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.
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.
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.