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chris.xiao avatar image
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Composite RIC's quote FIDs in European market using RFAJ

When I extended from USA/CA to support EU market, Quote update for primary RIC is pretty much the same, but composite RIC's FIDs just have BIDSIZE. I don't see may bid/ask time, exchange time, exchange. The spec https://refinitiv.fixspec.com/specserver/specs/elektron/emea/europe-mifid-composite/1-3-4/2296-mifid-composite-xbo-quote-rics-erttrade-reporting does not seem to give much info this area neither.

Here are some bad examples of SAPGEUR.xbo today, I actually run the test program for whole May 25 and receive no quotes at all(because my program ignore incomplete quote)

[ 11:12:06:706 ] , --ItemManager event=121,event handle 1576770878 MsgModelType 6MESSAGE

Msg Type: MsgType.UPDATE_RESP

Msg Model Type: MARKET_PRICE

Indication Flags:

Hint Flags: HAS_RESP_TYPE_NUM | HAS_SEQ_NUM

SeqNum: 14496

RespTypeNum: 1 (QUOTE)

Payload: 9 bytes

FIELD_LIST

FIELD_ENTRY 30/BIDSIZE: 1075

[ 11:12:32:339 ] , --ItemManager event=121,event handle 1576770878 MsgModelType 6MESSAGE

Msg Type: MsgType.UPDATE_RESP

Msg Model Type: MARKET_PRICE

Indication Flags:

Hint Flags: HAS_RESP_TYPE_NUM | HAS_SEQ_NUM

SeqNum: 14512

RespTypeNum: 1 (QUOTE)

Payload: 9 bytes

FIELD_LIST

FIELD_ENTRY 30/BIDSIZE: 1200



I search my previous test, I did find another quote for HSBAGBP.xbo that are somewhat better, but then, I don't see any FID indicates which exchange this quote is coming from.


09:56:14:712 ] , --ItemManager event=121,event handle 49386809 MsgModelType 6MESSAGE

Msg Type: MsgType.UPDATE_RESP

Msg Model Type: MARKET_PRICE

Indication Flags:

Hint Flags: HAS_RESP_TYPE_NUM | HAS_SEQ_NUM

SeqNum: 10848

RespTypeNum: 1 (QUOTE)

Payload: 116 bytes

FIELD_LIST

FIELD_ENTRY 345/BID_TONE:

FIELD_ENTRY 8469/BID_TONE1:

Received field id: 14265 - Not defined in dictionary

FIELD_ENTRY 1025/QUOTIM: 13:56:14

FIELD_ENTRY 1071/COLID_2: 15 (15)

FIELD_ENTRY 1021/SEQNUM: 2509206

FIELD_ENTRY 3855/QUOTIM_MS: 50174623

FIELD_ENTRY 1072/COLID_3: 15 (15)

FIELD_ENTRY 4150/BID_TIM_MS: 50174623

FIELD_ENTRY 1073/COLID_4: 15 (15)

FIELD_ENTRY 1074/COLID_5: 15 (15)

FIELD_ENTRY 135/MID_NET_CH: 0.375

FIELD_ENTRY 1422/COLID_6: 15 (15)

FIELD_ENTRY 134/MID_PRICE: 398.900

Received field id: 4990 - Not defined in dictionary

FIELD_ENTRY 275/SEC_ACT_1: 398.900

FIELD_ENTRY 22/BID: 398.85

FIELD_ENTRY 30/BIDSIZE: 2800

Received field id: 14264 - Not defined in dictionary


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1 Answer

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pimchaya.wongrukun01 avatar image
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Hello @chris.xiao

I suggest you enable RFA trace log which shows what fields RFA receives from the feed which publishes data.

To enable RFA trace log file, Set ipcTraceFlags = 7, mountTrace=true and specify logFileName parameter of the connection node. For example:

node name="rsslConnection">
      <map>
             <entry key="connectionType" value="RSSL"/>
             <entry key="serverList" value="adsserver"/>
             <entry key="portNumber" value="14002"/>
             <entry key="ipcTraceFlags" value="7"/>
             <entry key="mountTrace" value="true"/>
             <entry key="logFileName" value="traceRFA_RSSL%u.log"/>
         </map>
</node>

If RFA trace log does not show the same fields as your application, the application source code should be investigated why it misses fields.

If RFA trace log shows the same fields as the application, that means this is the feed problem and you should reach out to the Refinitiv Helpdesk and select Product to be the feed e.g. Thomson Reuters Elektron Real-Time

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chris.xiao avatar image chris.xiao

Hi Primchaya,

I enabled RFA trace, it shows exact same issue. Will forward to helpdesk.

Thanks,

Chris


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