How to collect candles from RTO data?

We mostly work with futures. But in the trial access we were not given access to the futures.

I want to collect OHLC candles in real time. How to get field descriptions for instrument? What fields should be used to collect candles? Ideally, I would like to compare the created candles with another source to make sure there are no errors in my program.

Request

{
  "ID":2,
  "Key":{
    "Name":[
      "/.AD.KS",
      "/.AD.KS11",
      "/.AD.KS200",
      "/.ADBB.KS",
      "/.ADST.KS",
      "/.ADV.KS",
      "/.ADV17.KS",
      "/.ADV18.KS",
      "/.ADV19.KS",
      "/.ADV21.KS",
      "/.ADV22.KS",
      "/.ADV23.KS",
      "1MMAL=",
      "1MMCU=",
      "1MMZN=",
      "2MMAL=",
      "2MMCU=",
      "2MMZN=",
      "AABQf.QA",
      "AHCSf.QA",
      "BLDNf.QA",
      "BRESf.QA",
      "COMBf.QA",
      "DBISf.QA",
      "DICOf.QA",
      "DOBKf.QA",
      "ERESf.QA",
      "FALHf.QA"
    ]
  },
  "Streaming":true
}

Response:

[
  {
    "ID":2,
    "State":{
      "Data":"Ok",
      "Stream":"Closed",
      "Text":"Processed 28 total items from Batch Request.  28 Ok."
    },
    "Type":"Status"
  }
]

[
  {
    "Fields":{
      "CONTEXT_ID":null,
      "DDS_DSO_ID":12351,
      "PROD_PERM":5966,
      "RDNDISPLAY":151,
      "RECORDTYPE":152,
      "ROW80_1":"2MMZN=                                   please see <MMZN=> for complete display",
      "ROW80_10":"NOV2         /              /                                                   ",
      "ROW80_11":"DEC2         /              /                                                   ",
      "ROW80_12":"JAN2         /              /                                                   ",
      "ROW80_13":"FEB2         /              /                                                   ",
      "ROW80_14":"MAR2         /              /                                                   ",
      "ROW80_15":"APR2         /              /                                                   ",
      "ROW80_16":"MAY2         /              /                                                   ",
      "ROW80_17":"JUN2         /              /                                                   ",
      "ROW80_18":"                                                                                ",
      "ROW80_19":"                                                                                ",
      "ROW80_2":"2:                  /                                     /                     ",
      "ROW80_20":"                                                                                ",
      "ROW80_21":"                                                                                ",
      "ROW80_22":"                                                                                ",
      "ROW80_23":"                                                                                ",
      "ROW80_24":"                                                                                ",
      "ROW80_25":"                                                                                ",
      "ROW80_3":"3:                  /                                     /                     ",
      "ROW80_4":"4:                  /                                     /                     ",
      "ROW80_5":"5:                  /                                     /                     ",
      "ROW80_6":"                                                                                ",
      "ROW80_7":"          Bid/Ask       BSiz/ASiz    Last       Open      High      Low    Volum",
      "ROW80_8":"SEP2         /              /                                                   ",
      "ROW80_9":"OCT2         /              /                                                   ",
      "SPS_SP_RIC":".[SPSEVAI-VAH13-P2"
    },
    "ID":20,
    "Key":{
      "Name":"2MMZN=",
      "Service":"ELEKTRON_DD"
    },
    "PermData":"AwEBWWbA",
    "Qos":{
      "Rate":"JitConflated",
      "Timeliness":"Realtime"
    },
    "SeqNumber":815,
    "State":{
      "Data":"Ok",
      "Stream":"Open"
    },
    "Type":"Refresh"
  }
]

