I'm using Elektron to get some real time market data feed, and I can't afford to miss any data for my calculations. Let's assume my application crashes. When my application restarts, how can it get all the data it missed. Basically, let's say my app crashes at 10:00 and restarts at 10:05. How can I get all the data between 10:00 and 10:05 ? Can I replay all the market data for today up to now ?
Elektron supports real-time data and it is unable to replay the market data.
You can run rdmstestclient on another machine to record all the market data and then replay it with sink_driven_src. For more information, please refer to Quick Start Guide to Recording and Playback of Elektron Data.
Otherwise, you can retrieve the missed data from other products, such as TRTH. Thomson Reuters Tick History is a historical market data service, offering global intra-day Time and Sales, Quotes, and Market Depth content dating back to January 1996 for an extensive range of equities, indices, foreign exchange, money, fixed income, and derivatives instruments. For more information regarding TRTH, please contact your local account or sales team.