question

Upvotes
Accepted
1 2 3 3

VALUE_TS1 field in Elektron API has precision only till seconds but has millisec field

We are using Elektron API (EMA, Real time) and pulling VALUE_TS1

array.add(EmaFactory.createOmmArrayEntry().intValue(1010));

Should we be using another timestamp instead of this to get milli/nano sec frequency?

We are interested to get Quote time at Venue


Also we would like to confirm the quotes are updated in order, i.e. quote1 arrived at time t and quote2 arrived at time t+0.01 nanosec. Is there possibility that quote2 will be streamed before quote1?

elektronrefinitiv-realtimeelektron-sdkrrtema-apijavatime-stamp
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

1 Answer

Upvotes
Accepted
15.2k 40 12 19

Hello @vuk.magdelinic, The millisecond time is available in the _MS fields if the venue supports this. Here is a snapshot of IBM on NYSE:

FieldEntry fid="3580" name="BID_ASK_DT" dataType="Date" value="12 MAY 2021"
FieldEntry fid="3655" name="ISIN_CODE" dataType="Rmtes" value="CA8911605092"
FieldEntry fid="3694" name="MNEMONIC" dataType="Rmtes" value="TD"
FieldEntry fid="3854" name="SALTIM_MS" dataType="UInt" value="72000000"
FieldEntry fid="3859" name="SEQ_NO" dataType="UInt" value="3672530"
FieldEntry fid="3861" name="BLK_PRC1" dataType="Real" value="87.03"
FieldEntry fid="3871" name="OPN_AUCVOL" dataType="Real" value="21900.0"
FieldEntry fid="3887" name="SEQNUM_QT" dataType="Real" value="3672588.0"
FieldEntry fid="3900" name="TRADE_ID" dataType="Rmtes" value="20399"
FieldEntry fid="3984" name="TRD_TYPE" dataType="Rmtes" value="A"

from RDM field dictionary, you can see the definition:

SALTIM_MS  "SALTIM MS"           3854  NULL        INTEGER            15  UINT64           4
!
! Time of the last trade with precision in milliseconds - the time of the last update 
! to the field TRDPRC_1 (FID 6).

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

You can also refer to the Coding For High Precision Time article for more information regarding nanoseconds.

To convent _MS fields to time, please refer to this thread.