Trayport (gRPC) Market Data Connector
Trayport Data Connector based on Joule Direct API (gRPC wrapper).
Configuration
Data Connector Parameters
| Parameter | Default Value | Description |
|---|---|---|
| gRPC Server | localhost | gRPC Server address |
| gRPC Port | 5000 | gRPC Server port |
| Server | N/A | Trayport's Server address |
| Port | 443 | Trayport's Server's port |
| User name | N/A | |
| Password | N/A | |
| Output Book Size | 20 | 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. |
| Broker Id As Exchange | false | Split L2 order book by BrokerID field. NOTE: OrderSummary messages subscription is not allowed in this mode. Trade will use InitiatorBrokerId as Exchange. |
| Split Implied Books | false | Split L2 order book by order's ImpliedType field. Implied type will be encoded in exchange name postfix: .Native, .Venue or nothing for None implied type. |
| Autofilter Trades | true | If checked, trade messages are filtered by action (Insert and Query only). Uncheck to get raw TRADE stream. |
| Filter Untradable Orders | false | If checked, orders wtih IsTradable=false field will not be processed for L1/L2 data |
| Calculated Prices Depth | 0 | If you want to enable calculated prices connection option, set maximum depth number. Zero to disable this option. |
| Trade Update On Metadata | false | If you want to enable ENABLE_TRADE_UPDATE_ON_METADATA connection option, set this option true. Required for InitiatorJDMemo and AggressorJDMemo fields of TradeEntry. |
Symbology
Trayport symbol code consist of InstrumentID, Type, SequenceID, FirstSequenceItemID and SecondSequenceItemID divided by sharp symbol (#)
| Examples |
|---|
| 10001126#Single#10000106#10#0 (Yearly Germany Baseload for 2013) |