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Elektron Message API
Java Edition
V3.2.x
RDM USAGE GUIDE
JAVA EDITION
Document Version: 3.2.2
Date of issue: 15 November 2018
Document ID: EMAJ322UMRDM.180
Legal Information
© Thomson Reuters 2015 - 2018. All rights reserved.
Thomson Reuters, by publishing this document, does not guarantee that any information contained herein is and will remain accurate or that
use of the information will ensure correct and faultless operation of the relevant service or equipment. Thomson Reuters, its agents and
employees, shall not be held liable to or through any user for any loss or damage whatsoever resulting from reliance on the information
contained herein.
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Contents
Contents
Chapter 1
1.1
1.2
1.3
1.4
1.5
1.6
1.7
1.7.1
1.7.2
1.7.3
1.8
Introduction ...................................................................................................................... 1
About this Manual ...........................................................................................................................................
Audience .........................................................................................................................................................
Open Message Model (OMM).........................................................................................................................
Reuters Wire Format (RWF) ...........................................................................................................................
References......................................................................................................................................................
Documentation Feedback ...............................................................................................................................
Conventions ....................................................................................................................................................
Typographic ..............................................................................................................................................
General Transport API Syntax..................................................................................................................
Definitions and Standard Behaviors .........................................................................................................
Acronyms and Abbreviations ..........................................................................................................................
1
1
1
1
2
2
2
2
3
3
4
Chapter 2
Domain Model Overview.................................................................................................. 5
2.1
2.2
What is a Domain Message Model? ............................................................................................................... 5
Reuters Domain Models (RDMs) Vs User-Defined Models ............................................................................ 5
Reuters Domain Models (RDMs).............................................................................................................. 5
User-Defined Domain Model .................................................................................................................... 6
Domain Message Model Creation ............................................................................................................ 6
Message Concepts ......................................................................................................................................... 7
OMM Consumer / OMM Interactive Provider Initial Interaction ....................................................................... 8
Sending and Receiving Content...................................................................................................................... 9
General Elektron Message API Concepts..................................................................................................... 10
Snapshot and Streaming Requests ........................................................................................................ 10
Reissue Requests and Pause/Resume .................................................................................................. 10
Clearing the Cache on Refreshes........................................................................................................... 11
Dynamic View ......................................................................................................................................... 11
Batch Request ........................................................................................................................................ 11
Posting.................................................................................................................................................... 11
2.2.1
2.2.2
2.2.3
2.3
2.4
2.5
2.6
2.6.1
2.6.2
2.6.3
2.6.4
2.6.5
2.6.6
Chapter 3
3.1
3.2
3.2.1
3.2.2
3.2.3
3.2.4
3.2.5
3.2.6
3.2.7
3.2.8
3.2.9
3.2.10
3.2.11
3.2.12
3.2.13
3.2.14
3.3
3.3.1
3.3.2
3.4
Login Domain ................................................................................................................. 12
Description ....................................................................................................................................................
Usage............................................................................................................................................................
Login Request Message .........................................................................................................................
Login Request Elements.........................................................................................................................
Login Request Domain Representation..................................................................................................
Login Refresh Message..........................................................................................................................
Login Refresh Elements .........................................................................................................................
Login Refresh Domain Representation...................................................................................................
Login Status Message ............................................................................................................................
Login Status Elements............................................................................................................................
Login Status Domain Representation .....................................................................................................
Login Update Message...........................................................................................................................
Login Close Message .............................................................................................................................
Login Generic Message Use ..................................................................................................................
Login Post Message ...............................................................................................................................
Login Ack Message ................................................................................................................................
Data...............................................................................................................................................................
Login Refresh Message Payload............................................................................................................
Login Generic Message Payload............................................................................................................
Special Semantics.........................................................................................................................................
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13
13
15
17
18
20
25
26
27
27
27
28
28
29
29
30
30
32
33
iii
3.4.1
3.4.2
3.4.3
3.4.4
3.4.5
3.5
3.6
3.7
Chapter 4
4.1
4.2
4.2.1
4.2.2
4.2.3
4.2.4
4.2.5
4.3
4.3.1
4.3.2
4.4
4.4.1
4.4.2
4.4.3
4.4.4
4.4.5
4.4.6
4.4.7
Chapter 5
5.1
5.2
5.3
5.3.1
5.3.2
5.3.3
5.4
5.4.1
5.4.2
5.4.3
5.4.4
5.5
5.5.1
5.5.2
5.5.3
5.6
5.6.1
5.6.2
5.6.3
5.7
5.7.1
5.7.2
5.8
5.9
Login Direction........................................................................................................................................
Initial Login..............................................................................................................................................
Multiple Logins........................................................................................................................................
Group and Service Status.......................................................................................................................
Single Open and Allow Suspect Data Behavior......................................................................................
Specific Usage: RDF Direct Login.................................................................................................................
Specific Usage: Enterprise Platform .............................................................................................................
Specific Usage: Login Credentials Update Feature ......................................................................................
33
33
33
33
34
35
35
35
Source Directory Domain .............................................................................................. 36
Description ....................................................................................................................................................
Usage............................................................................................................................................................
Source Directory Request Message .......................................................................................................
Source Directory Refresh Message........................................................................................................
Source Directory Update Message.........................................................................................................
Source Directory Status Message ..........................................................................................................
Source Directory Generic Message........................................................................................................
Data...............................................................................................................................................................
Source Directory Refresh and Update Payload......................................................................................
Source Directory ConsumerStatus Generic Message Payload ..............................................................
Special Semantics.........................................................................................................................................
Multiple Streams .....................................................................................................................................
Service IDs .............................................................................................................................................
ServiceState and AcceptingRequests ....................................................................................................
Service and Group Status Values...........................................................................................................
Removing a Service................................................................................................................................
Automatic Request from EMA Consumer...............................................................................................
Client Requests Non-Existing Service Directory.....................................................................................
36
37
37
39
40
41
42
43
43
51
52
52
52
52
53
53
54
54
Dictionary Domain ......................................................................................................... 55
Description ....................................................................................................................................................
Decoding Field List Contents with Field and Enumerated Types Dictionaries ..............................................
Usage............................................................................................................................................................
Dictionary Request Message..................................................................................................................
Dictionary Refresh Message...................................................................................................................
Dictionary Status Message .....................................................................................................................
Data...............................................................................................................................................................
Filter........................................................................................................................................................
Refresh Message Summary Data...........................................................................................................
Response Message Payload ..................................................................................................................
DictionaryId.............................................................................................................................................
Field Dictionary .............................................................................................................................................
Field Dictionary Payload .........................................................................................................................
Field Dictionary File Format....................................................................................................................
Specific Usage: RDF Direct and FieldDefinition Dictionary ....................................................................
Enumerated Types Dictionary.......................................................................................................................
Enumerated Types Dictionary Payload ..................................................................................................
Enumerated Types Dictionary File Format .............................................................................................
Specific Usage: RDF Direct and EnumTable Dictionary.........................................................................
Special Semantics.........................................................................................................................................
DictionariesProvided and DictionariesUsed............................................................................................
Version Information.................................................................................................................................
Other Dictionary Types .................................................................................................................................
Specific Usage: Enterprise Platform .............................................................................................................
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56
57
57
59
61
62
62
63
63
64
65
65
67
71
72
72
74
76
77
77
77
78
78
iv
Chapter 6
6.1
6.2
6.2.1
6.2.2
6.2.3
6.2.4
6.2.5
6.3
6.4
6.4.1
6.4.2
6.5
6.6
Chapter 7
7.1
7.2
7.2.1
7.2.2
7.2.3
7.2.4
7.2.5
7.3
7.3.1
7.3.2
7.3.3
7.4
7.5
7.6
Market Price Domain...................................................................................................... 79
Description ....................................................................................................................................................
Usage............................................................................................................................................................
Market Price Request Message..............................................................................................................
Market Price Refresh Message ..............................................................................................................
Market Price Update Message ...............................................................................................................
Market Price Status Message.................................................................................................................
Market Price Post Message....................................................................................................................
Data: Response Message Payload ...............................................................................................................
Special Semantics.........................................................................................................................................
Snapshots...............................................................................................................................................
Ripple Fields ...........................................................................................................................................
Specific Usage: RDF Direct MarketPrice ......................................................................................................
Specific Usage: Legacy Records ..................................................................................................................
79
79
79
81
83
85
85
86
87
87
87
87
87
Market By Order Domain ............................................................................................... 88
Description ....................................................................................................................................................
Usage............................................................................................................................................................
Market By Order Request Message .......................................................................................................
Market By Order Refresh Message ........................................................................................................
Market By Order Update Message .........................................................................................................
Market By Order Status Message...........................................................................................................
Market By Order Post Message..............................................................................................................
Data...............................................................................................................................................................
Response Message Payload ..................................................................................................................
Summary Data........................................................................................................................................
MapEntry Contents .................................................................................................................................
Special Semantics.........................................................................................................................................
Specific Usage: RDF Direct and Response Message Payload.....................................................................
Specific Usage: Enterprise Platform .............................................................................................................
88
88
88
90
92
94
95
96
96
97
97
97
97
98
Chapter 8
Market By Price Domain ................................................................................................ 99
8.1
8.2
Description .................................................................................................................................................... 99
Usage............................................................................................................................................................ 99
Market By Price Request Message ........................................................................................................ 99
Market By Price Refresh Message ....................................................................................................... 100
Market By Price Update Message ........................................................................................................ 102
Market By Price Status Message.......................................................................................................... 103
Market By Price Post Message............................................................................................................. 104
Data............................................................................................................................................................. 105
Response Message Payload ................................................................................................................ 105
Summary Data...................................................................................................................................... 105
MapEntry.Key Contents........................................................................................................................ 106
Special Semantics....................................................................................................................................... 106
Specific Usage: RDF Direct and the Response Message Payload............................................................. 107
Specific Usage: Enterprise Platform ........................................................................................................... 107
8.2.1
8.2.2
8.2.3
8.2.4
8.2.5
8.3
8.3.1
8.3.2
8.3.3
8.4
8.5
8.6
Chapter 9
9.1
9.2
9.2.1
9.2.2
9.2.3
9.2.4
Market Maker Domain .................................................................................................. 108
Description ..................................................................................................................................................
Usage..........................................................................................................................................................
Market Maker Request Message..........................................................................................................
Market Maker Refresh Message...........................................................................................................
Market Maker Update Message............................................................................................................
Market Maker Status Message .............................................................................................................
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108
108
110
112
113
v
9.2.5
9.3
9.3.1
9.3.2
9.3.3
9.4
9.5
9.6
Chapter 10
10.1
10.2
10.2.1
10.2.2
10.2.3
10.2.4
10.2.5
10.3
10.3.1
10.3.2
10.3.3
10.4
10.5
Chapter 11
11.1
11.2
11.2.1
11.2.2
11.2.3
11.2.4
11.3
11.4
11.5
Market Maker Post Message ................................................................................................................
Data.............................................................................................................................................................
Response Message Payload ................................................................................................................
Summary Data......................................................................................................................................
MapEntry Contents ...............................................................................................................................
Special Semantics.......................................................................................................................................
Specific Usage: RDF Direct and the Response Message Payload.............................................................
Specific Usage: Enterprise Platform ...........................................................................................................
114
115
115
115
116
116
116
117
Yield Curve Domain ..................................................................................................... 118
Description ..................................................................................................................................................
Usage..........................................................................................................................................................
Yield Curve Request Message .............................................................................................................
Yield Curve Refresh Message ..............................................................................................................
Yield Curve Update Message ...............................................................................................................
Yield Curve Status Message ................................................................................................................
Yield Curve Domain Post Message ......................................................................................................
Data.............................................................................................................................................................
Response Message Payload ................................................................................................................
Summary Data......................................................................................................................................
Yield Curve Input and Output Entries ...................................................................................................
Special Semantics.......................................................................................................................................
Specific Usage: ATS ...................................................................................................................................
118
118
118
120
121
122
123
124
124
125
125
125
126
Symbol List Domain..................................................................................................... 127
Description ..................................................................................................................................................
Usage..........................................................................................................................................................
Symbol List Request Message .............................................................................................................
Symbol List Refresh Message ..............................................................................................................
Symbol List Update Message ...............................................................................................................
Symbol List Status Message ................................................................................................................
Data: Response Message Payload .............................................................................................................
Special Semantics.......................................................................................................................................
Specific Usage ............................................................................................................................................
127
127
127
129
131
133
134
134
135
Appendix A ReqMsg Payload ........................................................................................................... 136
A.1
A.2
A.3
View Definition ............................................................................................................................................. 136
ItemList......................................................................................................................................................... 136
Symbol List Behaviors.................................................................................................................................. 137
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Contents
List of Figures
Figure 1.
Figure 2.
Figure 3.
Figure 4.
Figure 5.
Figure 6.
Figure 7.
Figure 8.
Figure 9.
Figure 10.
Figure 11.
Figure 12.
Figure 13.
Figure 14.
Figure 15.
Figure 16.
Figure 17.
Figure 18.
Figure 19.
Figure 20.
Figure 21.
Figure 22.
OMM Consumer and Interactive Provider Initial Interactions .......................................................................... 8
General Domain Use....................................................................................................................................... 9
Login Request Domain Representation Code Usage Example .................................................................... 17
Login Refresh Domain Representation Code Usage Example ..................................................................... 25
Login Status Domain Representation Code Usage Example ....................................................................... 27
Login Refresh Message Payload .................................................................................................................. 30
Login Generic Message Payload .................................................................................................................. 32
Source Directory Refresh and Update Message Payload............................................................................. 43
Source Directory Generic Message Payload ................................................................................................ 51
FieldList Referencing Field Dictionary .................................................................................................... 56
FieldEntry Referencing an Enumerated Types Table.............................................................................. 56
Field Dictionary Payload ............................................................................................................................... 65
Field Dictionary File Format Sample ............................................................................................................. 67
Field Dictionary Tagged Attributes Sample ................................................................................................... 67
Enumerated Types Dictionary Refresh Message Payload............................................................................ 72
MarketPrice Response Message Payload .................................................................................................... 86
MarketByOrder Response Message Payload ............................................................................................... 96
MarketByPrice Response Message Payload .............................................................................................. 105
MarketMaker Response Message Payload ................................................................................................ 115
Yield Curve Payload Example..................................................................................................................... 124
SymbolList Response Message Payload.................................................................................................... 134
SymbolList Request Message Payload Specifying Symbol List Behavior .................................................. 137
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Contents
List of Tables
Table 1:
Table 2:
Table 3:
Table 4:
Table 5:
Table 6:
Table 7:
Table 8:
Table 9:
Table 10:
Table 11:
Table 12:
Table 13:
Table 14:
Table 15:
Table 16:
Table 17:
Table 18:
Table 19:
Table 20:
Table 21:
Table 22:
Table 23:
Table 24:
Table 25:
Table 26:
Table 27:
Table 28:
Table 29:
Table 30:
Table 31:
Table 32:
Table 33:
Table 34:
Table 35:
Table 36:
Table 37:
Table 38:
Table 39:
Table 40:
Table 41:
Table 42:
Table 43:
Table 44:
Table 45:
Table 46:
Table 47:
Table 48:
Table 49:
Table 50:
Table 51:
Acronyms and Abbreviations .......................................................................................................................... 4
Reuters Domain Model Overview ................................................................................................................... 5
Message Concepts ......................................................................................................................................... 7
Configure Login Request Message ............................................................................................................... 13
Login Request Message ............................................................................................................................... 13
Login Request Attrib Elements ................................................................................................................. 15
Login Refresh Message ................................................................................................................................ 18
Login Refresh Attrib Elements.................................................................................................................. 20
Login Status Message Member Use ............................................................................................................. 26
Login Status Attrib Elements .................................................................................................................... 27
Login Close Message Member Use .............................................................................................................. 28
Login Generic Message Member Use........................................................................................................... 28
Vector.SummaryData’s ElementList Contents ......................................................................................... 31
ElementList Contents .................................................................................................................................... 31
MapEntry Elements ..................................................................................................................................... 32
SingleOpen and AllowSuspectData Handling ............................................................................................... 34
Source Directory Request Message ............................................................................................................. 37
Source Directory Refresh Message .............................................................................................................. 39
Source Directory Update Message ............................................................................................................... 40
Source Directory Status Message................................................................................................................. 41
Source Directory Generic Message .............................................................................................................. 42
Source Directory Map Contents..................................................................................................................... 43
Source Directory MapEntry Filter Entries .................................................................................................... 44
Source Directory Info Filter Entry Elements .................................................................................................. 45
Source Directory State FilterEntry Elements ......................................................................................... 47
Source Directory Group FilterEntry Elements........................................................................................ 48
Source Directory Load FilterEntry Elements.......................................................................................... 49
Source Directory Data FilterEntry Elements .......................................................................................... 49
Source Directory Link FilterEntry Map Contents.................................................................................... 50
Source Directory Generic Message MapEntry Elements ............................................................................ 51
ServiceState and AcceptingRequests........................................................................................................... 52
Dictionary Request Message ........................................................................................................................ 57
Dictionary Request Message ........................................................................................................................ 59
Dictionary Status Message ........................................................................................................................... 61
Dictionary's Filter ............................................................ 62
Dictionary summaryData......................................................... 63
Field Dictionary Element Entries ................................................................................................................... 66
Field Dictionary File Tag Information ............................................................................................................ 68
Field Dictionary File Column Names and ElementEntry Names .............................................................. 68
Field Dictionary Type Keywords.................................................................................................................... 69
Marketfeed to RWF Mappings in RDMFieldDictionary.................................................................................. 70
Marketfeed to RWF Mappings in RDMFieldDictionary.................................................................................. 71
Element Entries Describing Each Enumerated Type Table .......................................................................... 73
Enumerated Type Dictionary File Tag Information........................................................................................ 75
RWF EnumType Dictionary File Format Reference Fields ........................................................................... 76
RWF EnumType Dictionary File Values ........................................................................................................ 76
Other Dictionary Types ................................................................................................................................. 78
Market Price Request Message .................................................................................................................... 79
Market Price Refresh Message ..................................................................................................................... 81
Market Price Update Message...................................................................................................................... 83
Market Price Status Message ....................................................................................................................... 85
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Table 52:
Table 53:
Table 54:
Table 55:
Table 56:
Table 57:
Table 58:
Table 59:
Table 60:
Table 61:
Table 62:
Table 63:
Table 64:
Table 65:
Table 66:
Table 67:
Table 68:
Table 69:
Table 70:
Table 71:
Table 72:
Table 73:
Table 74:
Table 75:
Table 76:
Market By Order Request Message .............................................................................................................. 88
Market By Order Refresh Message............................................................................................................... 90
Market By Order Update Message................................................................................................................ 92
Market By Order Status Message ................................................................................................................. 94
Market By Price Request Message ............................................................................................................... 99
Market By Price Refresh Message.............................................................................................................. 100
Market By Price Update Message............................................................................................................... 102
Market By Price Status Message ................................................................................................................ 103
Market Maker Request Message ................................................................................................................ 108
Market Maker Refresh Message ................................................................................................................. 110
Market Maker Update Message .................................................................................................................. 112
Market Maker Status Message ................................................................................................................... 113
Yield Curve Request Message.................................................................................................................... 118
Yield Curve Refresh Message .................................................................................................................... 120
Yield Curve Update Message ..................................................................................................................... 121
Yield Curve Status Message ....................................................................................................................... 122
Yield Curve Inputs and Outputs .................................................................................................................. 125
Symbol List Request Message.................................................................................................................... 127
Symbol List Refresh Message .................................................................................................................... 129
Symbol List Update Message ..................................................................................................................... 131
Symbol List Status Message ....................................................................................................................... 133
View Definition in Payload........................................................................................................................... 136
ItemList in Payload...................................................................................................................................... 136
Request Message Payload for Symbol List Domain Specifying Symbol List Behaviors ............................. 137
:SymbolListBehaviors ElementEntry Contents................................................................................... 138
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Chapter 1
Introduction
Chapter 1 Introduction
1.1
About this Manual
This manual describes how the Reuters Domain Models (RDM) are defined in terms of the Open Message Model (OMM).
Data conforming to RDM is available via Thomson Reuters Enterprise Platform (TREP), EleKtron, and Reuters Data Feed
Direct (RDFD) using the Elektron Message API.
1.2
Audience
This guide is written for software developers who are familiar with the Elektron Message API and want to develop Elektron
Message API-based applications to access RDM-formatted data. Before reading this manual:
•
•
Users should be familiar with OMM concepts and types.
It may be useful to read the Message API Java Edition Developers Guide and be familiar with the example applications
provided in the Elektron Message API package.
1.3
Open Message Model (OMM)
The OMM is a collection of message header and data constructs. Some OMM message header constructs, such as the
Update message, have implicit market logic associated with them while others, such as the Generic message, allow for freeflowing bi-directional messaging. OMM data constructs can be combined in various ways to model data that ranges from
simple (or flat) primitive types to complex multiple-level hierarchal data.
The layout and interpretation of any specific OMM model, also referred to as a domain model, is described within that model’s
definition and is not coupled with the API. The OMM is the flexible tool that simply provides the building blocks to design and
produce domain models to meet the needs of the system and its users. The Elektron Message API provides structural
representations of the OMM constructs and manages the RWF binary-encoded representation of the OMM. Elektron Message
API users can leverage the provided OMM constructs to consume or provide OMM data throughout their TREP.
1.4
Reuters Wire Format (RWF)
Reuters Wire Format (RWF) is the encoded representation of OMM. RWF is a highly-optimized, binary format designed to
reduce the cost of data distribution as compared to previous wire formats. Binary encoding represents data in the machine’s
native manner, enabling further use in calculations or data manipulations. RWF allows for serializing OMM message and data
constructs in an efficient manner while still allowing rich content types. RWF can distribute field identifier-value pair data, selfdescribing data, as well as more complex, nested hierarchal content.
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Chapter 1
1.5
Introduction
References
For additional Elektron Message API documentation, refer to:
•
•
•
The Message API Java Edition Developers Guide
The Message API Java Edition Reference Guide
The Thomson Reuters Professional Developer Community
1.6
Documentation Feedback
While we make every effort to ensure the documentation is accurate and up-to-date, if you notice any errors, or would like to
see more details on a particular topic, you have the following options:
•
•
Send us your comments via email at apidocumentation@thomsonreuters.com.
Mark up the PDF using the Comment feature in Adobe Reader. After adding your comments, you can submit the entire
PDF to Thomson Reuters by clicking Send File in the File menu. Use the apidocumentation@thomsonreuters.com
address.
1.7
Conventions
1.7.1
Typographic
The Elektron Message API uses the following typographical conventions:
•
The Reuters Domain Models (RDMs) are described in terms of OMM concepts. Images and XML example layouts are
provided as a reference in relevant sections.
•
In-line MISSING VARIABLE: Classes, methods, and types are shown in orange, Lucida Console font.
•
Parameters, filenames, and directories are shown in Bold font.
•
Document titles and variable values are shown in italics.
•
When included in the body of the text, new concepts are called out in Bold, Italics the first time they are mentioned.
•
Verbose code examples (one or more lines of code) are shown in Lucida Console font against an orange background.
Comments in such code samples are formatted in green coloring. For example:
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Chapter 1
1.7.2
Introduction
General Transport API Syntax
The Elektron Message API uses the following general API syntax conventions:
•
Dot-separated notation indicates data available within a hierarchy. Each period can indicate a MISSING VARIABLE:
Class, a data memberName, an entry, or an element name.
