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RFA Api : Multipart Refresh message with unexpected cache clearing instruction in between
Hello, we use RFA 8.2 C++ api to consume market data in MBP domain. Please let us know if following message format is expected and if yes where it is documented? <Refresh Message A> Part <1> of Refresh Message <A> with clear cache instruction and summary fields Part <2> of Refresh Message <A> with clear cache instruction…
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MarketByPrice fields - B3 data
Dear team, I am getting full book from exchange B3 data in Refinitiv OMMItemStream class using this code, with domain MarketByPrice: futures = rdp.OMMItemStream(session = session,name="DOLG23",domain = "MarketByPrice, on_refresh = lambda euro, event : display_event("Refresh", event),on_update = lambda euro, event :…
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[Level 2-MBP] How to identify market order in market-by-price update
Hi, We are subscribing the level 2 market-by-price data for SGX & CME and would like to know if the data includes information on market order. How can we identify the price point for market order and what value is expected in the field "ORDER_PRC"? Besides, as "ORDER_TONE" is sent as 'RMTES_STRING', what is the possible…
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MapEntry Action -> DELTE [ ORDER_ID] -> 1668520581231622381_1481511_1
Hi team, Need help for this query. thanks in advance We are using RFA 8.1 C++ API to consume depth data using MBP domain [Market By Price]. When we receive DELETE instruction we receive only OrderID. Side is not mentioned. Order ID are received in given format MapEntry Action -> DELTE [ ORDER_ID] ->…
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Sequences of trades/quotes/market updates within the same nanosecond
I'm looking at both the refinitiv real time SDK and the CSV per-exchange data. I see a few cases where (on LSE) we see this sequence of events: market status - opening auction ...events trade (MMT class implies it's outside of opening auction) market status - normal trading The sequence of events as delivered to our…
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EMPTY Levels in RFA API
I'm using the the MARKET_BY_PRICE to get the orderbook using RFA 8.1 . But I can't find any information in the documentation how empty levels are signaled. Say that there are only 3 levels. Will I receive a MAP with all (10) levels? In that case what will signal that only 3 of them are valid? I have seen people asking…
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Getting add entry for already existing levels. Getting update entry for non existing levels.
Hi, We are using RFA 8.1 API's with MarketByPrice domain. This is in regards with level 2 data. We received an add entry for an order id that already exists in our local book. Symbol : APPS.MC Timestamp : 20220907-06:30:17 EST Order Id : 6.6350B Similarly an update entry was received for an order ID that was not present in…
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Eikon Python API - close prices after market closes for Baltic Exchange Supramax Index (.BSIS) an...
...d CRB Index (.TRCCRB) I am trying to get the daily close price for for Baltic Exchange Supramax Index (.BSIS) and CRB Index (.TRCCRB) after the market closes. I run my script around 6:50pm UK time but the close price for the current day come up as 0. This is my code below: start_date =str(datetime.date.today() -…
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MMT_MARKET_PRICE
MMT_MARKET_PRICE using this domain, can I get a trade? int main(int argc, char* argv[]) { EmaString configFile; if (argc == 2) configFile = argv[1]; try { AppClient client; OmmConsumer consumer(OmmConsumerConfig(configFile). username("MY_USERNAME"). password("MY_PASSWORD"). clientId("MY_CLIENT_ID").…
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Missing TRADE_DATE in Update Message
Hello. I am using EMA Market Price Domain to retrieve market data. Some update messages contain field TRADE_DATE, some update messages does not. Could you please help me to understand if it is related to the fact that Refinitiv aggregates data from different sources and not all of them may have TRADE_DATE? In general, I am…
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How do I find right MP number that includes all the FIDs of the RIC?
Dear all, Could you guide How I find the MP number for the correspond RIC? For example, the number of FID for <2802.T> is not same with the number of FID of "MP - 1072 - Tokyo Stock Exchange" Do I need to look up multiple Market Prices(MP - 1072 , 1081...) for one RIC? and If I call Level 1 & 2 of a RIC via realtime API,…
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Get Relevant Stock Index
How do I get the relevant stock index closing price starting from a Ultimate Parent Id in order to get Abnormal Returns? Is there a field I can add that I am unable to find on DIB? bonds, err = ek.get_data( identifiers, ['TR.ClosePrice.date', 'TR.ClosePrice'], {'SDate': starting_date, 'EDate': ending_date})
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Lost the MARKET PRICE capabilities on active session
Hi, My ETA based Elektron adapter lost the MARKET PRICE (6) capability when there was some active subscription and getting data at the same time. I faced this issue when trying to subscribe for new ID and while checking "hasCapabilities" it found that MARKET PRICE capability was not available. What is the reason for this…
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Incorrect timestamps from MP feeds for Taiwan
Hello, We have been having timestamps problems on a few Taiwan RICs. Please see below snippet for 4132.TWO. This particular message came around 07:07:53 UTC (of 2020-05-26), however the TRdTIM_1 FID had 16:00:00.000000000. This kind of message with incorrect timestamp is very rare, but it does happen. Could you explain why…
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RIC request works for MP Domain but doesn't work with MBO or MBP domain.
Hi, I have a consumer client written using EMA C++ library. The consumer works fine and receive refresh and update messages when use MP Domain. However when I try to change the domain to Market by Order or Market by Price to read level 2 data I have an error as "The record could not be found". Maybe I need to use a…