[
  {
    "Fields":{
      "ACTIV_DATE":null,
      "ACVOL_UNS":null,
      "CONTEXT_ID":3067,
      "CURRENCY":"KRW",
      "DDS_DSO_ID":8344,
      "DSPLY_NAME":"NO OF ADVANCE/d",
      "DSPLY_NMLL":"\uc0c1\uc2b9\uc885\ubaa9\uc218/d",
      "EPYHSTCLOS":74,
      "HIGH_1":null,
      "HSTCLSDATE":"2009-03-20",
      "HST_CLOSE":74,
      "ISSUES_ADV":null,
      "ISSUES_DEC":null,
      "ISSUES_UNC":null,
      "LOW_1":null,
      "MET_TYP":null,
      "MET_VAL":null,
      "NETCHNG_1":null,
      "NM_IND":"Moves ",
      "NUM_MOVES":null,
      "OPEN_PRC":null,
      "PCTCHNG":null,
      "PRCTCK_1":null,
      "PRC_QL2":"D20",
      "PREF_DISP":null,
      "PREV_DISP":null,
      "PROD_PERM":71,
      "RDNDISPLAY":110,
      "RDN_EXCHD2":"KSC",
      "RDN_EXCHID":"KSC",
      "RECORDTYPE":117,
      "SALTIM":null,
      "SPS_SP_RIC":".[SPSCDSAM0707",
      "TIMACT":null,
      "TIMACT1":null,
      "TOT_ISSUES":null,
      "TRADE_DATE":null,
      "TRDPRC_1":null,
      "TRDPRC_2":null,
      "TRDPRC_3":null,
      "TRDPRC_4":null,
      "TRDPRC_5":null,
      "TRDTIM_1":null,
      "TRD_UNITS":"INT ",
      "TRNOVR_UNS":null,
      "YCHIGH_IND":null,
      "YCLOW_IND":null,
      "YRHIGH":0,
      "YRHIGHDAT":null,
      "YRLOW":0,
      "YRLOWDAT":null
    },
    "ID":10,
    "Key":{
      "Name":"/.ADV18.KS",
      "Service":"ELEKTRON_DD"
    },
    "PermData":"AwEBccA=",
    "Qos":{
      "Rate":"JitConflated",
      "Timeliness":"Realtime"
    },
    "SeqNumber":5423,
    "State":{
      "Data":"Ok",
      "Stream":"Open"
    },
    "Type":"Refresh"
  }
]

