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otto.to.1 avatar image
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What updatetype should I be expecting for data updates from exchanges?

For example if I subscribe to <VOD.L>, <HSBAl.BS>, <C>, etc. What updatetypes will I be getting?


I am aware that QUOTE, TRADE, QUOTES_TRADE, CORRECTION can appear. What about the others update types ?

INSTRUMENT_UPDATE_UNSPECIFIED = 0; /*!< Not specified */
INSTRUMENT_UPDATE_QUOTE = 1; /*!< Quote */
INSTRUMENT_UPDATE_TRADE = 2; /*!< Trade */
INSTRUMENT_UPDATE_NEWS_ALERT = 3; /*!< News Alert */
INSTRUMENT_UPDATE_VOLUME_ALERT = 4; /*!< Volume Alert */
INSTRUMENT_UPDATE_ORDER_INDICATION = 5; /*!< Order Indication */
INSTRUMENT_UPDATE_CLOSING_RUN = 6; /*!< Closing Run */
INSTRUMENT_UPDATE_CORRECTION = 7; /*!< Correction */
INSTRUMENT_UPDATE_MARKET_DIGEST = 8; /*!< Official information from the
INSTRUMENT_UPDATE_QUOTES_TRADE = 9; /*!< One or more conflated quotes
INSTRUMENT_UPDATE_MULTIPLE = 10; /*!< Update with other filtering and conflation applied */
INSTRUMENT_UPDATE_VERIFY = 11; /*!< Fields may have changed


Regards

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1 Answer

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wasin.w avatar image
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Hello @otto.to.1

The Update Event Type is based on each exchange and each feed. It can be different type based on each data feed and exchange.You may receive only a few types from the exchanges and feed you are subscribing.

You can find more detail about the Update Event Type description in Appendix A of ETA RDM Usage Guide document. The ETA C++ RDM Usage Guide contains the following detail.

If you are looking for the Java SDK, please refer to an answer in this post.


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otto.to.1 avatar image otto.to.1

If a certain exchange publishes an update that contains both quote & trade, will Elektron split this into two messages? One for quote and the other for trade. Or just send a message with the update type as

INSTRUMENT_UPDATE_QUOTES_TRADE ?

wasin.w avatar image wasin.w otto.to.1

Hello @otto.to.1

It is depending on how the Elektron will handle it, the API just receive data and pass it to the application as is. I strongly suggest you verify this content behavior with the Elektron content support team via http://my.refinitiv.com/