In Datascope we can get historical level 1 data called "Tick history time and sales" and level 2 data called "Tick History Market Depth". Also there is the option to get "Tick history raw".
In real-time we can get data from Elektron with UPA or RFA. Is it possible to get real-time and historical data in the same format? If so, is it correct to say that RFA data is equivalent to the "Tick history times and sales / Tick History Market Depth" data and UPA data is equivalent to "Tick history raw".
Thanks in advance.
Both TRTH V2 (historical DSS) and UPA or RFA get the raw real-time data from Elektron. However, TRTH V2 processes or adds values to the raw data before storing to its database.
UPA or RFA retrieves data in binary format. The application needs to decode the binary data before using it. For example, for MarketPrice domain, the binary data will be decoded to a field list contains field-value pair data , as shown below.
[FieldList]: Dictionary ID: 1 FieldListNum: 99 PROD_PERM 213 RDNDISPLAY 153 DSPLY_NAME Raiffeisen MOW TIMACT 08:49:00:000:000:000 NETCHNG_1 -0.0017 HIGH_1 1.1657 LOW_1 1.1617 CURRENCY USD (840) ACTIV_DATE 27 OCT 2017 OPEN_PRC 1.1648 HST_CLOSE 1.1650 BID 1.1633
However, the data from TRTH V2 is in JSON or CSV format. For "Tick history raw", the data looks like:
EUR=,Market Price,2017-07-22T00:05:06.885058466Z,+0,Raw,REFRESH,,,,,213,99,8975,317 ,,,,FID,1,,PROD_PERM,213, ,,,,FID,2,,RDNDISPLAY,153, ,,,,FID,3,,DSPLY_NAME,SE BANKEN NYC, ,,,,FID,5,,TIMACT,21:00:00.000000000, ,,,,FID,11,,NETCHNG_1,-0.0003, ,,,,FID,12,,HIGH_1,1.1658, ,,,,FID,13,,LOW_1,1.1664, ,,,,FID,15,,CURRENCY,840,USD ,,,,FID,17,,ACTIV_DATE,2017-07-21, ,,,,FID,19,,OPEN_PRC,1.1658, ,,,,FID,21,,HST_CLOSE,1.1661, ,,,,FID,22,,BID,1.1658, ,,,,FID,23,,BID_1,1.1661, ... ...
The data is in CSV but it is still field-value pair data.
Therefore, it is correct to say that both RFA and UPA data is equivalent to "Tick history raw" and TRTH V2 processes this raw data to create "Tick history time and sales".
For "Tick History Market Depth", if you are using RawMarketByPrice, RawMarketByOrder, and RawMarketMaker view, you will see that the data is also equivalent to MarketByPrice, MarketByOrder, and MarketMaker domains in UPA and RFA.