Do we provide end users with code that transforms the Tick History Venue By Day (VBD) service int...

Options
Vinod A
Vinod A LSEG
in EMA

...o the Real Time RDMU

Do we provide end users with code that transforms the MarketByOrder / MarketByPrice files from the Tick History Venue By Day (VBD) service into the Real Time RDMU wire format described that is used here: https://github.com/Refinitiv/Real-Time-SDK/blob/master/Cpp-C/Eta/Docs/TransportAPI_C_RDMUsageGuide.pdf

Tagged:

Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello @Vinod A ,

    No, don't believe such code is made available.

    If the customer is looking to back-test, with Real-time SDK, by republishing specific VBD information as real-time stream, just guessing here? To produce and publish RWF?

    Then EMA API is higher level then ETA, and significantly less coding effort will be required to code a publisher for the purposes of back-testing. To find out more on how this can be setup, see article Testing EMA Consumer and Provider Applications. However, absorbing content from VBDs and publishing as real-time streaming content will still have to be designed and coded in the form of an interactive provider.

    The other potential approach that may be relevant, is taking advantage of Infrastructure Tools that are available for download, that can be used to record real-time data, and to replay canned real-time data. In the same section, see also small canned data recordings, that are included. One can replay these recordings, connect a starter consumer, verify the workflow. Next, modify the recorded data for a RIC/instrument, by replacing the fields in a message with fields from a VBD message, potentially, in an image and next in an update(s), and replay a message(s) that is essentially the required content. This approach is neither elegant nor flexible, but should be quick to do and test.

    Let me know if this information is what you and the customer are looking for

Answers

Categories