LSEG (RFA) Market Data Connector
LSEG (RFA) Data Connector based on LSEG Robust Foundation API.
Features
lseg_rfaConnector KeyConfiguration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| Host | N/A | Host/IP address of the LSEG RFA server. |
| Port | N/A | Port of the LSEG RFA server. |
| User Name | N/A | User name for connecting to the LSEG RFA server. |
| Service Name | N/A | The name of the concrete service to connect to. If service name is not specified, the data connector will connect to the first available service. |
| Exchange Name | LSEG | Exchange name for this session. It is used when the symbol does not specify an exchange. See Symbology. |
| Output Book Size | 10 | Size of the output book. |
| Snapshot Interval | 10S | This property sets an interval in seconds between periodical Level2 snapshots which sent to Aggregator. Snapshots will be generated as soon as this threshold is exceeded AND the next increment message arrives. Conversely, snapshots are NOT generated every period if no data is coming in. Default value is 10 seconds. |
| Use MarketPrice Domain | false | Use a separate 'MarketPrice' domain for getting L1 (BBO) updates instead of generating L1 data from the top of L2 order book. Also, using a separate 'MarketPrice' domain allows you to get information about trades. Default value for this option is false. |
| Set Bid/Ask Size For Currencies | true | This option allows you to set a predefined value for bid/ask size in cases when a bid/ask price exists, but the bid/ask size is not available. This option applies to currencies only (Instrument Type is FX). This feature is only available if the 'MarketPrice' domain is enabled. Default value for this option is true. |
| Predefined Bid/Ask Size For Currencies | 100000 | Predefined value for bid/ask size in cases when a bid/ask price exists, but the bid/ask size is not available. This value applies to currencies only (Instrument Type is FX). This property is available only if 'Use MarketPrice Domain' is enabled and 'Set Bid/Ask Size For Currencies' is selected. Default value for this property is "100000". |
| Use Classic Data Model For L1 Data And Trades | false | Use Classic data model for L1 (BBO) data and trades. If this option is enabled, data connector will generate Best Bid Offer Messages for L1 data and Trade Messages for trades instead of Package Header messages with L1 Entries and Trade Entries. This feature is only available if the 'MarketPrice' domain is enabled. Default value for this option is false. |
| Start Time | 18:00:00 | Start time of the session in the 24-hours format (HH:MM:SS). Default value is 18:00:00. |
| Start Day | SUN | Day of week of session start. Default value is SUN. |
| End Time | 17:00:00 | End time of the session in the 24-hours format (HH:MM:SS). Default value is 17:00:00. |
| End Day | FRI | Day of week of session end. Default value is FRI. |
| Time Zone | America/New_York | Time zone of start/end session time. Default value is America/New_York. |
| Daily/Weekly | true | If this parameter is true, the session will start/end every day. |
Symbology
Subscribe using a Reuters Instrument Code (RIC). To set the exchange for one symbol, append @ and the exchange name:
RIC[@EXCHANGE]
The RIC (the part before @) is the instrument name sent to LSEG. The exchange (the part after @) is written into market data messages for that symbol. The symbol stored in TimeBase is the full subscription symbol, including the @EXCHANGE suffix when it is present.
If the exchange is omitted, or @ is present but the exchange name is empty, the connector uses the Exchange Name parameter.
An exchange name is limited to 10 characters and is converted to upper case. A longer name is truncated. Use the same characters as for Exchange Name (space through _).
The same RIC can be subscribed only once. A second subscription of that RIC, with or without a different exchange, is skipped.
Supported symbol notations:
| Symbol Notation | Examples |
|---|---|
| RIC | FGBMM5 |
| RIC@EXCHANGE | FGBMM5@EUREX |
Logging
To enable detailed logging, use these lines in the <QSHOME>/config/gflog.xml file:
<logger name="deltix.qsrv.hf.plugins.data.lseg_rfa" level="TRACE">
<appender-ref ref="safeAppender"/>
</logger>