•
streamId values are assigned by the application and used across all domain models. Consumer applications assign
positive streamId values when requesting content and interactive provider applications respond using the same
streamId. Non-interactive provider applications assign negative streamId values.
•
Payload generically refers to the message payload.
•
Integer constants are defined in all capital letters with underscores (e.g., MMT_MARKET_PRICE,
SERVICE_INFO_ID). In the Elektron Message API, they can be found in the thomsonreuters.ema.rdm namespace
and in the ema/rdm/EmaRdm.java file.
•
The names of Elektron Message API FilterId values (e.g. SERVICE_INFO_ID) correspond to the flag value
enumeration defined for use with the message key’s filter (e.g., SERVICE_INFO_FILTER). Names may be
shortened for clarity (e.g., DirectoryInfo).
•
The names of the data members correspond to the method names for both get/set in the EMA interface, with the get
prefixes removed and the first character always upper case.
1.7.3
Definitions and Standard Behaviors
This Elektron Message API manual uses the following terms and the API illustrates the following default behavior:
•
Not Used means the attribute is not extensible; the Elektron Message API may pass-on the information, however
there is no guarantee that the data will be passed through the network now or in the future. Use of a “Not Used”
attribute may cause problems when interacting with some components.
•
Required means the data must be provided or set.
•
Conditional means date might be required depending on a particular scenario or context. Refer to the description for
specific details.
•
Recommended means the data is not strictly required, but should be provided or set by all applications.
•
Optional means the data may be provided or set, but is not required. This data should be handled and understood by
all applications, even if not including it. When present, this information should be passed through the network.
•
Extensible means the numeric ranges may have more values defined in the future. It means additional Elements can
be added to Element Lists.
•
If data is not present, the Elektron Message API assumes the default value.
•
Generic message use is not supported within existing, defined Reuters Domain Models, except when explicitly
defined.
•
Posting is assumed to be supported within currently-defined Reuters Domain Models, except when otherwise
indicated. Posting is not supported on Source Directory and Dictionary domains. Posting within the Login domain must
follow off-stream posting rules and target a domain other than Login. Posting on any other allowed domains must
follow on-stream posting rules and target that specific domain. For further details about posting, refer to the Message
API Java Edition Developers Guide.
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Chapter 1
1.8
Introduction
Acronyms and Abbreviations
ACRONYM
DEFINITION
ADH
Advanced Data Hub
ADS
Advanced Distribution Server
API
Application Programming Interface
ASCII
American Standard Code for Information Interchange
ATS
Advanced Transformation Server
DACS
Data Access Control System
DMM
Domain Message Model
EED
Elektron Edge Device
EMA
Elektron Message API
ETA
Elektron Transport API
OMM
Open Message Model
QoS
Quality of Service
RDM
Reuters Domain Model
RMTES
Reuters Multi-Lingual Text Encoding Standard
RSSL
Reuters Source Sink Library
RWF
Reuters Wire Format
TRDFD
Thomson Reuters Datafeed Direct
TREP
Thomson Reuters Enterprise Platform
TS1
Time Series One
Table 1: Acronyms and Abbreviations
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Chapter 2
Domain Model Overview
Chapter 2 Domain Model Overview
2.1
What is a Domain Message Model?
A Domain Message Model (DMM) describes a specific arrangement of OMM message and data constructs. A domain
message model will define any specialized behaviors associated with the domain or any specific meaning or semantics
associated with data contained in the message. Unless a domain model specifies otherwise, any implicit market logic
associated with a message still applies (e.g. an Update message indicates that any previously-received data also contained in
the Update message is being modified).
2.2
Reuters Domain Models (RDMs) Vs User-Defined Models
2.2.1
Reuters Domain Models (RDMs)
An RDM is a domain message model typically provided or consumed by a Thomson Reuters product, such as the TREP, Data
Feed Direct, or Elektron. Some currently-defined RDMs allow for authenticating to a provider (e.g. Login), exchanging field or
enumeration dictionaries (e.g. Dictionary), and providing or consuming various types of market data (e.g. Market Price, Market
by Order, Market by Price). Thomson Reuters’s defined models have a domain value of less than 128.
The following table provides a high-level overview of the currently-available RDMs. The following chapters provide more
detailed descriptions for each of these.
DOMAIN
PURPOSE
Login
Authenticates users and advertise/request features that are not specific to a particular domain.
Use of and support for this domain is required for all OMM applications.
This is considered an administrative domain, content is required and expected by many
Thomson Reuters components and conformance to the domain model definition is expected.
For further details refer to Chapter 3, Login Domain.
Source Directory
Advertises information about available services and their state, QoS, and capabilities. This
domain also conveys any group status and group merge information.
Interactive and Non-Interactive OMM provider applications require support for this domain.
Thomson Reuters strongly recommends that OMM Consumers request this domain.
This is considered an administrative domain, and many Thomson Reuters components expect
and require content to conform to the domain model definition.
For further details, refer to Chapter 4, Source Directory Domain.
Dictionary
Provides dictionaries that may be needed when decoding data. Though use of the Dictionary
domain is optional, Thomson Reuters recommends that provider applications support the
domain’s use.
Considered an administrative domain, content is required and expected by many Thomson
Reuters components and following the domain model definition is expected.
For further details refer to Chapter 5, Dictionary Domain.
Table 2: Reuters Domain Model Overview
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Domain Model Overview
DOMAIN
PURPOSE
Market Price
Provides access to Level I market information such as trades, indicative quotes and top of
book quotes. Content includes information such as volume, bid, ask, net change, last price,
high, and low.
For further details refer to Chapter 6, Market Price Domain.
Market By Order
Provides access to Level II full order books. Contains a list of orders (keyed by the order IDs)
with related information such as price, whether it is a bid/ask order, size, quote time, and
market maker identifier.
For further details refer to Chapter 7, Market By Order Domain.
Market By Price
Provides access to Level II market depth information. Contains a list of price points (keyed by
that price and the bid/ask side) with related information.
For further details refer to Chapter 8, Market By Price Domain.
Market Maker
Provides access to market maker quotes and trade information. Contains a list of market
makers (keyed by that market maker’s ID) with related information such as that market maker’s
bid and asking prices, quote time, and market source.
For further details refer to Chapter 9, Market Maker Domain.
Yield Curve
Provides access to yield curve information. This can contain input information used to calculate
a yield curve along with output information (which is the curve itself). A yield curve shows the
relation between the interest rate and the term associated with the debt of a borrower. The
curve’s shape can help to give an idea of future economic activity and interest rates.
For further details refer to Chapter 10, Yield Curve Domain.
Symbol List
Provides access to a set of symbol names, typically from an index, service, or cache. Minimally
contains symbol names and can optionally contain additional cross-reference information such
as permission information, name type, or other venue-specific content.
For further details refer to Chapter 11, Symbol List Domain.
Table 2: Reuters Domain Model Overview (Continued)
2.2.2
User-Defined Domain Model
A User Defined Domain Model is a domain message model defined by a party other than Thomson Reuters. These may be
defined to solve a specific user or system need in a particular deployment which is not resolvable through the use of an RDM.
Any user-defined model must use a domain value between 128 and 255. If needed, domain model designers can work with
Thomson Reuters to define their models as standard RDMs. This allows for the most seamless interoperability with future
RDM definitions and with other Thomson Reuters products.
2.2.3
Domain Message Model Creation
This document discusses defined RDMs capable of flowing through the Elektron Message API. Elektron Message API users
can leverage OMM to create their own Domain Message Models (DMMs) in addition to those described in this document.
When defining a DMM, consider the following questions / points:
•
•
Is a new DMM really needed, or can you express the data in terms of an existing RDM?
The DMM should be well-defined. Following the design templates used in this document is a good approach. The
structure, properties, use cases, and limitations of the DMM should be specified.
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Chapter 2
Domain Model Overview
•
While OMM provides building blocks that can structure data in many ways, the semantics of said data must abide by the
rules of OMM. For example, custom DMMs should follow the request, refresh, status, and update semantics implicitly
defined by those messages. If more flexible messaging is desired within a custom DMM, it can be accomplished through
the use of a generic message, which allows for more free-form bidirectional messaging after a stream is established.
•
DomainType values less than 128 are reserved for RDMs. The DomainType of a custom DMM must be between 128 and
255.
•
You might want to work with Thomson Reuters to define a published RDM, rather than use a custom DMM. This ensures
the most seamless interoperability with future RDMs and other Thomson Reuters products.
2.3
Message Concepts
The following table describes the mapping of OMM concepts with actual interfaces. For clarity and consistency, the Message
concept will be referenced throughout the rest of this RDM Usage Guide.
MESSAGE CONCEPT
DESCRIPTION/VALUE
Request Message
ReqMsg whose data type is DataTypes.REQ_MSG
Close Message
OmmConsumer.unregister()
(Request)
Refresh Message
RefreshMsg whose data type is DataTypes.REFRESH_MSG
(Response)
Update Message
UpdateMsg whose data type is DataTypes.UPDATE_MSG
(Response)
Status message
StatusMsg whose data type is DataTypes.STATUS_MSG
(Response)
Post Message
PostMsg whose data type is DataTypes.POST_MSG
Generic Message
GenericMsg whose data type is DataTypes.GENERIC_MSG
Ack Message
AckMsg whose data type is DataTypes.ACK_MSG
Table 3: Message Concepts
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2.4
Domain Model Overview
OMM Consumer / OMM Interactive Provider Initial Interaction
An OMM consumer application can establish connections to other OMM interactive provider applications, including TREP,
Data Feed Direct, and Elektron. This interaction first requires an exchange of login messages between the consumer and
provider, where the provider can either accept or reject the consumer. If the consumer is allowed to log in, it may then request
the list of services available from the provider. Optionally1, the consumer can request any dictionaries it needs to decode data
from the provider. After this process successfully completes, the consumer application can begin requesting from nonadministrative domains, which provide other content (e.g. Market Price, Market By Order).
Figure 1. OMM Consumer and Interactive Provider Initial Interactions
1. Instead of downloading any needed dictionaries, the application can load them from a local file.
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Chapter 2
2.5
Domain Model Overview
Sending and Receiving Content
Use of non-administrative domains generally follows a specific sequence:
•
•
•
•
The consumer sends an ReqMsg containing the name of an item it is interested in.
The provider first responds with an RefreshMsg to bring the consumer up to date with all currently available information.
As data changes, the provider sends UpdateMsg (if the consumer requested streaming information).
When the consumer is no longer interested, it sends an CloseMsg to close the stream (or, if the provider needs to close the
stream, it uses an StatusMsg).
Figure 2. General Domain Use
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Chapter 2
2.6
Domain Model Overview
General Elektron Message API Concepts
Many domains share a set of common behaviors for handling data. If a specific behavior is not supported on a domain, this
should be specified in that domains detailed description. This section briefly defines these concepts; the Message API Java
Edition Developers Guide describes them in greater detail.
2.6.1
Snapshot and Streaming Requests
Many domains generally support issuing a request message with or without setting the ReqMsg.InterestAfterRefresh flag.
When the flag is set, the request is known as a “streaming” request, meaning that the refresh will be followed by updates.
When a snapshot request is made, the refresh should have a StreamState of StreamState::NonStreamingEnum. When the
final part of the refresh is received, the stream is considered closed (the final refresh is indicated by the
RefreshMsg.Complete flag on the RefreshMsg). The consumer should be prepared to receive status messages or update
messages between the first and final parts of the refresh (if the domain supplies only single part refresh messages, like Market
Price, no updates would be delivered on the stream).
2.6.2
Reissue Requests and Pause/Resume
A consumer application can request a new refresh and change certain parameters on an already requested stream. To do so,
the application sends a subsequent ReqMsg on the same stream. This is known as a reissue.
A reissue changes the priority of a stream and pauses or resumes data flow.
•
To pause streaming data, the application can send a reissue with the ReqMsg.Pause flag. Issuing a pause on the
Login stream is interpreted as a Pause All request, resulting in all streams being paused.
•
To resume data flow on the stream, the application can send a subsequent reissue with the
ReqMsg.InterestAfterRefresh flag. Issuing a resume on the Login stream is interpreted as a Resume All.
Pause and Resume is provided as a best effort, and data may continue streaming even after a pause has been issued.
For further details on reissue requests, changeable parameters, and Pause and Resume functionality, refer to the Message
API Java Edition Developers Guide.
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Chapter 2
2.6.3
Domain Model Overview
Clearing the Cache on Refreshes
If you perform a refresh, you might need to clear the cache. To clear the cache, call RefreshMsg.ClearCache with a value of
true. For further details on using the clear cache flag, refer to the Message API Java Edition Reference Guide.
RefreshMsg().clearCache(true);
When clearing a cache, you must observe the following conditions:
•
Pass true value on all solicited level 1 data refreshes.
•
Pass true value only in the first part of solicited level 2 data refreshes.
•
Calling this function on unsolicited refreshes depends on the application and its intent:
2.6.4
-
If set to true on an unsolicited refresh, the cache is cleared and populated with new data.
-
If not set to true on the unsolicited refresh, new data is overlaid onto the existing data. In this case, the resulting
image / refresh is a superset of fields currently contained in cache combined with the set brought by the current
refresh.
Dynamic View
A dynamic view allows a consumer application to specify a subset of data content in which it is interested. A providing
application can choose to supply only this requested subset of content across all response messages. This filtering results in
reduced data flow across the connection. View use can be leveraged across all non-administrative domain model types, where
specific usage and support should be indicated in the model definition. The provider indicates its support for view requesting
via the SupportViewRequests Login attribute, as described in Section 3.3.1. For more information on dynamic views, refer to
the Message API Java Edition Developers Guide.
Note: Currently, ADS supports view-only on Market Price Level 1 data. As a result, this causes the Elektron Message API to
provide view on Market Price Level 1.
2.6.5
Batch Request
A batch request allows a consumer application to indicate interest in multiple like-item streams with a single ReqMsg. A
providing application should respond by providing a status on the batch request stream itself and with new individual item
streams for each item requested in the batch. Batch requesting can be leveraged across all non-administrative domain model
types. The provider indicates its support for batch requests via the SupportBatchRequests Login attribute, as described in
Section 3.3.1. For more information on batch requests, refer to the Message API Java Edition Developers Guide.
2.6.6
Posting
Posting offers an easy way for an OMM consumer application to publish content to upstream components which can then
provide the information. This can be done off-stream using the Login domain or on-stream using any other non-administrative
domain. Use PostMsg to post content to the system. A PostMsg can contain any OMM container type as its payload (but this is
often a Msg). A provider indicates support for posting via the SupportOMMPost Login attribute, as described in Section 3.3.1.
For more information on posting, refer to the Message API Java Edition Developers Guide.
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Chapter 3
Login Domain
Chapter 3 Login Domain
3.1
Description
The Login domain registers a user with the system, after which the user can request1 or post2 RDM content. A Login request
can also be used to authenticate a user with the system.
•
•
A consumer application must log into the system before it can request or post content.
A non-interactive provider application must log into the system before providing any content.
For further details:
•
•
•
•
Section 3.2 details the use of each message within the Login domain.
Section 3.3 presents the message payloads.
Section 3.4 includes a brief summary of login handling and authentication.
Section 3.5 - Section 3.7 cover specific use case scenarios.
1. Consumer applications can request content after logging into the system.
2. Consumer applications can post content, which is similar to contribution or unmanaged publication, after logging into the system.
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Chapter 3
3.2
Usage
3.2.1
Login Request Message
Login Domain
A Login request message is encoded and sent by OMM consumer and OMM non-interactive provider applications internally in
the constructor of this class. This message registers a user with the system. After receiving a successful login response,
applications can then begin consuming or providing additional content. An OMM interactive provider can use the Login request
information to authenticate users with DACS.
You can configure a login request message using the following methods.
METHOD NAME
DESCRIPTION
OmmConsumerConfig.username()
Required.
Specifies the user name for login request message.
OmmConsumerConfig.password()
Optional
Specifies the password for login request message.
OmmConsumerConfig.position()
Optional
Specifies the position for login request message.
OmmConsumerConfig.applicationId()
Optional
Specifies the authorization application identifier for login request message.
OmmConsumerConfig.addAdminMsg() Optional
Specifies a login request message to override the default login request.
Table 4: Configure Login Request Message
An initial Login request must be streaming (i.e., a ReqMsg.InterestAfterRefresh flag set to true is required). After the initial
Login stream is established, subsequent Login requests using the same login handle can be sent to obtain additional refresh
messages, pause the stream, or resume the stream. If a login stream is paused, this is interpreted as a ‘Pause All’ request
which indicates that all item streams associated with the user should be paused. A login stream is paused by specifying
ReqMsg.Pause to true. To resume data flow on all item streams (also known as a Resume All), users need to call
ReqMsg.InterestAfterRefresh with true value. For more information, refer to the Message API Java Edition Developers
Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_LOGIN = 1
Interactions
Conditional.
•
Setting InitialImage to true indicates that an initial image is required.
•
Setting InterestAfterRefresh to true indicates that a streaming request is required. A
streaming request is required before any other requests. Non-streaming requests are
unsupported.
•
Setting Pause set to true indicates that a pause is required. A pause request is a request to
pause all item streams associated with the login. To resume all item streams associated
with the login, issue another streaming request.
QOS
Not used.
worstQos
Not used.
Table 5: Login Request Message
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COMPONENT
DESCRIPTION / VALUE
extendedHeader
Not used.
ServiceId
Not used.
NameType
Optional. Possible values are:
•
USER_NAME
•
USER_EMAIL_ADDRESS
•
USER_TOKEN
•
USER_COOKIE
•
USER_AUTHN_TOKEN
Login Domain
If NameType is not set, it is assumed to be USER_NAME.
A type of USER_NAME typically corresponds to a DACS user name. This can be used to
authenticate and permission a user.USER_TOKEN is specified when using the AAA API The
user token is retrieved from a AAA API gateway and then passed through the system via the
Name. To validate users, a provider can pass this user token to an authentication manager
application.
If you specify USER_AUTHN_TOKEN, you must also set Name to a single, null character (i.e.,
a 0x00 binary), and include an AuthenticationToken element in the Attrib. For details on
the AuthenticationToken, refer to Section 3.2.2.
Both USER_TOKEN and USER_AUTHN_TOKEN can periodically change: when it changes,
an application can send a login reissue to pass information upstream.
•
For further details on using USER_TOKEN, refer to the AAA API documentation.
•
For further details on using USER_AUTHN_TOKEN, refer to the TREP Authentication User
Manual.a
Name
Required. Name should be populated with appropriate content corresponding to the NameType
specification.
Filter
Not used.
Identifier
Not used.
Attrib
Optional. Typically an ElementList. Attributes are specified in Section 3.2.2.
Payload
Not used.
Table 5: Login Request Message (Continued)
a. For further details on TREP Authentication, refer to the TREP Authentication User Manual, accessible on Thomson Reuters MyAccount in the DACS
product documentation set.
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Chapter 3
3.2.2
Login Domain
Login Request Elements
You can use the Login Attrib elements to send additional authentication information and user preferences between
components. The ReqMsg.Attrib ReqMsg.Attrib is an ElementList. The predefined elements available on a Login Request
are shown in the following table.
ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/
EXAMPLE
DESCRIPTION
AllowSuspectData
UINT
0|1
•
ApplicationAuthorizationToken
ASCII
Sequence of single
byte characters
from the base36
character set ([09][A-Z])
Indicates that application behaviors was
inspected and approved by Thomson Reuters.
For more information on obtaining an application
authorization token, contact your Thomson
Reuters representative.
ApplicationId
ASCII
1 - 65535
e.g., 256
The DACS application ID. If the server
authenticates with DACS, the consumer
application might need to pass in a valid
ApplicationId. This must be unique for each
application. IDs from 1 to 256 are reserved for
permanent market data applications. These are
assigned by Thomson Reuters and will be uniform
across all client systems. IDs from 257 to 65535
are available for site-specific use.
ApplicationName
ASCII
Name of
application e.g.,
Elektron Message
API
Identifies the application sending the Login
request or response message. When present, the
application name in the Login request identifies
the OMM consumer, and the application name in
the Login response identifies the OMM provider.
AuthenticationExtended
BUFFER
Any binary buffer
This is a binary buffer whose content will be
passed to the token authenticator as an additional
means for verifying a user’s identity.
AuthenticationToken
ASCII
Any ASCII String,
e.g., HOLDER
Conditional. AuthenticationToken is a
client-generated token that identifies the user
when operating in an environment that uses
TREP Authenticationa. On login reissue
messages, this field contains a new token
intended to replace the previous one about to
expire.
If your TREP system has TREP Authentication
enabled, AuthenticationToken is included in
the message.
The default setting is: "" (an empty string)
DisableDataConversion
N/A
N/A
Reserved by TR.
1: Indicates that the consumer application
allows a OmmState.Suspect state. 1 is the
default setting.
• 0: Indicates that the consumer application
prefers any suspect data result in the stream
being closed with an
OmmState.ClosedRecover state.
For more information, refer to Section 3.4.5.
Table 6: Login Request Attrib Elements
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Login Domain
ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/
EXAMPLE
DownloadConnectionConfig
UINT
0|1
Specifies whether to download the configuration:
• 1: Indicates the user wants to download
connection configuration information.
• 0 (or if absent): Indicates that no connection
configuration information is desired. 0 is the
default setting.
InstanceId
ASCII
Any ASCII String,
e.g., Instance1
InstanceId is used to differentiate applications
that run on the same machine. However, because
InstanceId is set by the user logging into the
system, it does not guarantee uniqueness across
different applications on the same machine.
Password
ASCII
my_password
Sets the password for logging into the system.
This information may be required and encrypted
in the future.
Position
ASCII
ip addr/hostname
ip addr/net
e.g., 192.168.1.1/
net
DACS position. If the server is authenticating with
DACS, the consumer application might need to
pass in a valid position.
ProvidePermissionExpressions
UINT
0|1
If specified on the Login Request, this indicates a
consumer wants permission expression
information to be sent with responses. Permission
expressions allow for items to be proxy
permissioned by a consumer via content-based
entitlements.
ProvidePermissionExpressions defaults to
1.
ProvidePermissionProfile
UINT
0|1
When specified on a Login Request, indicates
that a consumer desires the permission profile.
An application can use the permission profile to
perform proxy permissioning.
ProvidePermissionProfile defaults to 1.
Role
UINT
LOGIN_ROLE_CO Indicates the role of the application logging onto
NS = 0,
the system.
LOGIN_ROLE_PR • An OMM consumer application should specify
OV = 1
its role as LOGIN_ROLE_CONS.
• An OMM non-interactive provider application
should specify its role as
LOGIN_ROLE_PROV.
• EMA defaults the role element with a value of
1.
OMM consumer applications typically connect to
a different port number than non-interactive
provider applications. Role information allows
TREP to detect and inform users of incorrect port
use.
Role defaults to 0.
DESCRIPTION
Table 6: Login Request Attrib Elements (Continued)
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Login Domain
ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/
EXAMPLE
DESCRIPTION
SingleOpen
UINT
0|1
•
SupportProviderDictionaryDownload UINT
0|1
Indicates whether the server supports the
Provider Dictionary Download feature:
• 1: The server supports provider dictionary
downloads.
• 0: The server does not support provider
dictionary downloads.
If this element is missing, the server does not
support provider dictionary downloads.
