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Question by samuel.yan · Feb 22, 2017 at 02:20 AM · trading statustrade timeintraday tickstrade price

What is the actual meaning of the integer return updateTypeNum in UpdateMsg Class?

What is the actual meaning of the integer return updateTypeNum in UpdateMsg Class?

INSTRUMENT_UPDATE_UNSPECIFIED=0

INSTRUMENT_UPDATE_QUOTE=1

INSTRUMENT_UPDATE_TRADE=2

INSTRUMENT_UPDATE_NEWS_ALERT=3

INSTRUMENT_UPDATE_VOLUME_ALERT=4

INSTRUMENT_UPDATE_ORDER_INDICATION=5

INSTRUMENT_UPDATE_CLOSING_RUN=6

INSTRUMENT_UPDATE_CORRECTION=7

INSTRUMENT_UPDATE_MARKET_DIGEST=8

INSTRUMENT_UPDATE_QUOTES_TRADE=9

INSTRUMENT_UPDATE_MULTIPLE=10

INSTRUMENT_UPDATE_VERIFY=11

If I want to capture the traded event, only capture the updateTypeNum =2 with FID = 6, is it correct?

Thanks,

Sam

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Answer by moragodkrit.chumsri_1 · Feb 22, 2017 at 04:53 AM

@samuel.yan

Not sure about API you are using. But there are some informations about the meaning of Instrument Update from RFA Reference Manual (.html file) which provided in <RFA Install folder>\Docs\refman\rfa\a00363.html

-INSTRUMENT_UPDATE_UNSPECIFIED=0 
Not specified. Data Feed/Provider not specified the type. 

-INSTRUMENT_UPDATE_QUOTE=1 
The update is Quote 

-INSTRUMENT_UPDATE_TRADE=2 
The update is Trade
 
-INSTRUMENT_UPDATE_NEWS_ALERT=3 
The update is News Alert 

-INSTRUMENT_UPDATE_VOLUME_ALERT=4 
The update is Volume Alert 

-INSTRUMENT_UPDATE_ORDER_INDICATION=5 
The update is Order Indication 

-INSTRUMENT_UPDATE_CLOSING_RUN=6 
The update is Closing Run 

-INSTRUMENT_UPDATE_CORRECTION=7 
The update is Correction 

-INSTRUMENT_UPDATE_MARKET_DIGEST=8 
The update is Official information from the exchange 

-INSTRUMENT_UPDATE_QUOTES_TRADE=9 
One or more conflated quotes followed by a trade 

-INSTRUMENT_UPDATE_MULTIPLE=10 
Update with other filtering and conflation applied 

-INSTRUMENT_UPDATE_VERIFY=11 
Fields may have changed 

As far as I understand if you want to capture trade, normally you have to check the updateTypeNum=2 and get trade price from FID 6 but for some exchange it might use other FID to represent trade price. Please check with data support if you can not get it from FID 6.

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