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Custom VWAP support
Hi team,
I asked about VWAP and Interval VWAP with a start and end date available (https://community.developers.refinitiv.com/questions/48832/vwap-and-interval-vwap-support.html ) which can be obtained from the History Api (TRTH or Elektron Data Platform).
Now my question is, is there a streaming service available with Elektron, where I provide a custom start date time (with the same exchange current trading date) and get VWAP streaming from that time. for e.g if the market starts from 9:30 am then get me(stream) VWAP started with 10:00 am which means ignore all trades in calculation of VWAP from 9:30 - 10 am.
Thank you,
Hi @bansalshah, There is no such streaming service available. Your application will have to subscribe to streaming market data and do its own VWAP calculations.
Thanks @Gurpreet for the response. Just a follow up question is there any mechanism to lets say override a field and get the affected list of fields (or sub list of fields affected) ?
I don't quite understand what you are asking - but the update message in streaming subscription only contains the delta's, i.e. the fields that have changed from the last time they were sent out (with few exceptions like TRDPRC_1 is always included in trade message). You can further limit the number of fields delivered to your application, by specifying the subset of fields of interest, when starting a subscription.
There is no means to override a field.
Thank you.
Hi @bansalshah,
IF by override you mean filter out / omit unwanted fields from the payload responses - you can use the Views functionality as described in this Tutorial step to request only those fields you are interested in.