For more information on the provider dictionary
download feature, refer to the Message API Java
Edition Developers Guide.
SupportProviderDictionaryDownload
defaults to 0.
1: Indicates the consumer application wants
the provider to drive stream recovery.
• 0: Indicates that the consumer application will
drive stream recovery.
For more information, refer to Section 3.4.5.
SingleOpen defaults to 1.
Table 6: Login Request Attrib Elements (Continued)
a. For further details on TREP Authentication, refer to the TREP Authentication User Manual, accessible on Thomson Reuters
MyAccount in the DACS product documentation set.
3.2.3
Login Request Domain Representation
The Domain Representation of the Login Request Message is an easy-to-use object which can set up and return an encoded
OMM Login Request Message without extensive effort. You can find this object in EMA’s Login package.
Login.LoginReq loginRequest = EmaFactory.Domain.createLoginReq();
loginRequest.name("user");
loginRequest.applicationId("127");
loginRequest.position("127.0.0.1/net");
loginRequest.allowSuspectData(true);
long loginHandle = consumer.registerClient(loginReq.message(), appClient);
Figure 3. Login Request Domain Representation Code Usage Example
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3.2.4
Login Domain
Login Refresh Message
A Login refresh message is encoded using RefreshMsg and sent by OMM interactive provider applications. This message is
used to respond to a Login Request message after the user’s Login is accepted. An OMM provider can use the Login request
information to authenticate users with DACS. After authentication, a refresh message is sent to convey that the login was
accepted. If the login is rejected, a Login status message should be sent as described in Section 3.2.7.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_LOGIN = 1
State
Optional.
For the Refresh message, when accepting Login:
Solicited
Indications
•
StreamState = OmmState.Open
•
DataState = OmmState.Ok
•
StatusCode = OmmState.None
Required. Specifies whether the refresh was solicited.
•
true: Indicates that the refresh was solicited.
•
false: Indicates that the refresh was unsolicited.
•
Required: Complete set to true, which indicates the refresh is complete. The content of a Login
Refresh message is expected to be atomic and contained in a single part, therefore
RefreshMsg.Complete must be set to true.
•
Optional: ClearCache set to true, which indicates to clear the cache.
QOS
Not used.
SeqNum
Not used.
ItemGroup
Not used.
PermissionData
Not used.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Optional.
Possible values:
•
USER_NAME
•
USER_EMAIL_ADDRESS
•
USER_TOKEN
•
•
USER_AUTHN_TOKEN
If NameType is not set then it is assumed to be a NameType of USER_NAME.
If present, the value should match the type specified in the Login request.
Name
Optional.
Name should match the Name specified in the Login request and contain appropriate content
corresponding to the NameType specification.
Filter
Not used.
Table 7: Login Refresh Message
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COMPONENT
DESCRIPTION / VALUE
Identifier
Not used.
Attrib
Optional.
Login Domain
Typically an ElementList. Elements are specified in Section 3.2.5.
Payload
Optional.
Typically present when login requests connection configuration or permission profile information. The
payload is sent as an ElementList. For payload details, refer to Section 3.3.1.
Table 7: Login Refresh Message (Continued)
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3.2.5
Login Domain
Login Refresh Elements
The Login Attrib can be used to send additional authentication information and user preferences between components. The
attribContainerType is an ElementList, which can contain any of the following predefined elements (none of which are
required):
ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/EXAMPLE DESCRIPTION
AllowSuspectData
UINT
0|1
Sets whether the provider application passes
along suspect StreamState information.
•
1: The provider application passes along
suspect StreamState information. 1 is the
default setting.
•
0: The provider application does not pass
along suspect data.
Any suspect stream will be closed with an
OmmState.ClosedRecover state.
For more information, refer to Section 3.4.5.
ApplicationId
ASCII
1 - 65535
e.g., 256
Specifies the DACS application ID. If the
server authenticates with DACS, the
consumer application may be required to pass
in a valid ApplicationId. This should match
whatever was sent in the request. This must
be unique for each application. IDs from 1 to
256 are reserved for permanent market data
applications. Thomson Reuters assigns these
and they are uniform across all client systems.
IDs from 257 to 65535 are available for sitespecific use.
ApplicationName
ASCII
name of application Identifies the application sending the Login
request or response message. When present,
e.g., Elektron
the application name in the Login request
Message API
identifies the OMM consumer and the
application name in the Login response
identifies the OMM provider.
AuthenticationErrorCode
UINT
From 0 to
4294967296
AuthenticationErrorText
ASCII
User-defined value Text accompanying and explaining the
AuthenticationErrorCode.
AuthenticationExtendedResp
BUFFER
User-defined value This is a binary buffer.
Specifies the code for a specific TREP
Authentication error (or non-error) condition. 0
indicates no error condition and is the default
setting.
AuthenticationExtendedResp contains
additional customer-defined data associated
with the AuthenticationToken element sent
in the original Login Request.
Table 8: Login Refresh Attrib Elements
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ELEMENT NAME
DATA TYPE
ENUMERATION
AuthenticationTTReissue
UINT
User-defined value Indicates when a new authentication token
needs to be reissued (in UNIX epoch time).
Position
ASCII
ip addr/hostname
or ip addr/net
RANGE/EXAMPLE DESCRIPTION
e.g.:
192.168.1.1/net
ProvidePermissionExpressions
UINT
0|1
Specifies the DACS location. If the server
authenticates with DACS, the consumer
application might be required to pass in a valid
position. If present, this should match
whatever was sent in the request or be set to
the IP address of the connected client.
If specified on a Login Refresh, indicates that
a provider will send permission expression
information with its responses.
ProvidePermissionExpressions is typically
present because the login request message
requested this information. Permission
expressions allow for items to be proxy
permissioned by a consumer via contentbased entitlements.
ProvidePermissionExpressions defaults to
1.
ProvidePermissionProfile
UINT
0|1
If specified on the Login Refresh, indicates
that the permission profile is provided. This is
typically present because the login request
message requested this information. An
application can use the permission profile to
perform proxy permissioning.
ProvidePermissionProfile defaults to 1.
SingleOpen
UINT
0|1
Specifies whether the provider drives stream
recovery:
•
1: The provider drives stream recovery. 1 is
the default setting.
•
0: The provider does not drive stream
recovery; it is the responsibility of the
downstream application.
For more information, refer to Section 3.4.5.
Table 8: Login Refresh Attrib Elements (Continued)
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ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/EXAMPLE DESCRIPTION
SupportBatchRequests
UINT
0, 7
Login Domain
Indicates whether the provider supports batch
messages. Consumers use batch messages
to specify multiple items or streams in the
same request or close message. For more
information on batch requesting, refer to the
Message API Java Edition Developers Guide.
•
0x0 (or if absent): The provider does not
support batch messages. 0 is the default
setting.
•
0x1: The provider supports batch request.
•
0x2: The provider supports batch reissue.
•
0x4: The provider supports batch close.
For instance, if value is set to 7, then based on
combination of bits set (0x1 + 0x2 + 0x4),
provider supports batch request, reissue, and
close.
SupportEnhancedSymbolList
SupportOMMPost
UINT
UINT
0|1
0|1
Indicates whether the provider supports
enhanced symbol list functionality.
•
0: The provider does not support Symbol
List enhancements. 0 is the default setting.
•
1: The provider supports Symbol List data
streams.
Indicates whether the provider supports OMM
posting and whether the user is permissioned
to post:
•
1: The provider supports OMM posting and
the user is permissioned.
•
0: The provider supports the OMM posting
feature, but the user is not permissioned. 0
is the default setting.
•
If absent, the server does not support the
OMM Post feature.
For more information on Posting, refer to the
Message API Java Edition Developers Guide.
Table 8: Login Refresh Attrib Elements (Continued)
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ELEMENT NAME
DATA TYPE
ENUMERATION
SupportOptimizedPauseResume UINT
SupportPauseResume
UINT
SupportProviderDictionaryDownl UINT
oad
Login Domain
RANGE/EXAMPLE DESCRIPTION
0|1
0|1
0|1
Indicates whether the provider supports
Optimized Pause and Resume. Optimized
Pause and Resume allows for pausing/
resuming of individual item streams or
pausing all item streams (by pausing the Login
stream). For more information on Pause and
Resume, refer to the Message API Java
Edition Developers Guide.
•
1: The server supports optimized pause
and resume.
•
0 (or if absent): The server does not
support optimized pause and resume. 0 is
the default setting.
Indicates whether the server supports pause
and resume.
•
1: The server supports pause and resume.
•
0: (or if absent): The server does not
support pause and resume. 0 is the default
setting.
Indicates whether the server supports the
Provider Dictionary Download feature:
•
1: The server supports the provider
dictionary download.
•
0: The server does not support the
provider dictionary download feature. 0 is
the default setting.
If this element is missing, the server does not
support the provider dictionary download
feature.
For more information on the provider
dictionary download feature, refer to the
Message API Java Edition Developers Guide.
Table 8: Login Refresh Attrib Elements (Continued)
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ELEMENT NAME
DATA TYPE
ENUMERATION
RANGE/EXAMPLE DESCRIPTION
SupportStandby
UINT
0|1
Login Domain
Indicates whether the provider supports Warm
Standby functionality. If supported, a provider
can be told to run as an active or a standby
server, where the active will behave as usual.
The standby will respond to item requests only
with the message header and will forward any
state changing information. If informed that
the active server failed, the standby begins
sending responses and assumes active
functionality.
•
1: The provider supports a Warm Standby
group setup.
•
0 (or if absent): The provider does not
support warm standby functionality. 0 is the
default setting.
For more information on Warm Standby
functionality, refer to Section 3.2.12.
SupportViewRequests
UINT
0|1
Indicates whether the provider supports
requesting with Dynamic View information.
Using Dynamic Views, a user can request only
the specific contents of the response
information in which they are interested. For
more information on using Dynamic Views,
refer to the Message API Java Edition
Developers Guide.
•
1: The provider supports Dynamic Views
specified on request messages.
•
0 (or if absent): The provider does not
support Dynamic Views specified on
request messages. 0 is the default setting.
Table 8: Login Refresh Attrib Elements (Continued)
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3.2.6
Login Domain
Login Refresh Domain Representation
The Domain Representation of the Login Refresh Message is an easy-to-use object which can set up and return an encoded
OMM Login Refresh Message without extensive effort. You can find this object in EMA’s Login package.
LoginRefresh loginRefresh = EmaFactory.Domain.createLoginRefresh();
loginRefresh.allowSuspectData(true);
loginRefresh.singleOpen(true);
loginRefresh.name("user");
loginRefresh.solicited(true);
loginRefresh.state( OmmState.StreamState.OPEN, OmmState.DataState.OK, OmmState.StatusCode.NONE, "Login
accepted");
ommProvider.submit( loginRefresh.message(), handle);
Figure 4. Login Refresh Domain Representation Code Usage Example
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3.2.7
Login Domain
Login Status Message
OMM provider and OMM non-interactive provider applications use the Login status message to convey state information
associated with the login stream. Such state information can indicate that a login stream cannot be established or to inform a
consumer of a state change associated with an open login stream.
The Login status message can also be used to reject a login request or close an existing login stream. When a login stream is
closed via a status, any other open streams associated with the user are also closed as a result.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_LOGIN = 1
State
Optional.
For Status, when rejecting Login:
•
StreamState = OmmState.Closed
•
DataState = OmmState.Ok
•
StatusCode = OmmState.NotAuthorized
For Status, when user needs to retry login, for example when DACS is not yet connected to
ADS:
•
StreamState = OmmState.ClosedRecover
•
DataState = OmmState.Suspect
•
StatusCode = OmmState.NotAuthorized
SeqNum
Optional.
ItemGroup
Not used.
PermissionData
Not used.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Optional. Possible values:
•
USER_NAME
•
USER_EMAIL_ADDRESS
•
USER_TOKEN
•
USER_COOKIE
If present, NameType should match the type specified in the Login request. If NameType is
unspecified, it is assumed to be a NameType of USER_NAME.
Name
Optional. Name should match the one used in the Login request and should contain appropriate
content corresponding to the specification.
Filter
Not used.
Identifier
Not used.
Attrib
Optional.
Typically an ElementList. For the contents of ElementList, refer to Section 3.2.5.
Payload
Not used.
Table 9: Login Status Message Member Use
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3.2.8
Login Domain
Login Status Elements
The Login Attrib can be used to send additional authentication information and user preferences between components. The
attribContainerType is an ElementList, which can contain any of the following predefined elements (none of which are
required):
ELEMENT NAME
DATA TYPE
ENUMERATION
AuthenticationErrorCode
UINT
AuthenticationErrorText
ASCII
RANGE/EXAMPLE DESCRIPTION
From 0 to
4294967296
Specifies the code for a specific TREP
Authentication error (or non-error) condition. 0
indicates no error condition and is the default
setting.
Text accompanying and explaining the
AuthenticationErrorCode.
Table 10: Login Status Attrib Elements
3.2.9
Login Status Domain Representation
The Domain Representation of the Login Status Message is an easy-to-use object which can set up and return an encoded
OMM Login Status Message without extensive effort. You can find this object in EMA’s Login package.
Login.LoginStatus loginStatus = EmaFactory.Domain.createLoginStatus();
if (requestMsg.hasNameType())
loginStatus.nameType(requestMsg.getNameType());
if (requestMsg.hasName())
loginStatus.name(requestMsg.getName());
loginStatus.state( OmmState.StreamState.CLOSED, OmmState.DataState.SUSPECT,
OmmState.StatusCode.NOT_FOUND, "Invalid domain");
ommProvider.submit(loginStatus.message(), handle);
Figure 5. Login Status Domain Representation Code Usage Example
3.2.10
Login Update Message
Update messages are currently not used or supported on a Login stream.
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3.2.11
Login Domain
Login Close Message
A Login close message is encoded and sent by OMM consumer applications. This message allows a consumer to log out of
the system. Closing a login stream is equivalent to a ‘Close All’ type of message, where all open streams are closed (thus all
other streams associated with the user are closed). A provider can log off a user and close all of that user’s streams via a
Login Status message (for details, refer to Section 3.2.7).
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_LOGIN = 1
extendedHeader
Not used.
Payload
Not used.
Table 11: Login Close Message Member Use
3.2.12
Login Generic Message Use
Note: The Elektron Message API supports GenericMsg use on the Login domain only for the sending and receiving of
information related to “ConsumerConnectionStatus” Warm Standby Mode.
A Login generic message is encoded and sent by OMM consumer applications. This message informs an interactive provider
of its role in a Warm Standby group (either as an Active or Standby provider). When Active, a provider behaves normally.
However, if a provider is Standby, it responds to requests only with a message header (intended to allow a consumer
application to confirm the availability of their requested data across active and standby servers), and forwards any staterelated messages (i.e., unsolicited refresh messages, status messages). While in Standby mode, a provider should aggregate
changes to item streams whenever possible. If the provider is changed from Standby to Active via this message, all
aggregated update messages are passed along. When aggregation is not possible, a full, unsolicited refresh message is
passed along.
The consumer application is responsible for ensuring that items are available and equivalent across all providers in a warm
standby group. This includes managing state and availability differences as well as item group differences.
Content for a Login Generic message is expected to be atomic and contained in a single part, therefore
GenericMsg.Complete should be present in the Generic message’s flags.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_LOGIN = 1
Indications
Required.
Complete: true, indicates that the refresh is complete.
PartNum
Not used.
SeqNum
Not used.
secondarySeqNum
Not used.
PermissionData
Not used.
extendedHeader
Not used.
Table 12: Login Generic Message Member Use
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COMPONENT
DESCRIPTION / VALUE
ServiceId
Not used.
NameType
Not used.
Name
Required. Name must be set to ConsumerConnectionStatus.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. Indicates whether a provider acts as an Active or Standby server. Payload is sent as
a Map type. For further details, refer to Section 3.3.2.
Table 12: Login Generic Message Member Use (Continued)
3.2.13
Login Post Message
OMM consumer applications can encode and send data for any item via Post messages on the item’s Login stream. This is
known as off-stream posting because items are posted without using that item’s dedicated stream. Posting an item on its
own dedicated stream is referred to as on-stream posting.
When an application is posting off-stream, the PostMsg requires Name and ServiceId information. For more details on posting,
refer to the Message API Java Edition Developers Guide.
3.2.14
Login Ack Message
OMM provider applications encode and send acknowledgment messages (AckMsg) to acknowledge the receipt of Post
messages. This message is used whenever a consumer is posting off-stream and asks for acknowledgments. The
acknowledgment contains a positive (ACK) or negative (NACK) code. For more details on posting, see the Message API Java
Edition Developers Guide.
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3.3
Data
3.3.1
Login Refresh Message Payload
Login Domain
When a Login request message asks for connection configuration information (i.e., DownloadConnectionConfig = 1), a
provider capable of supplying these details should respond with extended connection information in the RefreshMsg payload.
This information can be useful for load balancing connections across multiple providers or ADS components. Load balancing
can be set up in a manner where some well-known providers act solely as load-balancing servers, monitoring the load and
state of other providers and directing consumers to less-loaded providers to handle the information exchange.
The extended connection information contains a list of other providers, along with connection and load-related information,
and is formatted as a sorted Vector type, where each VectorEntry contains an ElementList. Each vector entry contains
data specific to one provider. The summary data (an ElementList) contains information about the number of standby
providers to which the consumer should connect. If this value is non-zero, the consumer is expected to support Warm Standby
functionality and connect to multiple providers.
The list should be sorted in order of best to worst choice.
Figure 6. Login Refresh Message Payload
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When the payload is present, the summary data ElementList must contain the following element (which has no default):
NAME
TYPE
RANGE/EXAMPLE DESCRIPTION
NumStandbyServers
UINT
0 - 0xFFFFFFFF
value
Specifies the number of standby servers to
which the client can connect.
If set to 0, only one provider is connected,
which serves as the primary connection (i.e.,
warm standby should not be attempted).
Table 13: Vector.SummaryData’s ElementList Contents
Each VectorEntry contains an ElementList, each list describing a single provider. Possible elements in this list are as
follows, with any default behavior included in the description:
NAME
TYPE
RANGE/EXAMPLE DESCRIPTION
Hostname
ASCII
“myHostName”
“192.168.1.100”
Conditional. Specifies the candidate
provider’s IP address or hostname. Hostname
is required when a payload is present.
Port
UINT
14002
Conditional. Specifies the candidate
provider’s port number. Port is required when
a payload is present.
LoadFactor
UINT
0 - 65535
Describes the load of the provider, where 0 is
the least loaded and 65535 is the most
loaded. The Vector is expected to be sorted,
so a consumer need not traverse the list to
find the least loaded; the first VectorEntry
should contain an ElementList describing
the least-loaded provider.
LoadFactor defaults to 65535.
ServerType
UINT
0|1
When using a warm standby setup,
ServerType specifies the provider’s expected
behavior:
SystemID
ASCII
•
0: This provider should be the Active
server.
•
1: This provider should be the Standby
server. 1 is the default setting.
For future use.
Table 14: ElementList Contents
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3.3.2
Login Domain
Login Generic Message Payload
The Login data structure for Payload is a Map of ASCII -> ElementList. Each key is a ServiceName. Each ElementList
contains one ElementEntry.There is no summary data and typically only one map entry that informs the provider of its warm
standby role.
Figure 7. Login Generic Message Payload
ELEMENT NAME
DATA TYPE
RANGE/EXAMPLE DESCRIPTION
WarmStandbyMode
UINT
0|1
Required. Informs an interactive provider of its role
in a Warm Standby group.
• 0: Informs the provider to be an Active server
• 1: Informs the provider to be a Standby server.
WarmStandbyMode does not have a default.
Table 15: MapEntry Elements
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3.4
Special Semantics
3.4.1
Login Direction
Login Domain
Login Request Messages are always sent from client to server, regardless of which is the provider and which is the consumer.
Consumers send a Login Request Message to the providers they connect to, while non interactive provider send a Login
Request Message to the consumer server.
3.4.2
Initial Login
An EMA Consumer sends a login request to an OMM Provider application on behalf of users who are using login attributes
specified in OmmConsumerConfig. Users can register to get a login handle to receive a login status or use the login handle to
reissue and post messages on a login stream.
3.4.3
Multiple Logins
EMA does not support multiple logins per OmmConsumer as login stream is opened internally by EMA. If multiple logins are
needed in the applications, users need to create additional OmmConsumer instances, one per login.
3.4.4
Group and Service Status
Group and service status messages do not apply to the Login domain.
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3.4.5
Login Domain
Single Open and Allow Suspect Data Behavior
The SingleOpen and AllowSuspectData Elements that are passed via the Attrib can effect how state information is
processed. When the provider indicates support for SingleOpen behavior, the provider should drive the recovery of item
streams. If no provider support is indicated, the consumer should drive any recovery.
The following table shows how a provider can convert messages to honor the consumer’s SingleOpen and
AllowSuspectData settings. The first column in the table shows the provider’s actual StreamState and DataState. Each
subsequent column shows how this state information can be modified to follow that column’s specific SingleOpen and
AllowSuspectData settings. If any SingleOpen and AllowSuspectData configuration causes a contradiction in behavior
(e.g., SingleOpen indicates that the provider should handle recovery, but AllowSuspectData indicates that the consumer
does not want to receive suspect status), SingleOpen behavior takes precedence.
The status in the table could be from a Directory STATE filter entry, from a Directory GROUP filter entry, or from an item Status
Message. For more information on Status, refer to the Message API Java Edition Developers Guide.
Note: The Elektron Message API does not perform any special processing based on the SingleOpen and AllowSuspectData
settings. The provider application must perform any necessary conversion.
If AcceptingRequests is FALSE, new requests should not be made to a provider application, regardless of ServiceState.
However, even if AcceptingRequests is FALSE, reissue requests can still be made for any item streams that are currently
open to the provider.
The following table uses the abbreviations:
•
SS for StreamState
•
DS for DataState
ACTUAL STATE
INFORMATION
MESSAGE SENT WHEN:
SINGLEOPEN = 1
ALLOWSUSPECTDATA = 1
MESSAGE SENT WHEN:
SINGLEOPEN = 1
ALLOWSUSPECTDATA = 0
MESSAGE SENT WHEN:
SINGLEOPEN = 0
ALLOWSUSPECTDATA = 1
MESSAGE SENT WHEN:
SINGLEOPEN = 0
ALLOWSUSPECTDATA =
0
SS = OPEN
DS = SUSPECT
SS = OPEN
DS = SUSPECT
SS = OPEN
DS = SUSPECT
SS = OPEN
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
SS = OPEN
DS = SUSPECT
SS = OPEN
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
New item request whena:
SS = OPEN
ServiceState = DOWN
DS = SUSPECT
AcceptingRequests = TRUE
SS = OPEN
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
SS = CLOSED_RECOVER
DS = SUSPECT
New item requests whena:
SS = OPEN
ServiceState = UP
DS = OK or SUSPECT based
AcceptingRequests = TRUE on individual item’s state.
SS = OPEN
DS = OK or SUSPECT based
on individual item’s state.
SS = OPEN
DS = OK or SUSPECT based
on individual item’s state.
