May I know the conflation mechanism for the RTO?
It's described as 'all trades and 3 updates per second for quotes'.
So how to do the conflation for 3 updates per second? every 1/3 second it will generate a quote update? or 3 quote update at most for a second? what's the conflation logic on that?
Hi @Frederic
With the RTO conflation, you should receive all Trade events.
It is also possible for a quote update to be combined with a trading update.
For quotes, if there have been any quotes in the past1/3 second, they would be conflated into a single quote update. If there has been no market activity on that instrument in the past 1/3 second you should not receive an update.
For example, below I subscribed to STAN.L for just over 60s from RTO:
Stats; Refresh: 0 Updates: 0 Status: 0 Pings: 0 Elapsed Time: 0.00secs
Stats; Refresh: 1 Updates: 1 Status: 1 Pings: 0 Elapsed Time: 5.02secs
Stats; Refresh: 1 Updates: 8 Status: 1 Pings: 0 Elapsed Time: 10.05secs
Stats; Refresh: 1 Updates: 23 Status: 1 Pings: 0 Elapsed Time: 15.09secs
Stats; Refresh: 1 Updates: 26 Status: 1 Pings: 1 Elapsed Time: 20.13secs
Stats; Refresh: 1 Updates: 26 Status: 1 Pings: 1 Elapsed Time: 25.15secs
Stats; Refresh: 1 Updates: 27 Status: 1 Pings: 1 Elapsed Time: 30.19secs
Stats; Refresh: 1 Updates: 30 Status: 1 Pings: 1 Elapsed Time: 35.24secs
Stats; Refresh: 1 Updates: 32 Status: 1 Pings: 2 Elapsed Time: 40.26secs
Stats; Refresh: 1 Updates: 53 Status: 1 Pings: 2 Elapsed Time: 45.33secs
Stats; Refresh: 1 Updates: 55 Status: 1 Pings: 2 Elapsed Time: 50.38secs
Stats; Refresh: 1 Updates: 55 Status: 1 Pings: 2 Elapsed Time: 55.44secs
Stats; Refresh: 1 Updates: 56 Status: 1 Pings: 3 Elapsed Time: 60.48secs
Stats; Refresh: 1 Updates: 94 Status: 1 Pings: 3 Elapsed Time: 65.53secs
As you can see:
in the 10-15 sec time window, I received 15 updates = 3 per second.
in the 20-25 sec time window, I received 0 updates.
in the 5-65 sec time window, I received 93 updates - an average of 1.5 updates a second.
The conflation is done by RTO server side or EMA application side? And if this goes to the LPC in the scenario, will the conflation be done by LPC?