[
  {
    "Fields":{
      "ACT_FLAG1":null,
      "ACT_FLAG2":null,
      "ACT_FLAG3":null,
      "ACT_FLAG4":null,
      "ACT_FLAG5":null,
      "ACVL_BASKT":null,
      "ACVL_BLOCK":null,
      "ACVOL_1":null,
      "ACVOL_AFT":null,
      "ACVOL_GEN":null,
      "ACVOL_LHI":null,
      "ACVOL_LLO":null,
      "ACVOL_PRE":null,
      "ADJUST_CLS":null,
      "AMT_OS":6300000,
      "ASK":null,
      "ASKSIZE":null,
      "ASK_VOL_DS":null,
      "ASK_VOL_TT":null,
      "AV_AFT_BLK":null,
      "AV_AFT_BSK":null,
      "AV_PRE_BLK":null,
      "AV_PRE_BSK":null,
      "AV_REG_BLK":null,
      "AV_REG_BSK":null,
      "BASE_PRC":null,
      "BCAST_REF":"AHCS.QA   ",
      "BEST_ASIZ1":null,
      "BEST_ASIZ2":null,
      "BEST_ASIZ3":null,
      "BEST_ASIZ4":null,
      "BEST_ASIZ5":null,
      "BEST_ASIZ6":null,
      "BEST_ASIZ7":null,
      "BEST_ASIZ8":null,
      "BEST_ASIZ9":null,
      "BEST_ASK1":null,
      "BEST_ASK10":null,
      "BEST_ASK2":null,
      "BEST_ASK3":null,
      "BEST_ASK4":null,
      "BEST_ASK5":null,
      "BEST_ASK6":null,
      "BEST_ASK7":null,
      "BEST_ASK8":null,
      "BEST_ASK9":null,
      "BEST_ASZ10":null,
      "BEST_BID1":null,
      "BEST_BID10":null,
      "BEST_BID2":null,
      "BEST_BID3":null,
      "BEST_BID4":null,
      "BEST_BID5":null,
      "BEST_BID6":null,
      "BEST_BID7":null,
      "BEST_BID8":null,
      "BEST_BID9":null,
      "BEST_BSIZ1":null,
      "BEST_BSIZ2":null,
      "BEST_BSIZ3":null,
      "BEST_BSIZ4":null,
      "BEST_BSIZ5":null,
      "BEST_BSIZ6":null,
      "BEST_BSIZ7":null,
      "BEST_BSIZ8":null,
      "BEST_BSIZ9":null,
      "BEST_BSZ10":null,
      "BID":null,
      "BIDSIZE":null,
      "BID_ASK_DT":null,
      "BID_VOL_DS":null,
      "BID_VOL_TT":null,
      "BKGD_REF":null,
      "BUYER_ID":null,
      "CLOSE_ASK":null,
      "CLOSE_BID":null,
      "CONTEXT_ID":2137,
      "CONTR_MNTH":null,
      "CP_ADJ_DAT":null,
      "CP_ADJ_FCT":null,
      "CROSS_SC":"1E+00",
      "CUM_EX_MKR":"   ",
      "CURRENCY":"QAR",
      "DDS_DSO_ID":12303,
      "DIVIDEND":0.05,
      "DIVIDENDTP":"  ",
      "DIVPAYDATE":"2022-04",
      "DSO_ID":15360,
      "DSPLY_NAME":"AAMAL HOLDING   ",
      "DSPLY_NMLL":"                                ",
      "EARNINGS":0.05,
      "EPYHSTCLOS":null,
      "EXCHTIM":null,
      "EXDIVDATE":null,
      "FLOOR_VOL":null,
      "FRGN_ILMT":49.0,
      "FRGN_ORDER":3084392,
      "FRGN_OWN":2607,
      "FRGN_PLMT":null,
      "FR_LMSHAR":null,
      "GEN_VAL1":null,
      "GEN_VAL10":null,
      "GEN_VAL2":null,
      "GEN_VAL3":null,
      "GEN_VAL4":null,
      "GEN_VAL6":null,
      "GEN_VAL7":null,
      "GEN_VAL8":null,
      "GEN_VAL9":null,
      "GV10_TEXT":null,
      "GV1_DATE":null,
      "GV1_TEXT":null,
      "GV2_DATE":null,
      "GV2_TEXT":null,
      "GV3_TEXT":"618996",
      "GV4_TEXT":null,
      "GV5_TEXT":null,
      "GV6_TEXT":null,
      "GV7_TEXT":null,
      "GV8_TEXT":null,
      "GV9_TEXT":null,
      "HIGH_1":null,
      "HSTCLSDATE":null,
      "HST_CLOSE":null,
      "HST_CLOSE2":null,
      "HST_NAV":null,
      "IND_PRC":null,
      "IND_VOL":null,
      "IRGFID":null,
      "IRGPRC":null,
      "IRGVAL":null,
      "IRGVOL":null,
      "ISIN_CODE":null,
      "LOLIMIT":null,
      "LONGLINK1":null,
      "LONGLINK2":null,
      "LOT_SIZE":null,
      "LOWER_SPRD":null,
      "LOW_1":null,
      "MATCH_PRC":null,
      "MATUR_DATE":null,
      "MKT_ACTION":null,
      "MKT_CAP":null,
      "MKT_SECTOR":null,
      "MKT_ST_IND":"   ",
      "MM_ASK":null,
      "MM_ASKSIZ":null,
      "MM_BID":null,
      "MM_BIDSIZ":null,
      "MNEMONIC":null,
      "MPV":"INT ",
      "NAV":null,
      "NETCHNG_1":null,
      "NEWS":"    ",
      "NEWSTM_MS":null,
      "NEWS_TIME":null,
      "NO_ASKMK10":null,
      "NO_ASKMKR2":null,
      "NO_ASKMKR3":null,
      "NO_ASKMKR4":null,
      "NO_ASKMKR5":null,
      "NO_ASKMKR6":null,
      "NO_ASKMKR7":null,
      "NO_ASKMKR8":null,
      "NO_ASKMKR9":null,
      "NO_ASKMMKR":null,
      "NO_BIDMK10":null,
      "NO_BIDMKR2":null,
      "NO_BIDMKR3":null,
