How to determine instrument type?

jerrymao
jerrymao Newcomer
in Elektron

When subscribe to a list of symbols, for example (EUR=, EUR1YD=, EUR1YO=R), is there anyway to determine the type (deposit rate, spot rate, volatility) of the instrument during the process of decoding update/refresh messages?

Thanks

Jerry

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  • nick.zincone
    nick.zincone admin
    Answer ✓

    Hi @jerrymao,

    Correct, the FID 259 only comes with the first response. Updates only provide change so static fields are not sent down when a trade occurs for example.

    You will have to manage your own lookup when updates come in. This is easily done by capturing the details of FID 259 from the first response and recording this information within a lookup table (dictionary). Simply use the stream ID or item name as your lookup key.

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