If DS = OK: SS = OPEN
if DS = SUSPECT: SS =
CLOSED_RECOVER
SS = OPEN
New item requests whena:
ServiceState = UP or DOWN DS = SUSPECT based on
individual item’s state
AcceptingRequests =
FALSE
SS = OPEN
DS = SUSPECT based on
individual item’s state
SS = CLOSED_RECOVER
DS = SUSPECT based on
individual item’s state
SS = CLOSED_RECOVER
DS = SUSPECT
Connection goes down
SS = OPEN
DS = SUSPECT based on
individual item’s state
SS = CLOSED_RECOVER
DS = SUSPECT based on
individual item’s state
SS = CLOSED_RECOVER
DS = SUSPECT
SS = OPEN
DS = SUSPECT based on
individual item’s state
Table 16: SingleOpen and AllowSuspectData Handling
a. For more information, refer to Source Directory information in Chapter 4, Source Directory Domain.
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3.5
Login Domain
Specific Usage: RDF Direct Login
When sending a Login Request message to an RDF Direct, the Name can be an ASCII string composed of printable characters.
The Name is used for scoping some RDF Direct’s configuration. The NameType must be USER_NAME.
In the Attrib’s ElementList, SingleOpen, AllowSuspectData, and ProvidePermissionExpressions are supported.
ApplicationId, Position, Password, and ProvidePermissionProfile are ignored.
The request and response message Payloads have no data.
RDF Direct supports only one login per connection.
3.6
Specific Usage: Enterprise Platform
When sending a Login to a DACS-enabled Thomson Reuters Enterprise Platform (TREP), the Name should be a valid
username in DACS. The Attrib containing ApplicationId and Position will also be used for DACS authorization. Name is
used for scoping aspects of the TREP configuration. The NameType must be USER_NAME.
In the Attrib’s ElementList, ApplicationId, Position, SingleOpen, AllowSuspectData, and
ProvidePermissionExpressions are supported. Password and ProvidePermissionProfile are ignored. They may be
echoed to the consumer, but the values are not necessarily correct.
Request and response message Payloads have no data.
TREP supports only one login per connection.
3.7
Specific Usage: Login Credentials Update Feature
Internally Elektron Message API stores all login credentials (e.g., user name, name type, login attributes), so it can use them
later during connection recovery phase. These credentials can be changed by the application at any point in time after a
connection and login is established. To change login credentials, an application needs to reissue a login request message with
the new credentials. This new request message must meet the following criteria:
•
•
•
A new user name parameter, different from the one specified on a prior request or reissue, must be specified.
The NameType parameter must be specified as USER_TOKEN on all, the initial request and all subsequent reissues.
The Interactions set in the reissue must match the original InteractionType.
If all of the above conditions/criteria are met, Elektron Message API will send the reissue with the new login credentials to the
server and will internally store the new/updated login credentials to be used later during connection recovery. If all of the above
conditions/criteria are not met, Elektron Message API will apply the standard login reissue processing. If no new/updated login
credentials are specified by application, during the connection recovery phase Elektron Message API will use the previously
used ones.
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Source Directory Domain
Chapter 4 Source Directory Domain
4.1
Description
The Source Directory domain model conveys:
•
Information about all available services and their capabilities. This includes information about domain types supported
within a service, the service’s state, the QOS, and any item group information associated with the service. Each service is
associated with a unique ServiceName or ServiceId.
•
Status information associated with item groups. This allows a single message to change the state of all associated items,
avoiding the need to send a status message for each individual item. The consumer is responsible for applying any
changes to its open items. For details, refer to Section 4.3.1.2 and Section 4.3.1.3.
•
Source Mirroring information between an ADH and OMM interactive provider applications exchanged via a specificallyformatted generic message as described in Section 4.2.5.
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4.2
Usage
4.2.1
Source Directory Request Message
Source Directory Domain
A Directory request message is encoded using ReqMsg with default or user-configured values and sent internally by
OmmConsumer in the constructor of this class. A consumer can request information about all services by omitting ServiceName
or ServiceId information, or specify a ServiceName or ServiceId to request information about only that service. Because the
Source Directory domain uses a FilterList, a consumer can indicate the specific source related information in which it is
interested via a Filter. Each bit-value represented in the filter corresponds to an information set that can be provided in
response messages. A consumer can change the requested filter via a reissue. For more details about the FilterList type,
refer to the Message API Java Edition Developers Guide.
Users can configure a directory request message using the OmmConsumerConfig.addAdminMsg() to override the default
directory request.
Thomson Reuters recommends that a consumer application minimally request SERVICE_INFO_FILTER and
SERVICE_STATE_FILTER for the Source Directory:
•
The Info filter contains the ServiceName and ServiceId data for all available services. When an appropriate service is
discovered by the OMM Consumer, the ServiceName or ServiceId associated with the service is used on
subsequent requests to that service.
•
The State filter contains status data for the service. Status data informs the Consumer whether the service is up (and
available) or down (and unavailable).
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DIRECTORY = 4
Interactions
Required.
•
InitialImage: true, indicates initial image is required
•
InterestAfterRefresh: true, indicates streaming request is required
Only streaming and non-streaming requests are supported. If you need to send a
ConsumerStatus generic message over the Directory stream, you must specify the interaction
as "Streaming" in the request.
QOS
Not used.
worstQos
Not used.
priorityClass
Not used.
priorityCount
Not used.
extendedHeader
Not used.
NameType
Not used.
Name
Not used.
Table 17: Source Directory Request Message
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Source Directory Domain
COMPONENT
DESCRIPTION / VALUE
Filter
Required. Specifies a filter indicating the specific data in which a consumer is interested.
Available categories include:
•
SERVICE_INFO_FILTER = 0x01
•
SERVICE_STATE_FILTER = 0x02
•
SERVICE_GROUP_FILTER = 0x04
•
SERVICE_LOAD_FILTER = 0x08
•
SERVICE_DATA_FILTER = 0x10
•
SERVICE_LINK_FILTER = 0x20
For details on the contents of each filter entry, refer to Section 4.3.1.1.
ServiceName
Optional.
•
If present, the directory request is for the specified service.
•
If neither the ServiceId nor the ServiceName is specified, then the request is for the entire
directory.
Note: If the application requests a specific service, it should set either the ServiceId or
ServiceName of the service, but not both.
ServiceId
Optional.
•
If present, the directory request is for the specified service.
•
If neither the ServiceId nor the ServiceName is specified, then the request is for the entire
directory.
Note: If the application requests a specific service, it should set either the ServiceId or
ServiceName of the service, but not both.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 17: Source Directory Request Message (Continued)
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4.2.2
Source Directory Domain
Source Directory Refresh Message
A Directory Refresh Message is encoded using a RefreshMsg and sent by OMM provider and OMM non-interactive provider
applications. This message provides information about currently-known services, as well as additional details ranging from
state information to provided domain types.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DIRECTORY = 4
State
Required. Indicates stream and data state information.
Solicited
Required. Specifies whether the refresh was solicited. Available values are:
Indications
•
true: Indicates the refresh was solicited.
•
false: Indicates the refresh was unsolicited.
Conditional.
•
Complete: true, indicates refresh complete
•
ClearCache: true, indicates clear cache
•
DoNotCache: true, indicates this refresh message must not be cached.
For more details, refer to the FilterEntries in Section 4.3.1.
QOS
Not used.
SeqNum
Optional. A user-specified, item-level sequence number that the application can use to
sequence messages within this stream.
ItemGroup
Not used.
PermissionData
Not used.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Not used.
Name
Not used.
Filter
Required. Identifies the filtered entries provided in this response. When possible, this should
match the filter set in the consumer’s request. For additional details, refer to the Filter
member in Section 4.2.1.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The payload contains data about available services in the form of a Map where each
entry’s key is one ServiceName. For additional details, refer to Section 4.3.1.
Table 18: Source Directory Refresh Message
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4.2.3
Source Directory Domain
Source Directory Update Message
A Source Directory Update Message is encoded using an UpdateMsg and sent by OMM provider and OMM non-interactive
provider applications. An Update message can:
•
Indicate the addition or removal of services from the system or changes to existing services.
•
Convey item group status information via the State and Group filter entries. For more information about item group
use, refer to the Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DIRECTORY = 4
Indications
Conditional.
•
DoNotCache: true, indicates this update message must not be cached.
•
DoNotConflate: true, indicates this update message must not be conflated.
For more details, refer to the FilterEntries in Section 4.3.1.
UpdateTypeNum
Not used.
SeqNum
Optional. A user-specified, item-level sequence number that the application can use to
sequence messages in this stream.
ConflatedCount
Not used.
ConflatedTime
Not used.
PermissionData
Not used.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Not used.
Name
Not used.
Filter
Optional. The Filter indicates which filter entries are provided in this response. For an
update, this conveys only the ID values associated with filter entries present in the update
payload.
For more details, refer to the Filter member in Section 4.2.1.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The payload contains only the changed information associated with the provided
services. For more details, refer to Section 4.3.1.
Table 19: Source Directory Update Message
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4.2.4
Source Directory Domain
Source Directory Status Message
A Source Directory status message is encoded using a StatusMsg and sent by both OMM interactive provider and noninteractive provider applications. This message conveys state change information associated with a source directory stream.
Such state information can indicate that a directory stream cannot be established or to inform a consumer of a state change
associated with an open directory stream. The Directory Status message can also be used to close an existing directory
stream.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DIRECTORY = 4
State
Optional. Contains stream and data state information for the directory stream.
•
StreamState
•
DataState
•
StatusCode
ItemGroup
Not used.
Indications
Optional.
ClearCache: true, Indicates the application should clear its cache
For more details, refer to the FilterEntries described in Section 4.3.1.
PermissionData
Optional. If present, this is the new permissioning information associated with all contents on
the stream.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Not used.
Name
Not used.
Filter
Required. The filter represents the filter entries being provided in this response. When
possible, this should match the filter as set in the consumer’s request.
For additional details, refer to the Filter member in
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 20: Source Directory Status Message
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4.2.5
Source Directory Domain
Source Directory Generic Message
A Source Directory Generic message is encoded and sent by an ADH when using a ‘hot standby’ configuration. When running
in hot standby mode, the ADH can leverage source mirroring and use a generic message to convey usage information to
upstream providers. A generic message can inform providers whether the ADH is an active server without a standby
(ActiveNoStandby), an active server with a standby (ActiveWithStandby) or a standby provider (Standby). This message is
mainly for informational purposes, and allows a provider to better understand their role in a hot standby environment (the
provider does not require a return action or acknowledgment).
A provider indicates each service’s ability to process this message via the AcceptingConsumerStatus element in its Source
Directory responses (refer to Section 4.3.1.1).
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DIRECTORY = 4
PartNum
Not used.
SeqNum
Optional. A user-specified, item-level sequence number that the application can use to
sequence messages in this stream.
secondarySeqNum
Not used.
PermissionData
Not used.
extendedHeader
Not used.
NameType
Not used.
Name
Required. The name of this message must be ConsumerStatus.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The payload is a Map whose entries contain the Source Mirroring status for each
service. For the full structure, refer to Section 4.3.2.
Table 21: Source Directory Generic Message
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4.3
Data
4.3.1
Source Directory Refresh and Update Payload
Source Directory Domain
A list of services is represented by a Map. Each MapEntry represents a known service and is uniquely identified by its
ServiceId (i.e., its key).
The information about each service is represented as a FilterList. Each FilterEntry contains one of six different
categories of information. These categories should correspond to the Filter member of the refresh or update. These
categories are described in Table 23.
Figure 8. Source Directory Refresh and Update Message Payload
KEY TYPE
CONTAINER TYPE
PERMISSION DATA
DESCRIPTION
UINT for a service ID
FilterList
Not used
Contains information for each known service.
The key is the service’s ServiceId.
Table 22: Source Directory Map Contents
There are six categories of information about a service, each represented by one FilterEntry. Categories can be added or
updated in update messages (note that the clear action FilterEntry.Clear is not used, and that the Info category should not
change) for Directory and Dictionary domain message models as part of a reissue. None of these categories use permission
data. In the following table, the description for each FilterEntry includes whether the content is extensible.
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FILTERENTRY ID
(CORRESPONDING FILTER BIT-VALUE)
Source Directory Domain
TYPE
DESCRIPTION
SERVICE_INFO_ID=
(SERVICE_INFO_FILTER=)
ElementList
Provider applications must be able to provide
this information.
Identifies a service and its available data. This
content is extensible.
Refer to.
SERVICE_STATE_ID
(SERVICE_STATE_FILTER=
ElementList
Provider applications must be able to provide
this information.
Describes the current state of a service (i.e., the
service’s current ability to provide data). Can also
change the status of all items associated with this
service. This content is not extensible.
The effects of this category occur immediately.
Therefore, the initiating UpdateMsg should set
DoNotConflate to true.
Refer to.
SERVICE_GROUP_ID=
(SERVICE_GROUP_FILTER=)
ElementList
Manages group information. Can change the
status of a group of items or merge items from one
group to another. This content is not extensible.
The effects of this category occur immediately and
only affect existing items. Therefore, the initiating
UpdateMsg should set DoNotConflate and
DoNotCache to true.
Refer to.
SERVICE_LOAD_ID=
(SERVICE_LOAD_FILTER=)
ElementList
Information about the current allowable workload
of this service, including how many items are
currently being serviced. This content is
extensible.
Optionally, the initiating UpdateMsg can set
DoNotConflate to true.
Refer to.
SERVICE_DATA_ID=
(SERVICE_DATA_FILTER=)
ElementList
Includes broadcast data that applies to all items
requested from that service. This information is
typically provided in a dedicated UpdateMsg and
sent independently of other filter entries. The data
filter is commonly used with ANSI Page-based
data. This content is extensible.
Flag values DoNotConflate and DoNotCache
can optionally be set to true to prevent conflation
and caching of this content.
Refer to.
SERVICE_LINK_ID
(SERVICE_LINK_FILTER)
Map
Provides information about individual upstream
sources that provide data for this service. This is
primarily used by systems that aggregate sources
(such as the ADH) for identification and load
balancing, and is not required to be processed by
a consumer application. This content is not
extensible.
Refer to.
Table 23: Source Directory MapEntry Filter Entries
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4.3.1.1
Source Directory Domain
Source Directory Info Filter Entry
The Info filter entry (SERVICE_INFO_FILTER, SERVICE_INFO_ID) conveys information that identifies a service and the
content it can provide. This includes information about provided domain types (e.g., Market Price, Market By Order), available
QOS, and the names of any dictionaries required to parse the published content.
The Info FilterEntry should be present when a service is first added, and should not be changed as long as the service
remains in the list.
Note: The ADH does not track services that are brought down. If you bring up a service after having brought it down, you must
again include the Info filter entry.
If a FilterEntry element uses a default value, it is included in the element’s description.
ELEMENT NAME
TYPE
RANGE/
EXAMPLE
Name
ASCII
e.g., IDN_RDF
Required. Specifies the service’s name. This will
match the concrete service name or the service group
name that is in the Map.Key.
Vendor
ASCII
e.g., Thomson
Reuters
Specifies the name of the vendor that provides the data
for this service.
IsSource
UINT
0|1
Specifies whether the service aggregates content from
multiple sources. Available values are:
• 0: The service aggregates multiple sources into a
single service. This is the default behavior.
• 1: The service is provided directly by the original
publisher
Capabilities
Array of UINT
e.g., [5, 6]
Required. Lists the domains which this service can
provide. Note that the UInt MesageModelType is
extensible, using values defined in this guide (i.e., 1255).
For example, a list containing MMT_DICTIONARY (5)
and MMT_MARKET_PRICE (6) indicates a consumer
can request dictionaries and Market Price data from
this service.
DictionariesProvided
Array of ASCII
e.g., RWFFld
Lists the Dictionary names that this service can
provide. A consumer can obtain these dictionaries by
requesting them by name on the MMT_DICTIONARY
domain.
For details, refer to Chapter 5, Dictionary Domain.
DictionariesUsed
Array of ASCII
e.g., RWFFld,
RWFEnum
Conditional. Lists the Dictionary names that might be
required to fully process data from this service.
Whether or not the dictionary is required depends on
the consumer’s needs. For example: if the consumer is
not a display application, it might not need an
Enumerated Types Dictionary.
For details, refer to Chapter 5, Dictionary Domain.
DESCRIPTION
Table 24: Source Directory Info Filter Entry Elements
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RANGE/
EXAMPLE
Source Directory Domain
ELEMENT NAME
TYPE
DESCRIPTION
QOS
Array of QOS
e.g., Real-time,
TickByTick
Specifies the available Qualities of Service (QoS).
• If the data comes from one source, there will
usually be only one QoS.
• If there are multiple sources, more than one QoS
may be available.
The default QoS is Realtime, Tick-By-Tick. Thus. if a
QoS is not provided, the Transport API assumes the
service provides a QoS of Realtime, Tick-By-Tick.
For more information about QoS use and handling,
refer to the Message API Java Edition Developers
Guide.
SupportsQoSRange
UINT
0|1
Indicates whether the provider supports a QoS range
when requesting an item.
If supported, a consumer can indicate an acceptable
range via ReqMsg.Qos.
• 0: The provider does not support QoS range
requests. This is the default behavior.
• 1: The provider supports QoS range requests.
ItemList
ASCII
Specifies the name of a SymbolList (i.e., a specific item
requested to get the names of all items available for
this service). If it is not present, this feature is not
supported. The consumer requests this item via the
MMT_SYMBOL_LIST domain (See Chapter 11,
Symbol List Domain).
SupportsOutOfBandSnapshots UINT
0|1
Indicates whether Snapshot requests can still be made
after reaching the OpenLimit (refer to Section 4.3.1.4).
• 0: Snapshot requests cannot be made if the
OpenLimit is reached.
• 1: Snapshot requests can be made even when the
OpenLimit is reached. This is the default behavior.
AcceptingConsumerStatus
0|1
Indicates whether a service can accept and process
messages related to Source Mirroring (refer to Section
4.2.4).
• 0: The service cannot accept and process
messages related to Source Mirroring.
• 1: The service can accept and process messages
related to Source Mirroring. This is the default
behavior.
UINT
Table 24: Source Directory Info Filter Entry Elements (Continued)
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4.3.1.2
Source Directory Domain
Source Directory State Filter Entry
The State filter entry (SERVICE_STATE_FILTER, SERVICE_STATE_ID) conveys information about the current state of a
service. This information usually has some bearing on the availability of data from a service. If a service becomes temporarily
unavailable or becomes available again, consumers are informed via updates to this category.
A State filter entry should be present in the initial refresh, and then updated whenever needed.
Note: The ADH does not track services that are brought down. If you bring up a service after having brought it down, you must
include the Info filter entry (refer to Section 4.3.1.1).
The Status element can change the state of items provided by this service. Prior to changing a service status, Thomson
Reuters recommends that you issue item or group status messages to update item states. For example, before bringing down
a service, a provider application should change the Status element of all items to OmmState.ClosedRecover.
Any default behavior is explained in the Element’s description.
ELEMENT NAME
TYPE
RANGE/EXAMPLE
DESCRIPTION
ServiceState
UINT
0|1
Required. Indicates whether the original provider of the data
is available to respond to new requests. Changes to
ServiceState do not affect streams that are already open.
Available values are:
• 0: Service is Down
• 1: Service is Up
Refer to Section 4.4.3.
AcceptingRequests
UINT
0|1
Indicates whether the immediate provider can accept new
requests and/or handle reissue requests on already open
streams. Existing streams remain unaffected, however new
requests may be rejected. AcceptingRequests defaults to
1.
Available values are:
• 0: The provider cannot accept new requests on existing
streams.
• 1: The provider can accept new requests on existing
streams.
Refer to Section 4.4.3.
Status
State
e.g., OmmState.Open,
OmmState.Ok,
OmmState.None, “OK”
Specifies a status change to apply to all items provided by
this service. It is equivalent to sending a StatusMsg for each
item.
The streamState is only allowed to be OmmState.Open or
OmmState.ClosedRecover.
This status only applies to item streams that have received a
refresh or status of OPEN/OK.
Refer to Section 4.4.4.1.
Table 25: Source Directory State FilterEntry Elements
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4.3.1.3
Source Directory Domain
Source Directory Group Filter Entry
The Group filter entry (SERVICE_GROUP_FILTER, SERVICE_GROUP_ID) conveys item group status and item group merge
information. Every item stream is associated with an item group as defined by the ItemGroup provided with the item’s
RefreshMsg or StatusMsg. If some kind of change impacts all items within the same group, only a single group status
message need be provided. For more information on item group use and handling, see the Message API Java Edition
Developers Guide.
If multiple group FilterEntrys are received in a single FilterList, then they should be applied in the order in which they
were received.
Any default behavior is explained in the Element’s description.
ELEMENT NAME
TYPE
RANGE/EXAMPLE
DESCRIPTION
Group
BUFFER
e.g., 1.26.102
Required. Specifies the ItemGroup with which this
information is associated.
This is typically represented as a series of 2-byte unsigned
integers (i.e., two-byte unsigned integers written directly next
to each other in the buffer). The example provided in the
RANGE / EXAMPLE column of this table shows such a
series, with inserted dots to help indicate two-byte value.
When encoded into a buffer, do not include these dots.
MergedToGroup
BUFFER
e.g., 1.26.110
Changes all items whose group currently matches the
Group element to the specified MergedToGroup.
Status
State
e.g.,
StreamState::OpenEnum,
DataState::OkEnum,
StatusCode::NoneEnum,
“OK”
A status change to be applied to all items whose ItemGroup
matches the Group element. It is equivalent to sending a
StatusMsg to each item.
• The streamState is only allowed to be
OmmState.Open or OmmState.ClosedRecover.
• If you need to convey group status text or code
information without changing the data state, use the
value DataState::NoChangeEnum.
• If present in the same message as a MergedToGroup
element, this change should be applied before the
merge.
This change only applies to item streams that have received
a refresh or status with a state of OPEN/OK.
Refer to Section 4.4.4.2
Table 26: Source Directory Group FilterEntry Elements
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4.3.1.4
Source Directory Domain
Source Directory Load Filter Entry
The Load filter entry (SERVICE_LOAD_FILTER, SERVICE_LOAD_ID) conveys information about the service’s workload. If
multiple services can provide desired data, a consumer can use service workload information to help decide which to use.
None of these elements are required, nor have a default value.
ELEMENT NAME
TYPE
RANGE/
EXAMPLE
OpenLimit
UINT
0 – MAXUINT
Maximum number of streaming items that the client is allowed to
open for this service.
If the service supports out-of-band snapshots, snapshot requests do
not count against this limit (refer to Section 4.3.1.1).
OpenWindow
UINT
0 - MAXUINT
Maximum number of outstanding requests (i.e., requests for items not
yet open) that the service will allow at any given time.
If OpenWindow is 0, the behavior is the same as setting
AcceptingRequests to 0 and no open item request is accepted.
The provider should not assume that the OpenWindow becomes
effective immediately.
LoadFactor
UINT
0-65,535
A number indicating the current workload on the source providing the
data.
This number and the means of its calculation vary based on the
system (i.e., bandwidth usage, CPU usage, number of clients, etc).
The only requirements are that:
• The LoadFactor should be calculated the same way for all
services in a system.
• A more heavily-loaded service should have a higher LoadFactor
than one that is less loaded.
DESCRIPTION
Table 27: Source Directory Load FilterEntry Elements
4.3.1.5
Source Directory Data Filter Entry
The Data filter entry (SERVICE_DATA_FILTER, SERVICE_DATA_ID) conveys information that should be applied to all items
associated with the service. This is commonly used for services that provide ANSI Page-based data. These elements has do
not have a default value.
