Support Board
Date/Time: Wed, 15 Jan 2025 18:33:37 +0000
Post From: DTC Message Changes
| [2017-08-17 12:14:19] |
| User249115 - Posts: 1 |
|
After working with DTC for a while on a larger project, there are a few minor issues that should be addressed in the protocol messages: * s_MarketDataUpdateSessionNumTrades does not send thru the trade date * s_MarketDataUpdateOpenInterest does not send the the trade date These are not critical, as you can make assumption about trade date, but they should be changed to be consistent with the other session update messages that do send thru the trade date. This is not only consistent, but also allows a value to be sent thru for a different date. * s_MarketDepthSnapshotLevel does not contain a datetime timestamp This is not critical, but would be nice to have so you know when the depth was last set. The timestamp should be capable of containing milliseconds (even if not sent). Also, is there a way to request that s_MarketDepthUpdateLevel be used instead of s_MarketDepthUpdateLevelCompact (perhaps via LogonRequest)? We would like to use this so that a millisecond timestamp is present (I understand you do not send ms yet, but we require it in the interface and eventually will process ms). |