      "NO_BIDMKR4":null,
      "NO_BIDMKR5":null,
      "NO_BIDMKR6":null,
      "NO_BIDMKR7":null,
      "NO_BIDMKR8":null,
      "NO_BIDMKR9":null,
      "NO_BIDMMKR":null,
      "NUM_MOVES":null,
      "ODDLOT_ASK":null,
      "ODDLOT_BID":null,
      "ODDLOT_TIM":null,
      "OFFCL_CODE":"QA000A0NCQB1",
      "OFFC_CODE2":null,
      "OFF_CD_IND":"   ",
      "OFF_CLOSE":null,
      "OPEN_PRC":null,
      "ORGID":null,
      "PBL_INFO":"      ",
      "PCTCHNG":null,
      "PERATIO":null,
      "PRCTCK_1":" ",
      "PRC_QL2":"   ",
      "PRC_QL3":"   ",
      "PRC_QL_CD":"   ",
      "PREF_DISP":5949,
      "PREV_DISP":5203,
      "PRNTBCK":null,
      "PROD_PERM":3343,
      "PROV_SYMB":null,
      "PR_FREQ":"      ",
      "PUTCALLIND":"CALL",
      "RCS_AS_CLA":null,
      "RDNDISPLAY":116,
      "RDN_EXCHD2":"DSM",
      "RDN_EXCHID":"   ",
      "RECORDTYPE":113,
      "SALTIM":null,
      "SCALING":null,
      "SEDOL":null,
      "SELLER_ID":null,
      "SESSION_TP":" ",
      "SPS_SP_RIC":".[SPSIDNEM1B001",
      "STOCK_TYPE":null,
      "STRIKE_PRC":null,
      "SUBST_PRC":null,
      "TIMACT":null,
      "TNOVER_SC":"x1000",
      "TN_AFT_BLK":null,
      "TN_AFT_BSK":null,
      "TN_PRE_BLK":null,
      "TN_PRE_BSK":null,
      "TN_REG_BLK":null,
      "TN_REG_BSK":null,
      "TRADE_DATE":"2022-06-18",
      "TRDPRC_1":null,
      "TRDPRC_2":null,
      "TRDPRC_3":null,
      "TRDPRC_4":null,
      "TRDPRC_5":null,
      "TRDTIM_1":"14:00:00",
      "TRDTIM_MS":null,
      "TRDVOL_1":null,
      "TRD_TYPE":null,
      "TRD_UNITS":"3DP ",
      "TRK_ERR_RT":null,
      "TRTY1_DATE":null,
      "TRTY1_PRC":null,
      "TRTY1_TURN":null,
      "TRTY1_VOL":null,
      "TURNOVER":null,
      "TURN_AFT":null,
      "TURN_BASKT":null,
      "TURN_BLOCK":null,
      "TURN_PRE":null,
      "UN_ADJ_CLS":null,
      "UPLIMIT":null,
      "UPPER_SPRD":null,
      "VOL_X_PRC1":null,
      "VWAP":null,
      "WEIGHTING":null,
      "WEIGHTING2":null,
      "WEIGHTING3":null,
      "WNT_RATIO":null,
      "YCHIGH_IND":" ",
      "YCLOW_IND":" ",
      "YIELD":null,
      "YRHIGH":null,
      "YRHIGHDAT":null,
      "YRLOW":null,
      "YRLOWDAT":null,
      "YR_PCTCH":null
    },
    "ID":22,
    "Key":{
      "Name":"AHCSf.QA",
      "Service":"ELEKTRON_DD"
    },
    "PermData":"AwEBM0PA",
    "Qos":{
      "Rate":"JitConflated",
      "Timeliness":"Realtime"
    },
    "SeqNumber":111,
    "State":{
      "Data":"Ok",
      "Stream":"Open"
    },
    "Type":"Refresh"
  },
  {
    "Fields":{
      "ACTIV_DATE":null,
      "ACVOL_UNS":null,
      "CONTEXT_ID":3067,
      "CURRENCY":"KRW",
      "DDS_DSO_ID":8345,
      "DSPLY_NAME":"NO OF ADVANCE/d",
      "DSPLY_NMLL":"\uc0c1\uc2b9\uc885\ubaa9\uc218/d",
      "EPYHSTCLOS":15,
      "HIGH_1":null,
      "HSTCLSDATE":"2009-03-20",
      "HST_CLOSE":15,
      "ISSUES_ADV":null,
      "ISSUES_DEC":null,
      "ISSUES_UNC":null,
      "LOW_1":null,
      "MET_TYP":null,
      "MET_VAL":null,
      "NETCHNG_1":null,
      "NM_IND":"Moves ",
      "NUM_MOVES":null,
      "OPEN_PRC":null,
      "PCTCHNG":null,
      "PRCTCK_1":null,
      "PRC_QL2":"D20",
      "PREF_DISP":null,
      "PREV_DISP":null,
      "PROD_PERM":71,
      "RDNDISPLAY":110,
      "RDN_EXCHD2":"KSC",
      "RDN_EXCHID":"KSC",
      "RECORDTYPE":117,
      "SALTIM":null,
      "SPS_SP_RIC":".[SPSCDSAM0808",
      "TIMACT":null,
      "TIMACT1":null,
      "TOT_ISSUES":null,
      "TRADE_DATE":null,
      "TRDPRC_1":null,
      "TRDPRC_2":null,
      "TRDPRC_3":null,
      "TRDPRC_4":null,
      "TRDPRC_5":null,
      "TRDTIM_1":null,
      "TRD_UNITS":"INT ",
      "TRNOVR_UNS":null,
      "YCHIGH_IND":null,
      "YCLOW_IND":null,
      "YRHIGH":0,
      "YRHIGHDAT":null,
      "YRLOW":0,
      "YRLOWDAT":null
    },
    "ID":9,
    "Key":{
      "Name":"/.ADV17.KS",
      "Service":"ELEKTRON_DD"
    },
    "PermData":"AwEBccA=",
    "Qos":{
      "Rate":"JitConflated",
      "Timeliness":"Realtime"
    },
    "SeqNumber":5423,
    "State":{
      "Data":"Ok",
      "Stream":"Open"
    },
    "Type":"Refresh"
  }
]