ELEMENT NAME
TYPE
RANGE/EXAMPLE
Type
UINT
•
•
•
•
•
Data
Any Data Type
DESCRIPTION
Time(1)
Conditional. You must include Type when data is present.
Explains the content of the Data.
Alert (2)
Headline (3)
Status (4)
Reserved values : 0 - 1023
Data that should be applied to all items from the service;
commonly used for services providing ANSI Page-based data.
The contents of this element should be applied as an update to
every item open for this stream. After the data fans out, it does
not need to be cached as part of the source directory.
Table 28: Source Directory Data FilterEntry Elements
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4.3.1.6
Source Directory Domain
Source Directory Link Filter Entry
The Link filter entry (SERVICE_LINK_FILTER, SERVICE_LINK_ID) conveys information about the upstream sources that
provide data to a service.
This information is represented as a Map, where each MapEntry represents one upstream source. The map entry key is the
name associated with the communication link, and is of type ASCII. This name is scoped globally, and if multiple sources have
the same name, they are assumed to be identical and the aggregating system will balance requests among them.
A typical consumer application can treat this entry as mainly informational. The consumer should use the State category to
make programmatic decisions about service availability and status.
Any default behavior is explained in the Element’s description.
ELEMENT NAME
TYPE
RANGE/EXAMPLE DESCRIPTION
Type
UINT
1|2
Indicates whether the upstream source is interactive or
broadcast. This does not describe whether the service itself is
interactive or broadcast.
• 1: The upstream source is interactive (this is the default).
• 2: The upstream source is a broadcast source.
LinkState
UINT
0|1
Required. Indicates whether the upstream source is up or
down
• 0: The upstream source is down.
• 1: The upstream source is up.
LinkCode
UINT
0-3
Provides additional information about the upstream source.
• 0: None (this is the default)
• 1: Ok
• 2: RecoveryStarted
• 3: RecoveryCompleted
Text
ASCII
N/A
Explains the LinkState and LinkCode. Text defaults to “”.
Table 29: Source Directory Link FilterEntry Map Contents
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4.3.2
Source Directory Domain
Source Directory ConsumerStatus Generic Message Payload
Note: GenericMsg(s) are supported for the DIRECTORY RDM only for sending / receiving information related to
ConsumerStatus/Source Mirroring Mode.
The directory data structure for the ConsumerStatus message is a Map. Each MapEntry sends status to one service and is
uniquely identified by ServiceId (its key). Each entry contains an ElementList with one ElementEntry that indicates how the
provider is used. MapEntrys do not use permission data.
Figure 9. Source Directory Generic Message Payload
ELEMENT NAME
TYPE
RANGE/EXAMPLE
DESCRIPTION
SourceMirroringMode
UINT
0-2
Required. Indicates how the downstream component uses the
service. There is no default setting. SourceMirroringMode
can have any of the following values:
•
0: ActiveNoStandby. The downstream device uses the
data from this service, and does not receive it from any
other service.
•
1: ActiveWithStandby. The downstream device uses the
data from this service, but also receives it from another
service.
•
2: Standby. The downstream device receives data from
this service, but actually uses data from another
service.
A reply from the provider application is not needed
because this is for informational use only.
Table 30: Source Directory Generic Message MapEntry Elements
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4.4
Special Semantics
4.4.1
Multiple Streams
Source Directory Domain
Unlike other MessageModelTypes, two directory streams can be open with identical message key information. It is also
permissible to change an open stream’s filter.
4.4.2
Service IDs
Most RDM messages can be associated with a service (although Login and Directory typically are not). For better bandwidth
utilization, the RSSL transport optimizes the service name into a two byte service ID. The ServiceId is only unique within a
single channel.
4.4.3
ServiceState and AcceptingRequests
The ServiceState and AcceptingRequests elements in the State filter entry work together to indicate the ability of a
particular service to provide data:
•
ServiceState indicates whether the source of the data is accepting requests.
•
AcceptingRequests indicates whether the immediate upstream provider (the provider to which the consumer is
directly connected) can accept new requests. If False, new requests are rejected while existing streams remain
unaffected (reissue requests can still be made for any item streams that are currently open to the provider).
The values of ServiceState and AcceptingRequests do not affect existing streams and do not imply anything about the data
quality of existing streams.
SERVICESTATE
ACCEPTINGREQUESTS
MEANING
Up(1)
Yes (1)
New requests and reissue requests can be successfully processed.
Up(1)
No (0)
Although the source of data is available, the immediate provider is not
accepting new requests. However, reissue requests on already open
streams can be processed.
Down (0)
Yes (1)
The source of data is not available. The immediate provider, however, can
accept the request and forward it when the source becomes available.
Down (0)
No (0)
Neither the source nor the immediate provider is accepting new requests.
Table 31: ServiceState and AcceptingRequests
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4.4.4
Source Directory Domain
Service and Group Status Values
The Status elements in the State and Group FilterEntries are transient. Their values should be applied to all existing streams.
The values should not be cached and should not affect any new requests.
4.4.4.1
Service Status
Providers can use a directory’s ServiceState.Status element to efficiently change the state of all of a service’s existing
streams with a single message. The ServiceState.Status does not apply to requests that are currently pending a first refresh
or status response (for details, refer to Section 2.3) message. EMA consumer implementation normally fans out state from the
Status Element to all items associated with the service. When EMA does this, it will not forward this Element to the application.
Instead, the application receives a StatusMsg for each item from the service. The other elements from the ServiceState
FilterEntry will still be sent to the application.
4.4.4.2
Group Status
The Group FilterEntry can be used to efficiently change the state of a large number of items with a single message. The
Group.Status does not apply to requests that are currently pending a first refresh or status response message. EMA
consumer implementation normally fans out group messages to all items associated with the group. When EMA does this, it
will not forward this FilterEntry to the application. Instead, the application will receive a StatusMsg for each item in the group.
4.4.5
Removing a Service
If a provider needs to remove a service from the list of known services, it should send the service’s MapEntry with the action
set to MapEntry.Delete. A consumer should place all open items associated with this service in the
OmmState.ClosedRecover.
All services associated with a Source Directory stream are removed if:
•
The connection between the provider and consumer is closed or lost
•
The provider sends a state of OmmState.Closed or OmmState.ClosedRecover on the Source Directory stream.
•
The provider sends a message with a ClearCache on a StatusMsg on the Source Directory stream.
If any of these events occurs, all of the items for the service(s) are automatically cleaned up and considered to have a
ClosedRecover status.
Note: Though not best practice, some applications may continue to store service information, even after a service is removed.
If this is the case, the application should advertise the service as Down and not accepting requests.
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4.4.6
Source Directory Domain
Automatic Request from EMA Consumer
EMA internal consumer implementation will always automatically request a Directory with the Filter set to
SERVICE_INFO_FILTER, SERVICE_STATE_FILTER, or SERVICE_GROUP_FILTER. This ensures that EMA can:
•
Map service IDs to names
•
Fanout SERVICE_STATE_ID.Status and SERVICE_GROUP_ID.Status
•
Apply SERVICE_GROUP_ID.MergedToGroup
The Directory request is sent after the Login is successful. Response message for this directory request are not forwarded to
the consumer application. If the consumer wants source directory information, it is required to make its own request for the
Directory.
4.4.7
Client Requests Non-Existing Service Directory
If the client sends a directory request without specifying service name or service ID, the directory response includes all
available services. If the client specifies a service name or service ID in a directory request, it receives the directory response
for just the requested service. If the requested service name or service ID is not available, EMA should send a service
directory containing an empty map entry in the payload. If the service becomes available later, the client receives an update
message which contains the required service information.
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Chapter 5 Dictionary Domain
5.1
Description
Note: GenericMsg(s) are not supported for the Dictionary domain model.
OMM can optimize bandwidth usage by reducing or removing the need to constantly communicate well-known information
(e.g., names and data types associated with information in a FieldList). Using these techniques, information is instead
contained in a field dictionary, where the field list contains only FieldId references to information in the dictionary.
A provider application can indicate any dictionaries needed to parse published content. To reconstruct omitted information,
consumer applications reference required dictionaries when decoding. Dictionaries may be available locally (i.e., in a file) or
available for request over the network from an upstream provider.
The following dictionaries provide domain models for network requests:
•
Field Dictionary: Stores data referenced by the FieldList. Each FieldId in a FieldEntry corresponds to an entry in
the Field Dictionary, which provides information such as the field’s name (e.g., BID) and data type (e.g., INT). Additional
information (such as rippling fields and expected cache-sizing requirements) are also present.
•
Enumerated Types Dictionary: Contains tables defining values for enumerated values of type ENUM. Each table
indicates the FieldId values of all fields that use the data in the table, as well as the possible enumerated values. For
example, a field indicating the currency of an item will use a table listing enumerations of various currencies. If a consumer
decodes the value of that field (e.g., 840), it can cross reference that value with its copy of the table. The entry the
consumer finds will contain a string that the consumer can print (e.g. USD), and possibly a more meaningful description as
well.
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5.2
Dictionary Domain
Decoding Field List Contents with Field and Enumerated Types Dictionaries
By itself, a FieldEntry contains only the FieldId and its associated encoded value in Data. Because the Elektron Message
API internally stores pre-decoded data, an application can easily decode a FieldEntry (without cross-referencing the
FieldId to the correct Field Dictionary to determine its type).
Figure 10. FieldList Referencing Field Dictionary
If the field’s type is DataTypeEnum::EnumEnum, there may be a table of values in the corresponding Enumerated Types
Dictionary. The consumer can then reference that information.
Figure 11. FieldEntry Referencing an Enumerated Types Table
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The consumer, having decoded the enumerated value (e.g., 840), finds the correct table that defines the field and looks up the
enumerated value in that table. The value will have a displayable string associated with it (e.g., USD).
5.3
Usage
5.3.1
Dictionary Request Message
A dictionary request message is encoded using ReqMsg and sent internally by the OmmConsumer in the constructor of this class.
The request indicates the name of the desired dictionary and how much information from that dictionary is needed.
Users can configure dictionary request messages using OmmConsumerConfig.addAdminMsg() to override the default
dictionary request.
Though updates are not sent on dictionary streams, Thomson Reuters recommends that the consumer make a streaming
request (setting ReqMsg.InterestAfterRefresh to true) so that it is notified whenever the dictionary version changes.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DICTIONARY = 5
Interactions
Required.
•
InitialImage: true, Indicates an initial image is required.
•
InterestAfterRefresh: true, Indicates a streaming request is required.
After receiving RefreshComplete, the consumer can only receive a Status response
message. An Update response message will never be received. Pause request is not
supported.
QOS
Not used.
worstQos
Not used.
priorityClass
Not used.
priorityCount
Not used.
Priority
Optional.
extendedHeader
Not used.
ServiceName
Required. Specifies the ServiceName of the service from which the consumer requests the
dictionary.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Required. Specifies the ServiceId of the service from which the consumer requests the
dictionary.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Not used.
Name
Required. Specifies the Name of the desired dictionary as seen in the Source Directory
response (refer to Section 4.3.1.1).
Table 32: Dictionary Request Message
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COMPONENT
Filter
Dictionary Domain
DESCRIPTION / VALUE
Required. The filter represents the desired verbosity of the dictionary. The consumer should
set the Filter according to how much information is needed:
•
DICTIONARY_INFO = 0x00: Provides version information only.
•
DICTIONARY_MINIMAL = 0x03: Provides information needed for caching.
•
DICTIONARY_NORMAL = 0x07: Provides all information needed for decoding.
•
DICTIONARY_VERBOSE = 0x0F: Provides all information (including comments).
Providers are not required to support the MINIMAL and VERBOSE filters.
For further details on Filter, refer to Section 5.4.1.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 32: Dictionary Request Message (Continued)
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5.3.2
Dictionary Domain
Dictionary Refresh Message
A dictionary request message is encoded using ReqMsg and sent internally by the OmmConsumer in the constructor of this class.
The request indicates the name of the desired dictionary and how much information from that dictionary is needed.
Users can configure dictionary request messages using OmmConsumerConfig.addAdminMsg() to override the default
dictionary request.
Though updates are not sent on dictionary streams, Thomson Reuters recommends that the consumer make a streaming
request (setting ReqMsg.InterestAfterRefresh to true) so that it is notified whenever the dictionary version changes.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DICTIONARY = 5
Interactions
Required.
•
InitialImage: true, Indicates an initial image is required.
•
InterestAfterRefresh: true, Indicates a streaming request is required.
After receiving RefreshComplete, the consumer can only receive a Status response
message. An Update response message will never be received. Pause request is not
supported.
QOS
Not used.
worstQos
Not used.
priorityClass
Not used.
priorityCount
Not used.
Priority
Optional.
extendedHeader
Not used.
ServiceName
Required. Specifies the ServiceName of the service from which the consumer requests the
dictionary.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Required. Specifies the ServiceId of the service from which the consumer requests the
dictionary.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Not used.
Name
Required. Specifies the Name of the desired dictionary as seen in the Source Directory
response (refer to Section 4.3.1.1).
Table 33: Dictionary Request Message
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COMPONENT
Filter
Dictionary Domain
DESCRIPTION / VALUE
Required. The filter represents the desired verbosity of the dictionary. The consumer should
set the Filter according to how much information is needed:
•
DICTIONARY_INFO = 0x00: Provides version information only.
•
DICTIONARY_MINIMAL = 0x03: Provides information needed for caching.
•
DICTIONARY_NORMAL = 0x07: Provides all information needed for decoding.
•
DICTIONARY_VERBOSE = 0x0F: Provides all information (including comments).
Providers are not required to support the MINIMAL and VERBOSE filters.
For further details on Filter, refer to Section 5.4.1.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 33: Dictionary Request Message (Continued)
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5.3.3
Dictionary Domain
Dictionary Status Message
A dictionary status message is encoded using StatusMsg and sent by OMM Interactive and non-interactive provider
applications. This message can indicate changes to a dictionary’s version.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_DICTIONARY = 5
State
Optional. Contains stream and data state information for the dictionary stream.
ItemGroup
Not used.
Indications
Optional:
•
ClearCache: true, Indicates the application should clear the cache
PermissionData
Conditional. Used if the provided dictionary requires permissioning.
extendedHeader
Not used.
ServiceId
Not used.
NameType
Not used.
Name
Not used.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 34: Dictionary Status Message
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5.4
Data
5.4.1
Filter
Dictionary Domain
While Dictionary’s Filters values correlate to a bitmap, the Elektron Message API supports only the combinations in the
following table. For example, a Dictionary’s Filter cannot be 0x2 or 0x6.
Dictionary providers are required to support DICTIONARY_INFO and DICTIONARY_NORMAL filers. Filter can be changed
for Directory and Dictionary domain message models as part of a reissue. It cannot be changed in other domain message
models. If an unsupported Filter is requested, the provider may do either of the following:
•
Change the Filter in response message to a supported one.
•
Send a Closed State in the response message.
MASK
PROVIDER MUST SUPPORT
IN RESPONSE MESSAGE
DESCRIPTION
DICTIONARY_INFO=0x0
Yes
Dictionary summary information, such as DictionaryType
and version. The response Payload.SummaryData will
contain data but the response payload will contain no
entries.
DICTIONARY_MINIMAL=0x3
No
DICTIONARY_INFO plus the minimum data needed to
cache or convert data.
DICTIONARY_NORMAL=0x7
Yes
DICTIONARY_MINIMAL plus all other data, except
descriptions and comments.
DICTIONARY_VERBOSE=0xF No
All available data.
Table 35: Dictionary's Filter
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5.4.2
Dictionary Domain
Refresh Message Summary Data
A dictionary’s SummaryData is an ElementList that can be used by a consumer to find out if it needs an updated dictionary or
if it needs the dictionary at all. SummaryData is extensible and can include other elements.
NAME
TYPE
RANGE/EXAMPLE
DESCRIPTION
Version
ASCII
“1.0.1”
Required. Specifies the version of
the provided dictionary.
For additional details on dictionary
versions, refer to Section 5.7.2.
Note: The Enumerated Types
dictionaries populate the Version
element using information from
the DT_Version tag.
Type
UINT
Total range is from 0 to 255, where values 0 - 127 are
reserved and values 28-255 are extensible.
• DICTIONARY_FIELD_DEFINITIONS = 1
• DICTIONARY_ENUM _TABLES = 2
• DICTIONARY_RECORD_TEMPLATES = 3
• DICTIONARY_DISPLAY_TEMPLATES = 4
• DICTIONARY_DATA_DEFINITIONS = 5
• DICTIONARY_STYLE_SHEET = 6
• DICTIONARY_REFERENCE = 7
Required. Indicates the type of
dictionary contained in the payload.
DictionaryId
INT
Total range is from -16383 to 16383, where:
• Values 0 to 16383 are reserved by Thomson
Reuters
• The value 1 corresponds to the
RDMFieldDictionary.
• The value 0 signifies ‘Unspecified’
• Values -1 to -16383 are Extensible
EMA can use DictionaryId in field
lists and series to associate fields
with field definitions or
enumerations. Refer to Section
5.4.4.
DictionaryId defaults to 0.
RT_Version
ASCII
“1.0.1”
Optionally sent only with the
enumerated type dictionary.
RT_Version identifies which field
dictionary should be used with this
enumerated type dictionary.
DT_Version
ASCII
“1.0.1”
Optionally sent only with the
enumerated type dictionary.
DT_Version conveys the display
template version.
Table 36: Dictionary summaryData
5.4.3
Response Message Payload
The Response Message (refer to Section 2.3) payload can vary widely, based on its DictionaryType. The payload is typically a
Series of ElementLists, but can also be XML or Opaque data. For further details on the response message payloads, refer to
Section 5.5.1 and Section 5.6.1.
Some DictionaryTypes also have external file representations of their data. For details about the data of each DictionaryType,
refer to Section 5.5.2 and Section 5.6.2.
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5.4.4
Dictionary Domain
DictionaryId
The first FieldList provided for an item always has a DictionaryId. While a FieldList can be parsed without a Dictionary, to
interpret the data, the FieldList’s DictionaryId must be associated with a Dictionary. The DictionaryId (provided in a
Dictionary response message’s Payload.SummaryData) associates a FieldList’s DictionaryId to a “family” of Dictionaries.
A Dictionary family includes a single FieldDefinition Dictionary. Enumeration tables for a single FieldDefinition Dictionary must
be consolidated into a single EnumTable Dictionary that has the same DictionaryId as the FieldDefinition Dictionary. The
Dictionary family may also include a single RecordTemplate Dictionary and a single DisplayTemplate Dictionary.
The DictionaryId is 0 for StyleSheet and Reference. A DictionaryId setting of 0 means unspecified, so the Dictionary is not
used for parsing, interpreting, or displaying FieldLists. For example, a “TimeZone” reference dictionary may include table
information about every world time zone. Because timezone information is not needed to parse FieldLists, there is no need
to assign a DictionaryId to the “TimeZone” Dictionary. Thus, the value of its DictionaryId is set to 0 (i.e., unspecified).
DictionaryIds are globally scoped can have the range of -16383 to 16383. Though DictionaryIds 0 through 16383 are
reserved for use by Thomson Reuters, applications can provide their own dictionaries by selecting a DictionaryId between -1
and -16383. If a single FieldList needs to use fields defined in two dictionaries, the FieldList can specify a dictionary
switch using 0 for the Field ID. For details, refer to the Message API Java Edition Developers Guide.
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5.5
Field Dictionary
5.5.1
Field Dictionary Payload
Dictionary Domain
The payload of a Field Dictionary Refresh Message consists of a Series where each series entries contains a ElementList.
Each SeriesEntry represents a row of information in the dictionary. The ElementList contained in each series entry provides
information about an element of the row.
Figure 12. Field Dictionary Payload
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Element entries do not have default values.
NAME
TYPE
LEAST
RANGE/EXAMPLE
VERBOSITY
NAME
ASCII
MINIMAL
e.g., “PROD_PERM”
Equivalent to the field’s ACRONYM
(i.e., Short Name).
FID
INT
MINIMAL
-32768 to 32767
The field’s FieldId.
RIPPLETO
INT
MINIMAL
-32768 to 32767
If the field ripples, this is the FieldId
of the field it ripples to.
A value of 0 indicates no rippling.
For a description of rippling, refer to the
DESCRIPTION
Message API Java Edition
Developers Guide.
TYPEa
INT
MINIMAL
e.g., INTEGER
The data type of the field for the
Marketfeed format.
LENGTHa
UINT
MINIMAL
0 to 65535
The maximum string length of the field
for the Marketfeed format.
RWFTYPE
UINT
MINIMAL
e.g., INT
The data type (DataTypes) of the field.
RWFLEN
UINT
MINIMAL
0 to 65535
The maximum length needed to cache
the encoded value (the value found in
the FieldEntry’s encData buffer).
This is only a suggestion and is not
enforced.
A length of 0 implies that the maximum
possible size for that type should be
used for caching.
ENUMLENGTH
UINT
NORMAL
0 to 65535
Used for fields of type ENUM. This is
the length of the DISPLAY element in
its Enumerated Types table (See
Section 5.6.1).
LONGNAME
ASCII
NORMAL
e.g., “PERMISSION”
Equivalent to the field’s DDE
ACRONYM (i.e., Long Name).
Table 37: Field Dictionary Element Entries
a. These elements are specific to the Marketfeed format and can be used in converting to or from it. They can otherwise be ignored.
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5.5.2
Dictionary Domain
Field Dictionary File Format
The RDMFieldDictionary file format is a plain-text table. Each row represents one field, and each column a datum about that
field. Each row is separated with a line break and columns are separated by whitespace. Lines beginning with an exclamation
point (!) are comments and are ignored.
!ACRONYM
PROD_PERM
RDNDISPLAY
DSPLY_NAME
RDN_EXCHID
TIMACT
TRDPRC_1
TRDPRC_2
TRDPRC_3
TRDPRC_4
TRDPRC_5
DDE ACRONYM
"PERMISSION"
"DISPLAYTEMPLATE"
"DISPLAY NAME"
"IDN EXCHANGE ID"
"TIME OF UPDATE"
"LAST "
"LAST 1"
"LAST 2"
"LAST 3"
"LAST 4"
FID
1
2
3
4
5
6
7
8
9
10
RIPPLES TO
NULL
NULL
NULL
NULL
NULL
TRDPRC_2
TRDPRC_3
TRDPRC_4
TRDPRC_5
NULL
FIELD TYPE
INTEGER
INTEGER
ALPHANUMERIC
ENUMERATED
TIME
PRICE
PRICE
PRICE
PRICE
PRICE
LENGTH
5
3
16
3 ( 3 )
5
17
17
17
17
17
RWF TYPE
UINT64
UINT32
RMTES_STRING
ENUM
TIME
REAL64
REAL64
REAL64
REAL64
REAL64
RWF LEN
2
1
16
1
5
7
7
7
7
7
Figure 13. Field Dictionary File Format Sample
Several tagged attributes are available at the beginning of the file. These attributes provide versioning information about the
dictionary in the file and are processed when loading from a file-based dictionary. Some of this information is conveyed along
with the domain model representation of the dictionary. Tags may be added as future dictionary versions become available.
For the RDMFieldDictionary, an example of these tags are shown below.
!tag
!tag
!tag
!tag
!tag
!tag
Filename
Desc
Type
Version
Build
Date
RWF.DAT
RDFD RWF field set
1
4.00.14
002
18-Nov-2010
Figure 14. Field Dictionary Tagged Attributes Sample
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5.5.2.1
Dictionary Domain
Field Dictionary Tag Attributes
The following table describes tag attributes and indicates whether they are used when encoding the domain representation of
the file.
