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Good Day!
We are currently receiving BID and ASK information for FX rates via weboscket api. C#
We have a need to get the MID-market exchange rate using the Refinitiv Real-time optimised product.
We could not find a suitable field in the protocol specification (https://developers.refinitiv.com/en/api-catalog/refinitiv-real-time-opnsrc/refinitiv-websocket-api)
How can we get a mid-market exchange rate? If we can't get it through the websocket api, what api can we use to get it?
Hello @Valery
I just want to add some information added to my colleague's answer.
You can use the WebSocket API View Feature to request only interested fields from the Refinitiv Real-Time.
Example Code:
string view = "{"
+ "\"ID\": 2,"
+ "\"Key\": {\"Name\":\"" + _ric + "\",\"Service\":\"" + _service + "\"},"
+ "\"View\":[\"BID\",\"ASK\",\"MID_PRICE\",\"MID_NET_CH\",\"MID_CLOSE\"]"
+ "}";
SendMessage(view);
Result:
RECEIVED on Session1:
[
{
"ID": 2,
"Type": "Refresh",
"Key": {
"Service": "ELEKTRON_DD",
"Name": "EUR="
},
"State": {
"Stream": "Open",
"Data": "Ok"
},
"Qos": {
"Timeliness": "Realtime",
"Rate": "JitConflated"
},
"PermData": "AwEBUmw=",
"SeqNumber": 40558,
"Fields": {
"BID": 1.0531,
"ASK": 1.0535,
"MID_PRICE": 1.0533,
"MID_NET_CH": 0.0008,
"MID_CLOSE": 1.0525
}
}
]
An example of the View feature in C# is the MarketPriceBatchViewExample.cs example file in the GitHub https://github.com/Refinitiv/websocket-api/tree/master/Applications/Examples/CSharp link. The file is for the deployed RTDS connection but the View logic is the same as the RTO connection.
I found several fields regarding mid-price.
MID_PRICE "MID-PRICE" 134 NULL PRICE 17 REAL64 7 ! ! The mid-price between the bid and ask prices. ! MID_NET_CH "MID-PRICE NETCH" 135 NULL PRICE 17 REAL64 7 ! ! The difference between the current mid-price held in MID_PRICE and the historic ! mid-price MID_CLOSE. ! MID_CLOSE "MID-PRICE CLOSE" 136 NULL PRICE 17 REAL64 7 ! ! The closing mid-price. !
You can also refer to the Data Model Discovery tool to find all available Real-Time fields for each RIC, such as 3312 - FX Alliance LLC (FXall) FX Spot [Refinitiv Real-Time/Misc.]
I hope it can help.
