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mojtaba.danai avatar image
28 ●5 ●8 ●12

Reuters Elektron exchange date and timestamp issue

Hi,

We are using Elektron Message API C++ edition, and have some issues with interpreting the exchange date and timestamps from the provided fields. Currently we are using the following fields to read the date and time from received messages:

- QUOTE_DATE (Field ID 3386)
- ACTIV_DATE (Field ID 17)
- QUOTIM_MS (Field ID 3855)
- SPARE_TS1 (Field ID 1697) (for NYMEX exchange instruments)

The issue we are having is that around midnight UTC, when the date field changes to next day the time field(s) values are still before midnight (for example 23:59) and causing errors in our data feed to timestamp the received data correctly.

Do you know the reason for this, or can you provide us the correct behavior for reading the exchange date and time from the provided fields in the received messages?

Thanks.

elektronrefinitiv-realtimeelektron-sdkema-apirrtelektron-message-apifieldsdatetime-stamp
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zoya faberov avatar image   zoya faberov

Hello @mojtaba.danai,

We are looking into this with our content team.

Please give us RIC you are using, so we can collect the exact same data you are looking at for further investigation.

Thanks,

-AHS

mojtaba.danai avatar image   mojtaba.danai zoya faberov

@zoya.farberov

This issue happens on many RICs such as:

Cocoa (CC)
Euro-OAT (FOAT)
CAC (/.FCHI)
Wheat (1W)
Soyabean Oil (1BO)
Copper (1HG)
...

This has happened in H8, K8 and M8 contracts.

Please let me know, if you find some information in regards to this.

Thanks

mojtaba.danai avatar image   mojtaba.danai zoya faberov

@zoya.farberov

In addition to my reply above, we have captured received data from ReutersElektron API around UTC midnight for RIC 1HGK8 (Copper K8 contract).

As you can see below and update message (SeqNum 4320) is received with QUOTIM_MS: 86397788 after a trade message (SeqNum 4302).The update message with SeqNum 4272 had already set the QUOTIM_MS to 67 but the strange thing is that there is no date change in the message. Do you know the reason?

This shows that the QUOTIM_MS timestamp has gone backwards. Please see attached file CopperK8.txt which is captured messages from OMMViwer.copperk8.txt

copperk8.txt (4.1 KiB)
mojtaba.danai avatar image   mojtaba.danai zoya faberov

@zoya.farberov

I guess we need to clarify couple of issues we found in the received messages from ReutersElektron:

1. Why don't we receive any date change update when time changes to next day?

2. Why the time goes backwards in received update message? As you can see in the attached file for Copper K8 contract, we do receive an update message with time before midnight UTC, after we have received an update message with quote time after midnight.

3. Is there any special handling of exchange timestamp fields updates?

zoya faberov avatar image   zoya faberov mojtaba.danai

On 03/23 we have opened case #06436310: Elektron date and time turn procedure

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Alex Putkov.1 avatar image   Alex Putkov.1

@mojtaba.danai
Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.
Thanks,
-AHS

Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

The associated case is still in progress, so I'll prolong its triage.

zoya faberov avatar image   zoya faberov

No release is scheduled:

"COLLDLVRY-20611 is not currently associated with a planned release. As a Sev-3, it will wait for a bundling opportunity when a Day-1, Marketing Day-1, or higher severity defect requires that this code base be updated. The supporting Red Birds Squad will then have to determine whether they have the time and resources to implement this fix at that time."

Extending triage for 1 month

Jirapongse avatar image   Jirapongse

The latest update on the case was on 23 Jan 2019.

Those still aren’t prioritized high enough to generate a release – so no status update as of now

Extending triage for 1 month

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zoya faberov avatar image
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Hello @mojtaba.danai,

Conveying an update from TR product development:

"known issues with this FID have been acknowledged and a ticket has been opened with development. Case# is 06367031. At this time, a release has not been scheduled"

We will keep you updated.

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mojtaba.danai avatar image
28 ●5 ●8 ●12

@zoya.farberov

Ok, thanks. Please keep me updated.

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