TAG ATTRIBUTE
DESCRIPTION
Filename
The original name of the file as created by Thomson Reuters. This typically will not match the
current name of the file, RDMFieldDictionary.
Filename is not used when encoding the domain representation of the field dictionary.
Desc
Describes the dictionary.
Desc is not used when encoding the domain representation of the field dictionary.
Type
Stores the dictionary type associated with this dictionary. For a field dictionary, this should be
DICTIONARY_FIELD_DEFINITIONS = 1. Other types are defined in Section 5.4.
Type is used when encoding the domain representation of the field dictionary.
Version
Stores version information associated with this dictionary.
Version is used when encoding the domain representation of the field dictionary.
Build
Stores internal build information.
Build is not used when encoding the domain representation of the field dictionary.
Date
Stores dictionary release date information.
Date is not used when encoding the domain representation of the field dictionary.
Table 38: Field Dictionary File Tag Information
5.5.2.2
Field Dictionary Columns
The columns in the field dictionary correspond to the ElementEntry names used while encoding and decoding the Field
Dictionary:
COLUMN NAME IN FILE
RWF ELEMENT NAME
NOTES
ACRONYM
NAME
The abbreviated name corresponding to the field.
DDE ACRONYM
LONGNAME
A longer version of the name represented by the Acronym.
FID
FID
The Field Identifier value.
RIPPLES TO
RIPPLETO
The file format uses the ACRONYM of the target field, rather than
the rows FieldId.
If the field does not ripple, this should be NULL.
FIELD TYPE
TYPE
The Marketfeed type associated with this field.
LENGTH
LENGTH (ENUMLENGTH)
The Marketfeed length associated with the field.
RWF TYPE
RWFTYPE
The RWF type (DataTypes) associated with the field.
RWF LEN
RWFLEN
A caching length hint associated with this field.
Table 39: Field Dictionary File Column Names and ElementEntry Names
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5.5.2.3
Dictionary Domain
RWF TYPE Keywords
The following keywords are supported for the RWF TYPE:
KEYWORD
DATA TYPE
ANSI_PAGEa
ANSI_PAGE
ARRAYa
Array
ASCII_STRING
ASCII
BUFFER
BUFFER
DATE
DATE
DATETIMEa
DATETIME
DOUBLEa
DOUBLE
ELEMENT_LIST, ELEM_LISTa ElementList
ENUM
ENUM
FIELD_LISTa
FieldList
FILTER_LISTa
FilterList
FLOATa
FLOAT
INT, INT32, INT64
INT
MAPa
Map
OPAQUE
OPAQUE
QOSa
QOS
REAL, REAL32, REAL64
REAL
RMTES_STRING
RMTES
SERIESa
Series
STATUSa
Stream
TIME
TIME
UINT, UINT32, UINT64
UINT
UTF8_STRING
UTF8
VECTORa
Vector
XMLa
XML
Table 40: Field Dictionary Type Keywords
a. Type is RWF-Only and does not have a Marketfeed equivalent.
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5.5.2.4
Dictionary Domain
FIELD TYPE Keywords
The RDMFieldDictionary’s RWFTYPE and RWFLEN are derived from the field dictionaries used in Marketfeed. Valid keywords
for the Marketfeed Field Type are INTEGER, ALPHANUMERIC, ENUMERATED, TIME, TIME_SECONDS, DATE, or PRICE.
Thee following RWF types and values help ensure that data is not truncated when converted from Marketfeed to RWF. If
converting RWF to Marketfeed, the OMM Provider application should ensure that the RWF data does not overflow the
Marketfeed length.
For ALPHANUMERIC types, if the data does not require RMTES, then the ASCII_STRING type should be used instead of the
RMTES_STRING type.
Fields that cannot be converted to Marketfeed should have the Marketfeed type NONE and length 0.
The table below lists the mappings from FIELD TYPE to the RWF TYPE keyword. All are used in RDMFieldDictionary and
are safe.
FIELD TYPE
LENGTH
RWF TYPE
RWF LEN
NOTES
ALPHANUMERIC
14
ASCII_STRING
14
RIC/SYMBOL
ALPHANUMERIC
21
ASCII_STRING
21
RIC/SYMBOL
ALPHANUMERIC
28
ASCII_STRING
28
RIC/SYMBOL
ALPHANUMERIC
1-255
RMTES_STRING
1-255
length <= 3 is technically ASCII
ENUMERATED
2-3 (1-8)
ENUM
1
Enum values 0 - 255
ENUMERATED
5 (3-8)
ENUM
2
Enum values 0 - 65535
BINARY
3
UINT32
2
Base64 encoded 2-byte unsigned int
BINARY
4
UINT32
3
Base64 encoded 3-byte unsigned int
BINARY
43
BUFFER
32
Base64 encoded buffer
BINARY
171
BUFFER
128
Base64 encoded buffer
DATE
11
DATE
4
Day, month, year
TIME_SECONDS
8
TIME
5
Time in hour, minute, second, and millisecond
TIME
5
TIME
5
Time in hour, minute, and second
PRICE
17
REAL
9
REAL can represent values with fractional
denominators, trailing zeros, or up to 14 decimal
positions.
INTEGER
15
REAL
7
Signed integer value, where trailing zero values can
be optimized off of the wire.
INTEGER
3
UINT
1
unsigned int 0 - 255
INTEGER
5
UINT
2
unsigned int 0 - 65535
INTEGER
10
UINT
5
unsigned int 0 - (240-1)
INTEGER
15
UINT
8
unsigned int 0 - (264-1)
INTEGER
15
UINT
4
unsigned int 0 - (232-1)
Table 41: Marketfeed to RWF Mappings in RDMFieldDictionary
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5.5.2.5
Dictionary Domain
Custom FIDs
There are a couple of recommendations for custom FIDs:
FIELD TYPE
LENGTH
RWF TYPE
RWF LEN
NOTES
PRICE
17
REAL
9
REAL can represent values with fractional
denominators, trailing zeros, or up to 14 decimal
positions.
INTEGER
15
INT
8
Signed integer value that has one sign bit and 63
value bits.
Table 42: Marketfeed to RWF Mappings in RDMFieldDictionary
5.5.3
Specific Usage: RDF Direct and FieldDefinition Dictionary
The FieldDefinition Dictionary provided by RDF Direct is named “RWFFld”. It has a DictionaryId of 1.
All DataMasks are supported. DictionaryVerbose will return the same data as DictionaryNormal.
The response Payload.SummaryData includes Version, Type, and DictionaryId.
The RWFFld dictionary only uses the following types: INT32, INT64, INT, UINT32, UINT64, UINT, REAL32, REAL64, REAL,
DATE, TIME, ENUM, BUFFER, ASCII_STRING, RMTES_STRING.
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5.6
Enumerated Types Dictionary
5.6.1
Enumerated Types Dictionary Payload
Dictionary Domain
The payload of an Enumerated Types Dictionary Refresh Message consists of a Series with each series entry (SeriesEntry)
containing an ElementList and representing a table in the dictionary. The ElementList in each entry contains information
about each Enumerated Type in the table.
Each ElementEntry has a type of Array, where there is one element for each column in the file: VALUE, DISPLAY, and
MEANING. The content of each Array corresponds to one Enumerated Type, so each array should contain the same number
of entries.
Figure 15. Enumerated Types Dictionary Refresh Message Payload
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Dictionary Domain
NAME
TYPE
LEAST
EXAMPLE
VERBOSITY LIST
FIDS
Array of INT
NORMAL
15, 1084,
1085,…
The FieldId’s of all fields that reference this
table. These fields should have type ENUM in
the Field Dictionary and use the values given in
the VALUE list. The OmmArray.FixedWidth
should be 2 because each FieldId is a twobyte, signed integer value.
VALUE
Array of ENUM
NORMAL
826, 840, …
Includes values that correspond to each
Enumerated Type. FieldEntries that use the
table contain these values. The
OmmArray.FixedWidth should be 2 since each
enum is a two-byte, unsigned integer value.
DISPLAY
Array of StringASCII,
StringRMTES, or StringUTF8
NORMAL
“GBP”,
“USD”,…
Brief, displayable names for each Enumerated
Type.
DESCRIPTION
When special characters are needed, the
DISPLAY column uses a hexadecimal value
identified by using hash marks instead of
quotation marks (e.g., #42FE#).
MEANING
Array of ASCII
VERBOSE
“UK pound
sterling”, “US
Dollar”,…
A longer description of each Enumerated Type.
Note: Providers do not need to provide this
array (even when verbosity is VERBOSE).
Table 43: Element Entries Describing Each Enumerated Type Table
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5.6.2
Dictionary Domain
Enumerated Types Dictionary File Format
The enumtype.def file format is a plain-text set of tables. Rows are separated by lines and columns are separated by
whitespace (excepting quoted strings, as illustrated in Section 5.6.1). Lines that begin with an exclamation point (!) are
comments and are ignored.
The file contains a set of tables, each with two sections:
1. A section with the list of FieldId values corresponding to all fields that use the table.
2. A section with the table of enumerated values and their respective display data.
5.6.2.1
Enumerated Types Dictionary File Example
! ACRONYM
! ------BIG_FIGURE
PIPS_POS
! VALUE
! ----0
1
2
3
4
5
6
7
!
! ACRONYM
! ------MATUR_UNIT
!
! VALUE
! ----0
1
2
3
4
FID
--6207
6208
DISPLAY
------"INT"
"1DP"
"2DP"
"3DP"
"4DP"
"5DP"
"6DP"
"7DP"
MEANING
------whole number
1 decimal place
2 decimal places
3 decimal places
4 decimal places
5 decimal places
6 decimal places
7 decimal places
FID
--2378
DISPLAY
------"
"
"Yr "
"Mth"
"Wk "
"Day"
MEANING
------Undefined
Years
Months
Weeks
Days
Code Example 1: Enumerated Types Dictionary File Format Sample
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5.6.2.2
Dictionary Domain
Tagged Attributes
Several tagged attributes are available at the beginning of the file. These attributes provide version information about the
dictionary contained in the file and are processed while loading from a file-based dictionary. Some of this information is
conveyed along with the domain model representation of the dictionary. Tags may be added as future dictionary versions
become available.
For the enumtype.def, an example of these tags are as follows:
!tag
!tag
!tag
!tag
!tag
!tag
Filename
Desc
Type
RT_Version
DT_Version
Date
ENUMTYPE.001
IDN Marketstream enumerated tables
2
4.20.17
15.41
5-Feb-2017
Code Example 2: Enumerated Types Dictionary Tagged Attribute Sample
The following table describes the tag attributes and indicates which are used when encoding the domain representation of the
file.
TAG ATTRIBUTE
Date
DESCRIPTION
Includes information regarding the dictionary release date.
Date is not used when encoding the domain representation of the field dictionary.
Desc
A Description of the dictionary.
Desc is not used when encoding the domain representation of the field dictionary.
DT_Version
The version of the display template version.
DT_Version is used when encoding the domain representation of the field dictionary. For device
compatibility purposes, this value is sent as both Version and DT_Version.
Filename
The original name of the file as created by Thomson Reuters. This typically does not match the
current name of the file, enumtype.def.
Filename not used when encoding the domain representation of the field dictionary.
RT_Version
The version of the field dictionary associated with this enumerated type dictionary.
RT_Version is used when encoding the domain representation of the field dictionary.
Type
The dictionary type associated with this dictionary. For an enumerated types dictionary, this should
be DICTIONARY_ENUM _TABLES = 2. Other types are defined in Section 5.4.
Type is used when encoding the domain representation of the field dictionary.
Table 44: Enumerated Type Dictionary File Tag Information
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5.6.2.3
Dictionary Domain
Reference Fields Section
The first section lists all fields that use the table. These fields should have the type ENUM in their corresponding Field
Dictionary and have matching names.
NAME
RWF ELEMENT NAME
ACRONYM
n/a (The name of the field is not sent with the dictionary payload).
FID
FIDS
Table 45: RWF EnumType Dictionary File Format Reference Fields
5.6.2.4
Values Table Section
The second section lists the value of each enumerated type and its corresponding display data.
NAME
RWF ELEMENT NAME
NOTES
VALUE
VALUE
The unsigned, integer value corresponding to the enumerated value.
DISPLAY
DISPLAY
Quoted alphanumeric for the expanded string value.
In cases where special characters are needed, the DISPLAY column uses a
hexadecimal value, which is identified by using hash marks instead of quotation
marks, e.g. #42FE#.
MEANING
MEANING
The meaning column is not required over the network and typically not provided.
Table 46: RWF EnumType Dictionary File Values
5.6.3
Specific Usage: RDF Direct and EnumTable Dictionary
The RDF Direct EnumTable Dictionary uses the name “RWFEnum”. It has a DictionaryId of 1 to match the RWFFld
Dictionary.
RDF Direct uses the standard file representation described in Section 5.5.2. The file does not include a DictionaryId or a
Version number, so most existing enumtype.def parsers can parse the RWF FieldDictionary file without changes.
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5.7
Special Semantics
5.7.1
DictionariesProvided and DictionariesUsed
Dictionary Domain
The Directory’s DirectoryInfo FilterEntry (refer to Section 4.3.1.1) includes two elements related to Dictionaries:
DictionariesProvided and DictionariesUsed. Both elements contain an Array of ASCII dictionary names. These names can
be used in Name to request the dictionaries.
To dynamically discover dictionaries while minimizing the amount of data downloaded:
1. Parse the “DictionariesUsed” from each desired service in the Directory.
2. Parse the “DictionariesProvided” from every service in the Directory.
3. Make a streaming request for each Dictionary Name listed in DictionariesUsed from the service that lists the
DictionaryName in DictionariesProvided. The Filter of each ReqMsg should be set to DICTIONARY_INFO so as to
request only the dictionary’s basic information (because dictionaries tend to be large, this setting prevents unnecessary
network traffic).
4. For each Dictionary response, parse the summaryData in the payload to obtain the dictionary’s Type and Version.
•
If a dictionary is of an unneeded type, that dictionary stream can be closed.
•
If a dictionary is needed, a reissue request can be made where the Filter requests a higher verbosity (e.g.
DICTIONARY_NORMAL).
•
Version information can be used to determine if the consumer needs to update its dictionary.
5.7.2
Version Information
The version of a dictionary is normally available in Summary Data in the payload of a RefreshMsg. All available verbosities are
expected to include this information. The verbosity DICTIONARY_INFO can be used to request only the version information
(as the many fields in dictionaries tend to result in large messages).
This information normally comes in the form of a ASCII containing a dotted-decimal version number, indicating first the major
version, followed by the minor version, and possibly followed by a third (informational) micro-version. For example, in the string
1.2.3:
•
1 is the major version
•
2 is the minor version
•
3 is the micro-version
5.7.2.1
Version Information Usage
Version information has a couple of uses:
•
The minor version changes whenever a dictionary adds new fields, but does not modify existing fields. This means
the consumer can still use the previous dictionary with its data (though the consumer is unable to decode any new
fields). Also, if the consumer has multiple dictionaries with the same major version available, it can use the minor
version information to determine which is the latest (and therefore will be able to decode all fields regardless of the
data’s source).
•
The major version changes if the dictionary changes in a way that is not compatible with previous versions (such as
changing an existing field). This means that data encoded using a dictionary with one major version cannot be
decoded using a dictionary with a different major version. If a consumer learns that its provider has changed to a
dictionary with a different major version, it must retrieve the new dictionary before again decoding data.
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5.7.2.2
Dictionary Domain
Handling Dictionary Version Changes
To keep consumers informed of changes, Thomson Reuters recommends that dictionary requests be streaming even though
updates are not used for this domain.
If the dictionary’s minor version changes, a provider may advertise it via a StatusMsg with a State of OmmState.Open/
OmmState.Suspect. The consumer may then reissue its dictionary request to obtain the latest version.
If a dictionary’s major version is changed, the provider should disconnect all consumers to ensure that the consumers’ content
and dictionary are entirely resynchronized.
5.8
Other Dictionary Types
The Dictionary domain is intended to be used for other versionable data that updates very rarely. This section briefly describes
the other reserved dictionary types.
None of these dictionary types are currently used, nor is there any domain model specification associated with any of them at
this time.
DICTIONARY TYPE
DESCRIPTION
DisplayTemplate
A DisplayTemplate dictionary contains specifications that describe how and where to
display fields on a screen.
DataDefinition
A DataDefinition dictionary contains specifications for ElementListDefs and
FieldListDefs that can be used for decoding FieldLists and ElementLists that have been
optimized with SetDefinitions.
StyleSheet
A StyleSheet dictionary contains an XSLT or CSS style sheet.
Reference
A Reference dictionary is a table of reference information provided as a Series. This
information is not used for parsing, interpreting, caching, or displaying data.
Table 47: Other Dictionary Types
5.9
Specific Usage: Enterprise Platform
The Enterprise Platform currently supports only a single DictionaryId’s family. If the provider doesn’t specify it then it is
interpreted to be 1.
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Chapter 6
Market Price Domain
Chapter 6 Market Price Domain
6.1
Description
The Market Price domain provides access to Level I market information such as trades, indicative quotes, and top-of-book
quotes. All information is sent as a FieldList. Field-value pairs contained in the field list include information related to that
item (i.e., net change, bid, ask, volume, high, low, or last price).
Note: GenericMsg(s) are not supported in the MMT_MARKET_PRICE Reuters Domain Model.
6.2
Usage
6.2.1
Market Price Request Message
A Market Price request message is encoded using ReqMsg and sent by OMM consumer applications. The request specifies the
name and attributes of an item in which the consumer is interested.
To receive updates, a consumer can make a “streaming” request by setting ReqMsg.InterestAfterRefresh to true. If the
method is not set, the consumer requests a “snapshot,” and the refresh ends the request (though updates might be received in
either case if the refresh has multiple parts).
To stop updates, a consumer can pause an item (if the provider supports the pause feature). For additional details, refer to the
Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_PRICE = 6
Interactions
Required.
Indications
•
InitialImage: true, indicates that an initial image is required.
•
InterestAfterRefresh: true, indicates that a streaming request is required.
•
Pause: true, indicates that a pause is required.
Optional.
ConflatedInUpdates: true, indicates conflated updates is required
Batch and View request are specified in the Payload.
QOS
Optional. Indicates the QoS at which the consumer wants the stream serviced. If both QOS and
worstQos are specified, this request can be satisfied by a range of QoS.
worstQos
Optional. Used with the QOS member to define a range of acceptable QoS. When the provider
encounters such a range, it should attempt to provide the best QoS it can within that range.
worstQos should only be used on services that claim to support it via the SupportsQosRange
item in the Source Directory response (refer to Section 4.3.1.1).
Priority
Optional. Indicates the class and count associated with stream priority.
extendedHeader
Not used.
Table 48: Market Price Request Message
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COMPONENT
ServiceId
Market Price Domain
DESCRIPTION / VALUE
Required. Specifies the ID of the service from which the consumer wishes to request the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. When consuming from Thomson Reuters sources, typically set to
INSTRUMENT_NAME_RIC = 1 (the “Reuters Instrument Code”). If unspecified, NameType
defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required. Specifies the name of the requested item.
Note: Not used for Batch Item request.
ServiceName
Required. Specifies the name of the service from which the consumer wishes to request the
item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When features such as View or Batch are leveraged, the payload can contain
information relevant to that feature. For more detailed information, refer to the Appendix A.
Table 48: Market Price Request Message (Continued)
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6.2.2
Market Price Domain
Market Price Refresh Message
A Market Price Refresh Message is encoded using RefreshMsg and sent by OMM provider and OMM non-interactive provider
applications. This message sends all currently available information about the item to the consumer.
FieldList in the payload should include all fields that may be present in subsequent updates, even if those fields are
currently blank. When responding to a View request, this refresh should contain all fields that were requested by the specified
view. If for any reason the provider wishes to send new fields, it must first send an unsolicited refresh with both the new and
currently-present fields.
Note: All solicited or unsolicited refresh messages in the Market Price domain must be atomic. The Market Price domain does
not allow for multi-part refresh use. The provider should only send the Name and ServiceName in the first Refresh response
message. However if MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh
response messages.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_PRICE = 6
State
Required. Includes the state of the stream and data.
Solicited
Required. Indicates whether the refresh was solicited. Possible settings are:
Indications
•
true: The refresh was solicited.
•
false: The refresh was unsolicited.
Required. Available settings include:
•
Complete: true, Indicates that the refresh is complete.
•
DoNotCache: true, Indicates that the refresh message should not be cached.
•
ClearCache: true, Indicates to clear the cache.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application for
sequencing messages within this stream.
ItemGroup
Optional. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies the permission information associated with content on this stream.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service from which the consumer wishes to request the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
NameType
Optional. NameType should match the NameType specified in the request. If unspecified, NameType
defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required. This should match the requested name.
Filter
Not used.
Identifier
Not used.
Table 49: Market Price Refresh Message
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COMPONENT
Market Price Domain
DESCRIPTION / VALUE
Attrib
Not used.
Payload
Required. This should consist of a FieldList containing all fields associated with the item.
Table 49: Market Price Refresh Message (Continued)
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6.2.3
Market Price Domain
Market Price Update Message
A Market Price Update Message is encoded using UpdateMsg and sent by OMM provider and OMM non-interactive provider
applications. The Market Price Update Message conveys any changes to an item’s data.
Note: The provider should only send the Name and NameType in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and NameType must be provided for every Update response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_PRICE = 6
UpdateTypeNum
Required. Indicates the general content of the update:
Indications
•
INSTRUMENT_UPDATE_UNSPECIFIED = 0
•
INSTRUMENT_UPDATE_QUOTE = 1
•
INSTRUMENT_UPDATE_TRADE = 2
•
INSTRUMENT_UPDATE_NEWS_ALERT = 3
•
INSTRUMENT_UPDATE_VOLUME_ALERT = 4
•
INSTRUMENT_UPDATE_ORDER_INDICATION = 5
•
INSTRUMENT_UPDATE_CLOSING_RUN = 6
•
INSTRUMENT_UPDATE_CORRECTION = 7
•
INSTRUMENT_UPDATE_MARKET_DIGEST = 8
•
INSTRUMENT_UPDATE_QUOTES_TRADE = 9
•
INSTRUMENT_UPDATE_MULTIPLE = 10
•
INSTRUMENT_UPDATE_VERIFY = 11
Conditional.
•
If UpdateTypeNum is set to be INSTRUMENT_UPDATE_CORRECTION=7 or UPDVERIFY,
DoNotRipple must be set to true
•
DoNotCache: true, Indicates the application should not cache this update message.
•
DoNotConflate: true, Indicates the application should not conflate updates.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ConflatedCount
Optional. If a provider sends a conflated update, ConflatedCount specifies the number of
updates in the conflation.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates to true in the request.
ConflatedTime
Optional. If a provider sends a conflated update, ConflatedTime specifies the time interval (in
milliseconds) over which data is conflated.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates to true in the request.
ItemGroup
Optional. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies permissioning information associated with only the contents of this update.
Table 50: Market Price Update Message
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COMPONENT
Market Price Domain
DESCRIPTION / VALUE
extendedHeader
Not used.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true on the request. Specifies the ID of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. NameType should match the name type specified on the request. If
NameType is unspecified, its value defaults to INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request. Name specifies the name of the item being provided.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true on the request. Specifies the name of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. This should consist of a FieldList with any changed data.
