On developing a consumer of RIC changes. How can I verify that I caught every BID and ASK for (for example) EUR= . Is there a RIC which would give the BID/ASK history for EUR= via TREP? I would need an entirely different Reuters product?
58.3k
●161 ●45 ●65
From the query, we would like to retrieve (intraday) tick-by-tick history data in order to verify the retrieved BID and ASK. However, RFA can retrieve inter-day historical data (daily, weekly, monthly) and intraday historical data is not available via TREP.
You can use another product, such as Thomson Reuters Tick History (TRTH) to retrieve intraday historical data.
It is available via TREP as part of the pre-beta Elektron Time Series service however one would need to use TRTH or DataScope to go production within the next year.
We don't have TRTH. Our QoS is "RealTime". Is there a sequence number on the message so I could detect gaps or losses?
There is seqNum field in the refresh and update message. Refer to RDM usage guide, Manifest.SeqNum is an optional user-specified, item-level sequence number which can be used by the application for sequencing messages with this stream.
Thanks for responding. I see on the incoming message I have a flag HAS_SEQ_NUM. For the time being I have just subscribed to one RIC (EUR=), and the sequ number jumps by 20-30 between each message. However I am getting more than one msg per second. I am using the sample Consumer app and so "assume" that at this point I am getting all the messages, so why the gaps? I am not the only user on this server. Are the numbers being given to RIC updates to other users?
The guide says that it is "user-specified". What does that mean? I didn't deliberately ask for it (nice that I have it :-)
58.3k
●161 ●45 ●65
According to RDM usage guide, seqNum is not a required field for MarketPrice domain. However, the application can use it for its own purpose. For example, the client provider application may use it for sequencing the messages. Elektron also uses this field for its own purpose.
For your question: yes, other users will also get seqNum in the update messages.
However, if the seqNum skips randomly, we can't use it for detect gap.
For now, the best way to verify all tick data is using TRTH or waiting for Elektron Time Series service.
