question

Upvotes
Accepted
arek.majka avatar image
1 ●0 ●0 ●0

Stream intraday/daily bars with "Refinitiv Data Library for .Net"

We used to use the "Eikon .NET APIs" in C# to query historical bars, and then stream 60minute and daily bars. This was fairly convenient because for streaming for example we would use the dataService.TimeSeries.SetupDataSubscription() request and it would give back DateOHLC+Volume bars.


We are needing upgrade for LSEG Workspace and use "Refinitiv Data Library for .Net". The closest thing I can in this new API is doing something like:


var stream1 = Summaries.Definition("ESU24").Fields("MKT_OPEN", "OPEN1", "OPEN_1", "HIGH_1", "LOW_1", "TRDPRC_1", "ACVOL_UNS", "NUM_MOVES").Interval(Summaries.Interval.PT1M).Count(5).GetStream();


This is a historical request which will also start a stream. First, it does require the specific fields to be asked for. But also on the stream updates, it only gives updates for the specific field which has changed during a certain time period, instead of just giving me the newest OHLC bar whenever something changes.


Is there a way to do that still? It was highly convenient so we didn't have to keep track of anything and could just write new bars that came in.


Thanks.

#productc#
icon clock
10 |1500

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

1 Answer

· Write an Answer
Upvotes
Accepted
nick.zincone avatar image
18.9k ●85 ●39 ●63

Hi @arek.majka

The Data Library for .Net available within LSEG Workspace provides a streaming capability that is consistent with other streaming services available within our organization. When you request for a historical stream, you are not required to specified fields in the request. The initial request will bring back every field available. However, if you are interested in OHLC, you can simply request for those fields and whenever an insert occurs, I believe you will typically receive the OHLC upon inserts. However, the way streaming services are designed is to deliver deltas - not the entire image for inserts/updates. While I understand the convenience, we also want to make sure we are cognizant of the fact that users do not want the entire set delivered due to load and performance. It is not uncommon for users to hold onto their own images and update based on deltas.

icon clock
10 |1500

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

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

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