Table 50: Market Price Update Message (Continued)
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6.2.4
Market Price Domain
Market Price Status Message
A Market Price Status Message is encoded using StatusMsg and sent by OMM provider and OMM non-interactive provider
applications. The status message conveys state change information associated with an item stream.
Note: The provider should only send the Name and NameType in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and NameType must be provided for every Status response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_PRICE = 6
State
Optional. Specifies the current state information associated with the data and stream.
ItemGroup
Optional. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies permissioning information associated with only the contents of this
message.
extendedHeader
Not used.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true on the request. Specifies the ID of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. NameType should match the name type specified on the request. If
NameType is unspecified, its value defaults to INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request. Name specifies the name of the item being provided.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true on the request. Specifies the name of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 51: Market Price Status Message
6.2.5
Market Price Post Message
If support is specified by the provider, consumer applications can post Market Price data. For more information on posting,
refer to the Message API Java Edition Developers Guide.
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6.3
Market Price Domain
Data: Response Message Payload
Market Price data is conveyed as an FieldList, where each FieldEntry corresponds to a piece of information and its current
value. The field list should be decoded by checking FieldEntry.LoadType and retrieving a specific type. For more
information, refer to the Message API Java Edition Developers Guide.
Figure 16. MarketPrice Response Message Payload
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6.4
Special Semantics
6.4.1
Snapshots
Market Price Domain
MarketPrice is one of a few message model types that support a true snapshot. If a non-streaming request is made, then the
UpdateMsg will not be sent. Status messages could be received before the single Refresh response message (for details refer
to Section 2.3) is received. For streaming and snapshot streams, the Refresh response message will always be a single
message and it will have RefreshMsg.Complete is set to true.
6.4.2
Ripple Fields
Some fields in a FieldList are defined as ripple fields. When the value of a ripple field changes, the former value
automatically becomes the new value of another field. The change to the second field may, in turn, cause another field to be
changed to reflect the second field’s former value. Whether or not fields are rippled is determined by the value of
DoNotRipple.
When a refresh message is received, all of the ripple fields delivered by the Venue/Exchange are present in the refresh
message. However, the consuming application must set ripple behavior for fields not in the refresh message. In some cases,
the values delivered for the “ripple-to” Fields in the refresh may be empty, but they must be present.
It is a responsibility of the Consumer application to ripple the Fields. The EMA does NOT ripple fields on behalf of the
consumer application. The OMM FieldList concept supports rippling. However, the FieldList class does not cache, so it
cannot ripple fields.
6.5
Specific Usage: RDF Direct MarketPrice
RDF Direct uses MarketPrice for SIAC Level 1, NASDAQ Level 1, and OPRA Level 1 data. The Refresh is provided in a single
message. It contains all of the fields, even if they are blank.
6.6
Specific Usage: Legacy Records
MarketPrice can also be used for data structured like IDN records, such as:
•
•
•
Page Records for reference page records and TS1 historical data.
Chains for indices and ranked lists.
Segment Chains for time & sales and news stories.
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Chapter 7
Market By Order Domain
Chapter 7 Market By Order Domain
7.1
Description
The Market By Order domain provides access to Level II full order books. The list of orders is sent in the form of a Map. Each
MapEntry represents one order (using the order’s Id as its key) and contains a FieldList describing information related to
that order (such as price, whether it is a bid/ask order, size, quote time, and market maker identifier).
Note: GenericMsg(s) are not supported for MMT_MARKET_BY_ORDER RDMs.
7.2
Usage
7.2.1
Market By Order Request Message
A Market By Order request message is encoded using ReqMsg and sent by OMM consumer applications. The request
specifies the name of the item in which a consumer is interested.
To receive updates, the consumer makes a “streaming” request by setting the ReqMsg.InterestAfterRefresh to true. If the
method is not set, the consumer is requesting a “snapshot,” and the refresh should end the request. Updates may be received
in either case if the refresh has multiple parts.
To stop updates, a consumer can pause an item if the provider supports this functionality. For additional details, refer to the
Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_ORDER = 7
Interactions
Required.
Indications
•
InitialImage: true, Indicates that an initial image is required.
•
InterestAfterRefresh: true, Indicates that a streaming request is required.
•
Pause: true, Indicates that a pause is required.
Optional.
ConflatedInUpdates: true, indicates conflated updates is required.
QOS
Optional. Indicates the QoS at which the consumer wants the stream serviced. If both QOS and
worstQos are specified, this request can be satisfied by a range of qualities of service.
worstQos
Optional. Used with the QOS member to define a range of acceptable Qualities of Service.
When encountering such a range, the provider should attempt to provide the best QoS it can
within that range.
This should only be used on services that claim to support it via the SupportsQosRange item in
the Source Directory response (refer to Section 4.3.1.1).
Priority
Optional. Indicates the class and count associated with stream priority.
extendedHeader
Not used.
Table 52: Market By Order Request Message
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COMPONENT
ServiceId
Market By Order Domain
DESCRIPTION / VALUE
Required. This should be the ID associated with the service from which the consumer wants to
request the item.
Note: A consumer should set either the ServiceName or ServiceId of the service, but not
both.
ServiceName
Required. This should be the name of the service from which the consumer wishes to request
data.
Note: A consumer should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. When consuming from Thomson Reuters sources, NameType is typically set to
INSTRUMENT_NAME_RIC = 1 (the “Reuters Instrument Code”). If absent, the Elektron
Message API assumes a setting of INSTRUMENT_NAME_RIC = 1.
Name
Required. Specifies the requested item’s name.
Note: Not used for Batch Item requests.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When features such as View or Batch are leveraged, the payload can contain
information relevant to that feature. For more detailed information, refer to Appendix A.
Table 52: Market By Order Request Message (Continued)
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7.2.2
Market By Order Domain
Market By Order Refresh Message
A Market By Order refresh message is encoded using RefreshMsg and sent by OMM interactive provider and OMM noninteractive provider applications. A Market By Order refresh may be sent in multiple parts. It is possible for update and status
messages to be delivered between parts of a refresh message, regardless of whether the request is streaming or nonstreaming.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_ORDER = 7
State
Required. The state of the stream and data.
Solicited
Required. Indicated whether the refresh was solicited. Available values are:
Indications
•
true: The refresh was solicited.
•
false: The refresh was unsolicited.
Optional.
•
DoNotCache: true, indicate do not cache this refresh message
•
ClearCache: true, indicate clear cache
•
Complete: true, indicate refresh complete
PartNum
Optional. Specifies the part number of a multi-part refresh.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Optional. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies permission information associated with content on this stream.
extendedHeader
Not used.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The provider should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. NameType should match the NameType specified in the request. If absent, NameType is
assumed to be INSTRUMENT_NAME_RIC = 1.
Name
Required. Name should match the requested item’s name.
ServiceName
Required. Specifies the name of the service that provides the item.
Note: The provider should set either the ServiceName or ServiceId of the service, but not
both.
Filter
Not used.
Identifier
Not used.
Table 53: Market By Order Refresh Message
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COMPONENT
Market By Order Domain
DESCRIPTION / VALUE
Attrib
Not used.
Payload
Required. An order book is represented by a Map, where each entry (MapEntry) contains
information (FieldList) that corresponds to an order.
Table 53: Market By Order Refresh Message (Continued)
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7.2.3
Market By Order Domain
Market By Order Update Message
A Market By Order update message is encoded using UpdateMsg and sent by OMM interactive provider and OMM noninteractive provider applications. The provider can send an update message to add, update, or remove order information.
Updates may be received between the first Refresh and the RefreshComplete. It is the consuming application’s responsibility
to determine if the update is applicable to the data that has previously been sent in a refresh.
Note: The provider should only send the Name and ServiceName in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Update response messages.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_ORDER = 7
UpdateTypeNum
Required. Indicates the general content of the update. Typically sent as one of the following:
Indications
•
INSTRUMENT_UPDATE_UNSPECIFIED = 0
•
INSTRUMENT_UPDATE_QUOTE = 1
Optional:
•
•
DoNotCache: true, Indicates that the application should not cache this update message.
DoNotConflate: true, Indicates that the application should not conflate this update
message.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ConflatedCount
Optional. If a provider sends a conflated update, ConflatedCount informs the consumer as to
how many updates were included in the conflation.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates to true in the request.
ConflatedTime
Optional. If a provider sends a conflated update, ConflatedTime informs the consumer as to
the interval (in milliseconds) over which data was conflated.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates to true in the request.
PermissionData
Optional. PermissionData contains permissioning information associated only with the
contents of this update.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true. ServiceName specifies the name of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true. ServiceId specifies the ID of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
Table 54: Market By Order Update Message
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COMPONENT
Market By Order Domain
DESCRIPTION / VALUE
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. NameType must match the name type in the item’s request message (typically
INSTRUMENT_NAME_RIC = 1).
Name
Optional (Required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true). Name
specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The order book is represented by a Map, where each map entry (MapEntry) holds
information (FieldList) corresponding to an order.
Table 54: Market By Order Update Message (Continued)
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7.2.4
Market By Order Domain
Market By Order Status Message
A Market By Order status message is encoded using StatusMsg and sent by OMM interactive provider and non-interactive
provider applications. This message conveys state change information associated with an item stream.
Note: The provider should only send the Name and ServiceName in the first Refresh response message. However
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Status response messages.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_ORDER = 7
State
Optional. Specifies the current state information associated with the data and stream.
Indications
Optional:
ClearCache: true, Indicates to clear the cache.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Optional. The provider may use this to change the item’s ItemGroup (for details, refer to
Section 4.3.1.3).
PermissionData
Optional. PermissionData specifies any new permissioning information associated with all of
the stream’s contents.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if MsgKeyInUpdates was set to true). Specifies the
name of the service providing data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true). ServiceId specifies the ID of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. NameType must match the name type in the item’s request message. If not specified,
NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Optional (Required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true). Name
specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 55: Market By Order Status Message
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7.2.5
Market By Order Domain
Market By Order Post Message
If support is specified by the provider, consumer applications can post Market By Order data. For more information on posting,
refer to the Message API Java Edition Developers Guide.
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7.3
Data
7.3.1
Response Message Payload
Market By Order Domain
The payload is a Map. Refreshes for this Map may be in multiple response messages. The bandwidth of the refresh messages
can be optimized by putting multiple MapEntry in each response messages. For optimal performance the packed map entries
in each response message should use less than 6000 bytes. If the data is split into multiple response messages, then a
Map.TotalCountHint should be provided to optimize downstream caching. Because the fields in each MapEntry are the
same, bandwidth can be further optimized by DataDefinitions.
Note: There are two possible usage scenarios:
•
Pattern 1: ORDER_PRC, ORDER_SIDE and ORDER_SIZE.
•
Pattern 2.1: BID and BIDSIZE, or Pattern 2.2: ASK and ASKSIZE.
Figure 17. MarketByOrder Response Message Payload
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7.3.2
Market By Order Domain
Summary Data
The Map.SummaryData only needs to be present for the first refresh part. Typical fields in the summaryData include:
•
Permission information (PROD_PERM)
•
Currency of the orders (CURRENCY)
•
Trade Units for the precision at which order prices are set (TRD_UNITS)
•
Market State (MKT_ST_IND)
•
Identifier of the exchange on which the orders were placed (RDN_EXCHD2)
•
Price Ranking Rules (PR_RNK_RUL)
•
Order Ranking Rules (OR_RNK_RUL)
•
Quote Date (QUOTE_DATE)
•
RIC of the underlying equity (STOCK_RIC)
7.3.3
MapEntry Contents
The MapEntry.Key is a Buffer, Ascii, or Rmtes that contains the Order ID. The MapEntry.KeyFieldId may be set to
ORDER_ID, so the information does not have to be repeated in the MapEntry.Value.
The MapEntry.Value is a FieldList that typically contains the following information about the order:
•
Order Price and Side (BID, ASK, or ORDER_PRC and ORDER_SIDE)
•
Order Size (BIDSIZE, ASKSIZE, or ORDER_SIZE)
•
Price Qualifiers (PRC_QL_CD, PRC_QL2)
•
Market Maker Identifier (MKT_MKR_ID or MMID)
•
Quote Time (QUOTIM_MS)
7.4
Special Semantics
None.
7.5
Specific Usage: RDF Direct and Response Message Payload
RDF Direct uses MarketByOrder for several markets, including NASDAQ TotalView, Archipelago ECN order book, and Instinet
ECN order book.
The payload is a Map. Each Refresh for this Map includes summary data and a single MapEntry. Updates are not sent for any
map entry until after the message is sent with RefreshMsg.Complete set to true. Since each resposne message includes only
one map entry, DataDefinitions are not used to reduce bandwidth. The Map.TotalCountHint is not provided.
The Map.SummaryData is sent in every Refresh, even if it does not change. The fields used are from the RWFFld Field
Dictionary:
•
•
PROD_PERM (1): Integer for permission information.
CURRENCY (15): Enumeration of currency for the orders.
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•
•
•
•
•
•
Market By Order Domain
TRD_UNITS (53): Enumeration of trade Units for the precision for which order prices are set.
MKT_ST_IND (133): Enumeration of market state.
RDN_EXCHD2 (1709): Enumeration of exchange on which the orders were placed.
PR_RNK_RUL (3423): Enumeration of price ranking rules.
OR_RNK_RUL (3425): Enumeration of order ranking rules.
STOCK_RIC (1026): RIC of the underlying equity.
The MapEntry.Key is a buffer that contains the Order ID. The Map.KeyFieldId is not set, but this may be changed in the
future.
The MapEntry.Data is a field list that contains some or all of the following information about the order:
•
•
•
ORDER_PRC (3427) & ORDER_SIDE (3428): Real and Enumeration for the order price & side (buy or sell/bid or ask).
•
QUOTIM_MS (3855): Quote Time in millisecond since GMT of the current day in the GMT time zone.
ORDER_SIZE (3429): Real for the order size.
ORDER_ID (3426): Same value as the MapEntry.KeyData. This may be removed in the future by setting the
Map.KeyFieldId to ORDER_ID (3426).
The FieldList.DictId is 0, so it should be ignored.
7.6
Specific Usage: Enterprise Platform
For the most part, MarketByOrder data from the Enterprise Platform is the same as it is from the original source of the data
(e.g. RDF Direct). However, if caching is enabled in an Enterprise Platform component, there are two differences.
•
•
The number of messages packed into each Refresh response message may be different.
An updated response message might be delivered between Refresh response messages and before the message with
RefreshMsg.Complete set true. It is the consumer applications responsibility to apply the indicated changes.
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Market By Price Domain
Chapter 8 Market By Price Domain
8.1
Description
Market By Price provides access to Level II market depth information. The list of price points is sent in a Map. Each entry
represents one price point (using that price and bid/ask side as its key) and contains a FieldList that describes information
related to that price point.
Note: GenericMsg(s) are not supported for the MMT_MARKET_BY_PRICE Reuters Domain Model.
8.2
Usage
8.2.1
Market By Price Request Message
A Market By Price request message is encoded using ReqMsg and sent by OMM consumer applications. The request specifies
the name of an item in which the consumer is interested.
To receive updates, a consumer can make a “streaming” request by setting ReqMsg.InterestAfterRefresh to true. If the flag
is not set, the consumer requests a “snapshot” and the refresh should end the request (updates may be received in either case
if the refresh has multiple parts).
A consumer can pause an item to stop updates (if the provider supports such functionality). For more information, refer to the
Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_PRICE = 8
Interactions
Conditional.
Indications
•
InitialImage: true, indicates that an initial image is required.
•
InterestAfterRefresh: true, indicates that a streaming request is required.
•
Pause: true, indicates that a pause is required.
Optional.
ConflatedInUpdates: true, indicates that conflated updates are required.
Batch and View requests are specified in the Payload.
QOS
Optional. Indicates the QoS at which the consumer wants the stream serviced. If both QOS and
worstQos are specified, this request can be satisfied by a range of QoS.
worstQos
Optional. Used with QOS to define a range of acceptable QoS. When the provider encounters
such a range, it should attempt to provide the best QoS possible within that range.
This should only be used on services that claim to support it via the SupportsQosRange item in
the Source Directory response (for further details, refer to Section 4.3.1.1).
Priority
Optional. Indicates the class and count associated with stream priority.
extendedHeader
Not used.
Table 56: Market By Price Request Message
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COMPONENT
ServiceName
Market By Price Domain
DESCRIPTION / VALUE
Required. Specifies the name of the service from which the consumer wishes to request data.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Required. Specifies the ID of the service that provides the requested item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. Typically set to INSTRUMENT_NAME_RIC = 1 (the “Reuters Instrument Code”)
when consuming from Thomson Reuters sources. If absent, its default value is
INSTRUMENT_NAME_RIC = 1.
Name
Required. Specifies the name of the requested item.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When features such as View or Batch are leveraged, the payload can contain
information relevant to that feature.
For further details, refer to the Appendix A.
Table 56: Market By Price Request Message (Continued)
8.2.2
Market By Price Refresh Message
A Market By Price refresh message is encoded using RefreshMsg and sent by OMM interactive provider and OMM noninteractive provider applications.
A Market By Price refresh may be sent in multiple parts. Both update and status messages can be delivered between parts of
a refresh message, regardless of streaming or non-streaming request.
Note: The provider should send Name and ServiceName only in the first Refresh response message, unless
MsgKeyInUpdates is set to true, in which case Name and ServiceName must be provided in each Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_PRICE = 8
State
Required. Indicates the state of the stream and data.
Solicited
Required. Indicates whether the refresh message was solicited.
•
true: The refresh message is solicited.
•
false: The refresh message is unsolicited.
Table 57: Market By Price Refresh Message
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COMPONENT
Indications
Market By Price Domain
DESCRIPTION / VALUE
Conditional.
•
DoNotCache: true, indicates that the application should not cache this refresh message.
•
ClearCache: true, indicates that the application should clear its cache.
•
Complete: true, indicates that this is the last message in the refresh complete.
PartNum
Optional. Specifies the part number of a multi-part refresh.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Optional. Associates the item with an Item Group (for further information, refer to Section
4.3.1.3).
PermissionData
Optional. If present, specifies permission information associated with the stream’s content.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service that provides the item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
NameType
Optional. NameType should match the NameType specified in the request. If absent, this value is
assumed to be INSTRUMENT_NAME_RIC = 1.
Name
Required. Name should match the name specified in the request.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The order book is represented by a Map, where each entry (MapEntry) contains a
FieldList which has information about a price point.
Table 57: Market By Price Refresh Message (Continued)
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8.2.3
Market By Price Domain
Market By Price Update Message
A Market By Price update message is encoded using UpdateMsg and sent by OMM interactive provider and OMM noninteractive provider applications. The provider can send an update message to add, update, or remove price point information.
Updates will not be received before images. True snapshots are supported.
Note: The provider should send Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then Name and ServiceName must be provided for every Update response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_PRICE = 8
UpdateTypeNum
Required. Indicates the general content of the update. Typically sent as one of the following:
Indications
•
INSTRUMENT_UPDATE_UNSPECIFIED = 0
•
INSTRUMENT_UPDATE_QUOTE = 1
Optional.
•
DoNotCache: true, indicates to not cache the update message.
•
DoNotConflate: true, indicates to not conflate the update message.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ConflatedCount
Optional. If a provider sends a conflated update, ConflatedCount specifies how many updates
were included in the conflation.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates flag in the request.
ConflatedTime
Optional. If a provider sends a conflated update, ConflatedTime specifies the time interval (in
milliseconds) over which data is conflated.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates flag in the request.
PermissionData
Optional. Specifies permissioning information for the update’s content.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true on the request. Specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true on the request. Specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. NameType should match the NameType specified in the item’s request
message. If NameType is not specified, it uses the default INSTRUMENT_NAME_RIC = 1.
Table 58: Market By Price Update Message
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COMPONENT
Market By Price Domain
DESCRIPTION / VALUE
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request) Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. MarketByPrice is represented by a Map, where each entry contains a FieldList
containing information about a price point.
Table 58: Market By Price Update Message (Continued)
8.2.4
Market By Price Status Message
A Market By Price status message is encoded using StatusMsg and sent by OMM interactive provider and non-interactive
provider applications. This message conveys state change information associated with an item stream.
Note: The provider should send Name and ServiceName only in the first Refresh response message, unless
MsgKeyInUpdates is set to true, in which case Name and ServiceName must be provided for every Status response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_BY_PRICE = 8
State
Optional. Specifies current state information associated with the data and stream.
Indications
Optional.
ClearCache: true, Indicates to clear the cache.
QOS
Optional. Specifies the QoS at which the stream is provided.
ItemGroup
Optional. Specifies the item’s ItemGroup (the provider can use this component to change the
item’s ItemGroup).
PermissionData
Optional. Specifies new permissioning information associated with all contents on the stream.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true on the request. Specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true on the request. Specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
Table 59: Market By Price Status Message
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COMPONENT
Market By Price Domain
DESCRIPTION / VALUE
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. NameType should match the NameType specified in the item’s request
message. If NameType is not specified, it uses the default INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request. Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 59: Market By Price Status Message (Continued)
8.2.5
Market By Price Post Message
If supported by the provider, consumer applications can post Market By Price data. For more information on posting, refer to
the Message API Java Edition Developers Guide.
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8.3
Data
8.3.1
Response Message Payload
Market By Price Domain
The payload is a Map. Refreshes for this Map may be in multiple Response messages. The bandwidth of the refresh messages
can be optimized by putting multiple MapEntry in each response message. For optimal performance the packed map entries in
each response message should use less than 6000 bytes. If the data is split into multiple messages, then a
Map.TotalCountHint should be provided to optimize downstream caching. Since the fields in each map entry are the same,
bandwidth can be further optimized by DataDefinitions.
Figure 18. MarketByPrice Response Message Payload
8.3.2
Summary Data
The Map.SummaryData needs to be present only for the first refresh part, which typically includes:
•
Permission information (PROD_PERM)
•
Currency of the orders (CURRENCY)
•
Trade Units for the precision with which order prices are set (TRD_UNITS)
•
Market State (MKT_ST_IND)
•
The identifier of the exchange on which the orders were placed (RDN_EXCHD2)
•
Price Ranking Rules (PR_RNK_RUL)
•
Quote Date (QUOTE_DATE)
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8.3.3
Market By Price Domain
MapEntry.Key Contents
The MapEntry.Key’s data is a BUFFER that contains a combination of the price and order side, thus each key is unique within
its map. The MapEntry.Key’s data should be treated as a single entity and is not meant to be parsed.
MapEntry.Data is a FieldList that contains some or all of the following information about the price point:
•
Order Price & Side (BID, ASK, or ORDER_PRC and ORDER_SIDE)
•
Order Size (BIDSIZE, ASKSIZE, or ORDER_SIZE)
•
Number of aggregated orders (NO_ORD)
•
Quote Time (QUOTIM_MS)
•
A map containing the Market Makers (MMID) and optionally a field list with each of the market makers’ positions at the
Order Price point.
8.4
Special Semantics
None
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8.5
Market By Price Domain
Specific Usage: RDF Direct and the Response Message Payload
RDF Direct uses MARKET_BY_PRICE for several markets, including NYSE OpenBook, Archipelago ECN market depth, and
Instinet ECN market depth.
