After subscribing to a RIC, I receive the first refresh "snapshot" message with all fields, but after that I receive update messages with only a few fields (e.g. BID_NET_CH)
This is not favourable in our use case for many reasons, one being that missing an update would cause an inconsistent price.
Is there a way to essentially receive this refresh snapshot on each update?
Obviously, we could just to regular adhoc requests to get a snapshot but that would not be very efficient
Yes, it is true. TREP works on the basis of incremental updates. You'll find that most (if not all) market data systems or market data feeds works like this. So this is by no means specific to TREP. The general idea is that sending all fields with every update would be wildly inefficient and would ultimately endanger the stability of the delivery itself as it could potentially saturate the channel by sending redundant data. You may argue that in your specific case this argument doesn't matter because you know for a fact that the items you subscribe to update very infrequently. But the market data system doesn't know that. It has to be designed in such a way so that it can handle huge variations in update rate, for example an item that suddenly jumps from updating once per minute to several hundred times per second. (this is actually very common, for example for listed equity)
There isn't a setting whereby you can say: give me all fields with every update.
In terms of missing updates: This is what the State if for. You would detect (or rather the API would detect) almost immediately if that's the case. Some feeds also publish a sequence number with every update but I've frankly never had a need to use it.
The best answer I can give you is that you'll simply need to maintain a cache inside your application containing the current value of each field for an item.
Best of luck.
As youve found out inititially you will receive the whole picture, and from then on will only receive updates. This is because it saves bandwidth/helps latency to only send information that has changed. If it hasnt been updated, then your program should assume it is still the same value.
Either you will need to keep a record within your program, or use the following indication flag to send and receive a full picture everytime you need it:
Hello @Ethan Wong
RFA supports 2 request types:
1. Streaming - returns a refresh message with all fields following with update messages with changed fields.
2. Non-Streaming(snapshot) - returns only one refresh message with all fields.
Hence, both cannot serve your requirement and the application needs to implement this by itself. Apart from keep requesting snapshot to get updated data of all fields, you can request streaming then cache data received from a refresh message and update data according to update messages.