196

The values of the OPEN fields are different.

Please confirm if you see this problem in the application.

1678425834080.png (54.0 KiB)

Mar 10, 2023 at 08:41 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

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