Electron over Cloud and Realtime Data bars

Options
bgonzales
bgonzales Newcomer
in WebSocket API

we subscribe to Elektron over Cloud (AWS) via websocket.

We get realtime streaming data fine. Trades come in as "Conflated: False"..Would this mean that we are seeing every "tick"? I notice gaps in the sequence numbers, so I am thinking there are some missing trade ticks.

We would like to compute 1-second bars from the realtime trade data. I realize that without every single tick, that I may miss a "high" or "low" within a timeframe. Also, i'm not sure which field to pay attention to for the volume. Any help would be appreciated.

Tagged:

Best Answer

  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @bgonzales

    The ERT in Cloud is a 'Trade Safe' conflated service - so you should receive every trade as well as conflated quotes - at a rate of maximum 3 quotes a second.

    The sequence number gaps would be as a result of the quote type updates being conflated.

    For the volume field I recommend you create a content type ticket and discuss with a Content specialist - as the field may vary depending on asset class, exchange etc.

Answers

  • nick.zincone
    nick.zincone admin

    Hi @bgonzales,

    The ERT in Cloud realtime service is a conflated service and not full tick. If you are interested in full tick data, you will need to communicate to an EaaS (Elektron As a Service).

    When working with higher throughput, full tick data, I would recommend you use one of the Elektron SDK APIs which is a fully manage solution providing optimized data delivery.

    Reach out to your Refinitiv Account Manager for more details.

  • bgonzales
    bgonzales Newcomer

    Thank you for the replies. I will follow up with the suggested services. So, @umer.nalla would trade safe imply that we may miss some quotes (level 2 type data), but not miss any trades. Is this correct?

  • umer.nalla
    umer.nalla LSEG

    Hi @bgonzales

    That is correct - as per your previous post on a related matter, Trade type updates are not conflated when Trade Safe conflation is used.

Categories