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Accepted answers

raksina.samasiri

hi @d.alishev ,

regarding the answers in this thread

You can access brief field descriptions + definitions in the RDMFieldDictionary file which is provided with most of our real-time APIs. So, you could download the e.g. RTSDK Java and when you unpack the files, navigate into the java\etc folder where you will find the RDMFieldDictionary and enum type.def files.

The RDMFieldDictionary defines all the fields available on the real-time Feed.

The enumtype.def defines the enumeration values for the enum type fields defined in the RDMFieldDictionary file.

A sample entry from the RDMFieldDictionary file:

OPEN_PRC "OPENING PRICE" 19 NULL PRICE 17 REAL64 7 ! Today's opening price or value. The source of this field depends upon the market and instrument type.

So, in the above, the 5th column indicates a PRICE type field along with a basic description of its usage.

Many of the price type fields usage depend on the source market/asset class - if you require further information on any specific fields, I recommend you raise a Content type ticket via the MyRefinitiv product support page

You might also find these tools useful, they provide some information on what the fields are used for.

Data Discovery Tool website: https://refinitiv.fixspec.com/stack/specs/elektron
RIC Search tool: https://developers.refinitiv.com/en/tools-catalog/ric-search/

The links to all development tools websites are available on the first page of the Developers Community page.

All comments

raksina.samasiri

hi @d.alishev ,

regarding the answers in this thread

The RDMFieldDictionary defines all the fields available on the real-time Feed.

The enumtype.def defines the enumeration values for the enum type fields defined in the RDMFieldDictionary file.

A sample entry from the RDMFieldDictionary file:

OPEN_PRC "OPENING PRICE" 19 NULL PRICE 17 REAL64 7 ! Today's opening price or value. The source of this field depends upon the market and instrument type.

So, in the above, the 5th column indicates a PRICE type field along with a basic description of its usage.

You might also find these tools useful, they provide some information on what the fields are used for.

Data Discovery Tool website: https://refinitiv.fixspec.com/stack/specs/elektron
RIC Search tool: https://developers.refinitiv.com/en/tools-catalog/ric-search/

The links to all development tools websites are available on the first page of the Developers Community page.

Gurpreet

Hello @d.alishev,

Can you please elaborate on your requirement - are you planning to create bar data from a real-time stream? Is it for some realtime charting app?

If it is not, typically a user will use historical data for for OHLC bars, and that data is typically provided from a historical data source like Refinitiv Tick History, or Refinitiv Data Platform.

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