We are using a Capital market system Opics and retrieve the market data through the reuters adaptor in Opics. It works fine until 30 november 2018. We have not received any ATM FX volatilities since then in our production environment.
We have checked everything from Opics side. There is nothing suspicious in Opics which could have impact this issue.
As we can see Opics is sending a list of request RICs including ATM FX Vol (Attached message send out)
And the file received Reuters called PriceFormulas in Opics.
Between 30th of Nov and 3rd of Dec, there is a drop in the size of file PricedFormulas from 7.2mb to 6.4mb. They are the same list of RICs requested to Reuters.
However there is no ATM FX Vol received since then.
Attached the file received from Reuters before and after Nov 30 2018 from Production, you can see many RICs are missing in the file from Dec 3 comparing with 30 Nov.
Here is about external interface to Reuters from Opics help.
About Reuters Rate Feed
Reuters is an external source that feeds real-time updates of rates into the FusionCapital Opics system. For proper data calculation and maintenance, it is important that the position and profit and loss blotters should communicate with an automated data feed to get updated rates from external sources. Data providers such as Reuters provides current market rates based on which the positions are updated and profit and loss are recalculated.
The real-time index rate codes and interest rates that the Reuters feed system provides are used for Fixed Income, Foreign Exchange, Call and Notice and various other deal maintenance.
FusionCapital Opics communicates with Reuters RDF or RMDS (Reuters Market Data Server) servers through the Reuters P2PS protocol over a TCP connection. To use RMDS, FusionCapital Opics integrates with an onsite Reuters DACS server for permissions. There is only one ID given to the entire DACS system. Individual FusionCapital Opics users need to be given PWMT permissions to view Rate Sets through RSRM.
To allow the FusionCapital Opics Messaging service to be deployed as 64-bit to fetch real time market data, the RFA .NET adapter should be used. It uses the Reuters Robust Foundation API (RFA) .NET 7.0 interface to fetch real time market data feed. The RFA .NET edition is a wrapper API on RFA C++ edition that makes it easy to develop applications on .NET programming languages and make use of the entire .NET library. The FusionCapital Opics RFA.NET adapter supports Reuters RMDS and TREP-RT (Thomson Reuters Enterprise Platform for Real Time).
The Reuters RFA .NET adapter can:
Register FusionCapital Opics with the Reuters RMDS server.
Fetch defined FusionCapital Opics RSRM formulas and extract Reuters Identification Codes (RIC).
Register with Reuters RMDS server real-time rate subscription for RICs.
Extract the real-time rate publication data from the RMDS server and invoke FusionCapital Opics business components to store real-time rate.
Log exceptions raised by the Reuters RMDS server while processing connection/subscription requests.
Unregister FusionCapital Opics with the Reuters RMDS server.