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bansalshah avatar image
26 ●11 ●20 ●24

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,

elektron-sdktreprdp-apiwebsocketsrrto
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2 Answers

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Gurpreet avatar image
17.5k ●48 ●13 ●19

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.

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bansalshah avatar image bansalshah

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) ?

Gurpreet avatar image Gurpreet bansalshah

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.

bansalshah avatar image bansalshah Gurpreet
Hi @Gurpreet and @Umer Nala, I think your last line gives me my answer. I am not trying to directly get a sub list of fields. I was looking to override a field (say FIELD1 to 100) and send it in my request and then get the values of all the fields affected by my change. But if there is no means to override , it clears my doubt.

Thank you.
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umer.nalla avatar image
25k ●87 ●11 ●24

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.

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