The payload is a Map. Each refresh message for this Map includes SummaryData and up to 50 map entries. Updates are not
sent for any map entry until after the RefreshMsg.Complete is set to true. DataDefinitions are not used to reduce bandwidth.
Map.TotalCountHint is not provided.
Map.SummaryData is sent in every refresh message, even if it does not change. The fields used are from the RWFFld Field
Dictionary:
•
•
•
•
•
PROD_PERM (1): Integer for permission information
CURRENCY (15): Enumeration of currency for the orders
TRD_UNITS (53): Enumeration of trade Units for the precision for which order prices are set
MKT_ST_IND (133): Enumeration of market state
RDN_EXCHD2 (1709): Enumeration of exchange on which the orders were placed
The MapEntry.Key’s data is a Buffer that contains the combination of price and order side (B for buy or S for Sell), so each key
is unique within its map. The MapEntry.Key’’s data should be treated as a single entity and is not meant to be parsed.
The MapEntry.Value is a FieldList that contains the following information about the price point:
•
•
•
•
•
NO_ORD (3430): Integer for the Number of Orders aggregated into this MapEntry
ORDER_PRC (3427) & ORDER_SIDE (3428): Real and Enumeration for the order price & side (buy or sell/bid or ask)
ORDER_SIZE (3429): Real for the aggregated size of the order at this price
QUOTIM_MS (3855): Quote Time in millisecond since GMT of the current day in the GMT time zone
Some venues may provide an extra field that contains a map. The MapEntry.KeyData will have a KeyFieldId which is
MMID (3435). If the positions of each market maker are available, then the MapEntry.Value will contain a FieldList. The
field list will contain a single field with the position of that market maker. If positions for each market maker are not
available, MapEntry.Value’s data type will be NoData.
The FieldList.DictId is 0, so it should be ignored.
8.6
Specific Usage: Enterprise Platform
For the most part, MarketByPrice data from the Enterprise Platform is the same as it is from the original source of the data
(e.g. RDF Direct). However, if caching is enabled in an Enterprise Platform component, there are two differences.
•
•
The number of messages packed into each Refresh response message may be different.
Updated response messages may be delivered between Refresh response messages, before the RespMsg.Complete is
set to true. It is the consumer applications responsibility to apply the indicated changes.
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Market Maker Domain
Chapter 9 Market Maker Domain
9.1
Description
The Market Maker domain provides access to market maker quotes and trade information. The list of market makers is sent in
the form of a Map. Each MapEntry represents one market maker (using that market maker’s ID as its key) and contains a
FieldList describing information such as that market maker’s bid and ask prices, quote time, and market source.
Note: GenericMsg(s) are not supported for the MMT_MARKET_MAKER Reuters Domain Model.
9.2
Usage
9.2.1
Market Maker Request Message
A Market Maker request message is encoded using ReqMsg and sent by OMM consumer applications. The request specifies
the name of an item in which the consumer is interested.
To receive updates, a consumer can make a “streaming” request by setting the ReqMsg.InterestAfterRefresh to true. If the
flag is not set, the consumer requests a “snapshot,” and the final part of the refresh indicates all responses have been received
for the snapshot. Updates may be received in either case if the refresh has multiple parts.
To stop updates, a consumer can pause an item (if the provider supports this functionality). For more information, refer to the
Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_MAKER = 9
Interactions
Conditional. Use the appropriate interactions according to your messaging needs:
Indications
•
InitialImage: true, indicates that an initial image is required.
•
InterestAfterRefresh: true, indicates that a streaming request is required.
•
Pause: true, indicates that a pause is required.
Optional.
ConflatedInUpdates: true, indicates that conflated updates are required.
Batch and View request are specified in the Payload.
QOS
Optional. Indicates the QoS at which the consumer wants the stream serviced. If both QOS and
worstQos are specified, this request can be satisfied by a range of QoS.
worstQos
Optional. Used with QOS to define a range of acceptable QoS. If the provider encounters such a
range, it should attempt to provide the best possible QoS within that range.
This should only be used on services that claim to support it via the SupportsQosRange item in
the Source Directory response (for details, refer to Section 4.3.1.1).
Priority
Optional. Indicates the class and count associated with stream priority.
extendedHeader
Not used.
Table 60: Market Maker Request Message
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COMPONENT
ServiceName
Market Maker Domain
DESCRIPTION / VALUE
Required. Specifies the name of the service from which the consumer wishes to request the
item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
ServiceId
Required. Specifies the ID of the service that provides the requested item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
NameType
Optional. When consuming from Thomson Reuters sources, NameType is typically set to
INSTRUMENT_NAME_RIC = 1 (the “Reuters Instrument Code”). If absent, its value reverts to
the default, which is INSTRUMENT_NAME_RIC = 1.
Name
Required. Specifies the name of the requested item.
Note: Not used for Batch Item request.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When features such as View or Batch are leveraged, the payload can contain
information relevant to that feature. For more details, refer to Appendix A.
Table 60: Market Maker Request Message (Continued)
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9.2.2
Market Maker Domain
Market Maker Refresh Message
A Market Maker refresh message is encoded using RefreshMsg and sent by OMM interactive provider and OMM noninteractive provider applications.
The Market Maker refresh can be sent in multiple parts. Keep in mind that both update and status messages can be delivered
between parts of a refresh message, regardless of streaming or non-streaming request.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_MAKER = 9
State
Required. Indicates the state of the stream and data.
Solicited
Required. Indicates whether the refresh was solicited. Available values are:
Indications
•
true: The message was solicited.
•
false: The message was unsolicited.
Conditional.
•
DoNotCache: true, indicates that the application should not cache.
•
ClearCache: true, indicates that the application should clear the cache.
•
Complete: true, indicates that the message is the final one in the refresh.
PartNum
Optional. Specifies the part number of a multi-part refresh.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Required. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies permission information associated with this stream’s content.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
NameType
Optional. NameType should match the NameType specified in the request. If absent, NameType
defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required. A symbol for the Market Maker item.
Filter
Not used.
Table 61: Market Maker Refresh Message
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COMPONENT
Market Maker Domain
DESCRIPTION / VALUE
Identifier
Not used.
Payload
Required. A Market Maker is represented by a Map, where each entry (MapEntry) contains an
FieldList which has information about a market maker.
Table 61: Market Maker Refresh Message (Continued)
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9.2.3
Market Maker Domain
Market Maker Update Message
A Market Maker update message is encoded using UpdateMsg and sent by OMM interactive provider and OMM noninteractive provider applications. Updates will not be received before images, and a true snapshot is supported.
The provider can send an update message to add, update, or remove market maker information.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Update response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_MAKER = 9
UpdateTypeNum
Required. Indicates the general content of the update. Typically sent as one of the following:
Indications
•
INSTRUMENT_UPDATE_UNSPECIFIED = 0
•
INSTRUMENT_UPDATE_QUOTE = 1
Optional:
•
DoNotCache: true, specifies that the update message should not be cached.
•
DoNotConflate: true, specifies that the update message should not be conflated.
PartNum
Not used.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ConflatedCount
Optional. If a provider sends a conflated update, ConflatedCount specifies how many updates
are in the conflation.
The consumer indicates interest in this information by setting ReqMsg.ConflatedInUpdates to
true in the request.
ConflatedTime
Optional. If a provider sends a conflated update, ConflatedTime specifies the time interval (in
milliseconds) over which data is conflated.
The consumer indicates interest in this information by setting ReqMsg.ConflatedInUpdates to
true in the request.
PermissionData
Optional. Specifies permissioning information associated only with the contents of this update.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true. ServiceName specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true. ServiceId specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
Table 62: Market Maker Update Message
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COMPONENT
Market Maker Domain
DESCRIPTION / VALUE
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. NameType must match the name type in the item’s request message (typically
INSTRUMENT_NAME_RIC = 1). If absent, NameType defaults to INSTRUMENT_NAME_RIC
= 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. Name specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. A Market Maker is represented by a Map, where each entry (MapEntry) contains a
FieldList which in turn contains information about a market maker.
Table 62: Market Maker Update Message (Continued)
9.2.4
Market Maker Status Message
A Market Maker status message is encoded and sent by OMM interactive provider and non-interactive provider applications.
This message conveys state change information associated with an item stream.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Status response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_MARKET_MAKER = 9
State
Optional. Specifies current state information associated with the data and stream.
Indications
Optional.
ClearCache: true, indicates that the application should clear the cache.
QOS
Optional. Specifies the QoS at which the stream is provided.
ItemGroup
Optional. The provider can use this component to change the items’ ItemGroup.
PermissionData
Optional. Specifies new permissioning information associated with all of the stream’s contents.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true. ServiceName specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
Table 63: Market Maker Status Message
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COMPONENT
ServiceId
Market Maker Domain
DESCRIPTION / VALUE
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true. ServiceId specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. NameType must match the name type in the item’s request message (typically
INSTRUMENT_NAME_RIC = 1). If absent, NameType defaults to INSTRUMENT_NAME_RIC
= 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. Name specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 63: Market Maker Status Message (Continued)
9.2.5
Market Maker Post Message
If the provider supports Market Maker post messages, consumer applications can post Market Maker data. For more
information on posting, refer to the Message API Java Edition Developers Guide.
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9.3
Data
9.3.1
Response Message Payload
Market Maker Domain
The payload is a Map. Refreshes for this Map may be in multiple response messages. The bandwidth of the Refresh response
messages can be optimized by putting multiple MapEntry in each Response message. For optimal performance the packed
map entries in each response message should use less than 6000 bytes. If the data is split into multiple messages, then a
Map.TotalCountHint should be provided to optimize downstream caching. Because the fields in each map entry are identical,
bandwidth can be further optimized by DataDefinitions.
Figure 19. MarketMaker Response Message Payload
9.3.2
Summary Data
The Map.SummaryData only needs to be present in the first refresh part. Typical fields in the Map.SummaryData include:
•
Permission information (PROD_PERM)
•
Currency of the orders (CURRENCY)
•
Trade Units for the precision at which order prices are set (TRD_UNITS)
•
Identifier of the exchange on which the orders were placed (RDN_EXCHD2)
•
Market State indicating the state of the market (MKT_ST_IND)
•
Price ranking rules (PR_RNK_RUL)
•
Quote Date (QUOTE_DATE)
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9.3.3
Market Maker Domain
MapEntry Contents
Each MapEntry.key’s data is a BUFFER that contains a unique market maker’s ID. The Map.KeyFieldId may be set to MMID
or MKT_MKR_ID, so the information does not have to be repeated in the MapEntry.Data.
Each MapEntry houses a FieldList that contains information about the market maker.
The field list typically includes:
•
Bid (BID)
•
Ask (ASK)
•
Bid Size (BIDSIZE)
•
Ask Size (ASKSIZE)
•
Market Source (MKT_SOURCE)
•
Market Maker Name (MKT_MKR_NM)
•
Price Qualifiers (PRC_QL_CD and PRC_QL2)
•
Quote Time (QUOTIM_MS)
9.4
Special Semantics
None.
9.5
Specific Usage: RDF Direct and the Response Message Payload
RDF Direct uses MARKET_MAKER for NASDAQ Market Makers.
The payload is a Map. Each Refresh message for this Map includes SummaryData and up to 50 MapEntrys. Updates are not
sent for any map entry until after the RefreshMsg.Complete is sent with a value of true. DataDefinitions are not used to
reduce bandwidth. The Map.TotalCountHint is not provided.
Map.SummaryData is sent in every refresh, even if it does not change. The fields used are from the RWFFld Field Dictionary:
•
•
•
•
•
•
PROD_PERM (1): Integer for permission information
CURRENCY (15): Enumeration of currency for the orders
TRD_UNITS (53): Enumeration of trade Units for the precision for which order prices are set
MKT_ST_IND (133): Enumeration of market state
RDN_EXCHD2 (1709): Enumeration of exchange on which the orders were placed
PR_RNK_RUL (3423): Enumeration of price ranking rules
The MapEntry.Key’s Data is a Buffer containing a unique market maker ID. The MapEntry.KeyFieldId is not set, but this may
be changed in the future.
The MapEntry.Data is a FieldList that contains some or all of the following information about the order:
•
•
•
BID (22): Real with the best bid price from this market maker
ASK (25): Real with the best ask price from this market maker
BIDSIZE (30): Real with the size of the best bid
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•
•
ASKSIZE (31): Real with the size of the best ask
•
•
•
•
•
MKT_SOURCE (213): Enumeration with the Exchange or City of the quote
Market Maker Domain
MKT_MKR_ID (212): RmtesString with the Market Maker ID. This may be removed in the future by setting the
Map.KeyFieldId to MKT_MKR_ID (212) or MMID (3435).
MKT_MKR_NM (214): RmtesString with the Market Maker Name
PRC_QL_CD (118): Enumeration for first price qualifier
PRC_QL2 (131): Enumeration for second price qualifier
QUOTIM_MS (3855): Quote Time in millisecond since GMT of the current day in the GMT time zone
The FieldList.DictId is 0, so it should be ignored.
9.6
Specific Usage: Enterprise Platform
For the most part, MarketMaker data from the Enterprise Platform is the same as it is from the original source of the data (e.g.
RDF Direct). However, if caching is enabled in an Enterprise Platform component, there will be two differences.
The number of messages packed into each Refresh response message may be different.
An Update response message may be delivered between Refresh response messages, before RefreshMsg.Complete is sent
with a true value. It is up to the consumer application to apply the indicated changes.
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Yield Curve Domain
Chapter 10 Yield Curve Domain
10.1
Description
The Yield Curve domain shows the relation between the interest rate and the term (time to maturity) associated with the debt
of a borrower. The shape of a yield curve can help give an idea of future economic activity and interest rates. Information is
sent as a FieldList, where some FieldEntry‘s can contain more complex types such as Vector, Array, or ElementList.
This chapter documents the Yield Curve domain as provided by the ATS.
Note: The MMT_YIELD_CURVE Reuters Domain Model does not support GenericMsg(s).
10.2
Usage
10.2.1
Yield Curve Request Message
A Yield Curve request message is encoded using ReqMsg and sent by OMM consumer applications. The request specifies the
name and attributes of the curve in which the consumer is interested.
To receive updates, the consumer makes a “streaming” request by setting the ReqMsg.InterestAfterRefresh to true. If the
flag is not set, the consumer requests a “snapshot,” and the final part of the refresh (i.e., the refresh has the
RefreshMsg.Complete flag set) indicates all responses have been received for the snapshot. Updates may be received in
either case if the refresh has multiple parts.
To stop updates, a consumer can pause an item (if the provider supports the pause feature). For additional details, refer to the
Message API Java Edition Developers Guide.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_YIELD_CURVE = 22
Interactions
Conditional.
Indications
•
InitialImage: true, requests an initial image.
•
InterestAfterRefresh: true, requests streaming updates.
•
Pause: true, requests that the application pause the item.
Optional.
ConflatedInUpdates: true, requests that the application send conflated updates.
Batch and View request are specified in the Payload.
QOS
Optional. Indicates the QoS at which the consumer wants the stream serviced. If both QOS and
worstQos are specified, this request can be satisfied by a range of QoS.
worstQos
Optional. Used with the QOS member to define a range of acceptable QoS. When the provider
encounters such a range, it should attempt to provide the best QoS it can within that range.
worstQos should only be used on services that claim to support it via the SupportsQosRange
item in the Source Directory response (refer to Section 4.3.1.1).
Table 64: Yield Curve Request Message
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COMPONENT
Yield Curve Domain
DESCRIPTION / VALUE
Priority
Optional. Indicates class and count associated with stream priority.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service from which the consumer wishes to request the
item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Required. Specifies the ID of the service that provides the requested item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. When consuming from Thomson Reuters sources, typically set to
INSTRUMENT_NAME_RIC = 1 (the “Reuters Instrument Code”). If this is not specified,
NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required.Specifies the name of the requested item.
Note: Not used for Batch Item request.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When leveraging such features as View or Batch, the payload can contain
information relevant to that feature.
For more information, refer to Appendix A.
Table 64: Yield Curve Request Message (Continued)
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10.2.2
Yield Curve Domain
Yield Curve Refresh Message
A Yield Curve Refresh Message is encoded using RefreshMsg and sent by OMM provider and OMM non-interactive provider
applications. This message sends all currently available information about the item to the consumer.
FieldList in the payload should include all fields that might be present in subsequent updates, even if those fields are
currently blank. When responding to a View request, this refresh should contain all fields requested by the specified view. If for
any reason the provider wishes to send new fields, it must first send an unsolicited refresh with both the new and currentlypresent fields.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_YIELD_CURVE = 22
State
Required. Includes the state of the stream and data.
Solicited
Required. Indicates whether the refresh was solicited. Available values are:
Indications
•
true: The message was solicited.
•
false: The message was unsolicited.
Conditional.
•
DoNotCache: true, indicates that the application should not cache this refresh message.
•
ClearCache: true, indicates that the application should clear the cache.
•
Complete: true, indicates that the message is the final one in the refresh.
PartNum
Optional. Specifies the part number of a multi-part refresh.
QOS
Optional. Specifies the QoS at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Required. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies permission information associated with content on this stream.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not
both.
NameType
Optional. Should match the NameType specified in the request. If this is not specified, NameType
defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required. This should match the requested name.
Table 65: Yield Curve Refresh Message
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COMPONENT
Yield Curve Domain
DESCRIPTION / VALUE
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. This should consist of a FieldList containing all fields associated with the item.
Some FieldEntrys are sent as more complex types such as Vector and Array. Encoding
and decoding applications should be aware of this and ensure proper handling of these types.
Table 65: Yield Curve Refresh Message (Continued)
10.2.3
Yield Curve Update Message
A Yield Curve Update Message is encoded using UpdateMsg and sent by OMM provider and OMM non-interactive provider
applications. It conveys any changes to an item’s data. Updates may be received between the first Refresh and the
RefreshComplete. It is the consuming application’s responsibility to determine if the update is applicable to the data that has
previously been sent in a refresh.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_YIELD_CURVE = 22
UpdateTypeNum
Required. Indicates the general content of the update. Typically sent as one of the following:
Indications
•
INSTRUMENT_UPDATE_UNSPECIFIED = 0
•
INSTRUMENT_UPDATE_QUOTE = 1
Conditional.
•
DoNotCache: true, indicates that the application should not cache this update message.
•
DoNotConflate: true, indicates that the application should not conflate the update message.
SeqNum
Optional. A user-specified, item-level sequence number which the application can use to sequence
messages in this stream.
PartNum
Not used.
ConflatedCount
Optional. If the provider sends a conflated update, ConflatedCount specifies how many updates
are in the conflation.
The consumer indicates interest in this information by setting the ReqMsg.ConflatedInUpdates to
true in the request.
ConflatedTime
Optional. If a provider is sending a conflated update, ConflatedTime specifies the time interval (in
milliseconds) over which data is conflated.
The consumer indicates interest in this information by setting the ReqMsg.ConflatedInUpdates to
true in the request.
PermissionData
Optional. Permissioning information associated with only the contents of this update.
Table 66: Yield Curve Update Message
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COMPONENT
Yield Curve Domain
DESCRIPTION / VALUE
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. Specifies the name of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. Specifies the ID of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request. Should match the NameType specified on the request. If this is not specified,
NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true on
the request. Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. This should consist of a FieldList containing all fields associated with the item. Some
FieldEntrys are sent as more complex types such as Vector and Array. Encoding and decoding
applications should be aware of this and ensure proper handling of these types.
Table 66: Yield Curve Update Message (Continued)
10.2.4
Yield Curve Status Message
A Yield Curve status message is encoded using StatusMsg and sent by OMM interactive provider and non-interactive provider
applications. This message conveys state change information associated with an item stream.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Status response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_YIELD_CURVE = 22
State
Optional. Current state information associated with the data and stream.
Indications
Optional.
ClearCache: true, indicates that the cache should be cleared.
QOS
Optional. Specifies the QoS at which the stream is provided.
ItemGroup
Optional. The provider can use this component to change the item’s ItemGroup.
PermissionData
Optional. Specifies new permissioning information associated with all contents on the stream.
Table 67: Yield Curve Status Message
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COMPONENT
Yield Curve Domain
DESCRIPTION / VALUE
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. Specifies the name of the service that provides the data.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true on the request. Specifies the ID of the service that provides the item.
Note: The application should set either the ServiceName or ServiceId of the service, but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true
on the request). Should match the NameType specified on the request. If this is not specified,
NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to true on
the request). Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 67: Yield Curve Status Message (Continued)
10.2.5
Yield Curve Domain Post Message
If supported by the provider, consumer applications can post Yield Curve data. For more information on posting, refer to the
Message API Java Edition Developers Guide.
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10.3
Data
10.3.1
Response Message Payload
Yield Curve Domain
The payload of a Yield Curve Refresh or Update is a FieldList. Some FieldEntry contents contain primitive type
information to help describe the curve. Examples include the Curve Type (CRV_TYPE), the Algorithm used to calculate the
curve (CRV_ALGTHM), and the Interpolation (INTER_MTHD) and Extrapolation (EXTRP_MTHD) methods. Because the
fields in each Vector are the same, bandwidth can be further optimized by DataDefinitions.
Other FieldEntry’s contain more complex information. The more complex entries are broken down into:
•
Input Entries which define the different input data used to calculate the yield curve. Inputs are represented using nonsorted Vector types. Examples of curve inputs would be cash rates (CASH_RATES), future prices (FUTR_PRCS),
and swap rates (SWAP_RATES).
•
Output Entries which define the output of the yield curve calculation. Outputs are represented using non-sorted
Vector types. An example of curve outputs would be the Yield Curve (YLD_CURVE) itself.
•
Extra Meta Data (EX_MET_DAT) which provides general data about the yield curve. This is represented using a
ElementList type. Extra meta data allows users to provide additional curve descriptions without needing to define
new fields. Some examples of meta data would be curve creation time or the curve’s owner.
Figure 20. Yield Curve Payload Example
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10.3.2
Yield Curve Domain
Summary Data
For Vector types, summaryData can be included to provide information specific to the Vector‘s contents. Any summaryData
needs to be present only for the first refresh part that contains the Vector. Typical summaryData fields include tenors
(TENORS).
10.3.3
Yield Curve Input and Output Entries
Each VectorEntry houses a FieldList that contains specific information about the respective input or output. The field list
should be decoded by checking the FieldEntry data type.
•
For more information on dictionary use, refer to Section 5.2.
•
For more information about use of the Vector and FieldList container types, refer to the Message API Java Edition
Developers Guide.
The following table contains additional information about input and output entries (all of which are of the Vector container type
with a container entry type of FieldList).
NAME
FIELD NAME
TYPE
DESCRIPTION
Cash Rates
CASH_RATES
Input
Contains cash rate data used to calculate the yield curve output. This
typically includes information like settlement date (CASH_SDATE),
maturity date (CASH_MDATE), and basis (CASH_BASIS).
Future Prices
FUTR_PRCS
Input
Contains future pricing data used to calculate the yield curve output;
typically including data such as settlement date (FUTR_SDATE), maturity
date (FUTR_MDATE), and basis (FUTR_BASIS).
Swap Rates
SWAP_RATES
Input
Contains swap rate data used to calculate the yield curve output; typically
including data such as settlement date (SWAP_SDATE), maturity date
(SWAP_MDATE), swap rate value (SWAP_RATE_VAL), and roll date
(SWAP_RDATE).
Spread Rates
SPRD_RATES
Input
Contains spread rate data used to calculate yield curve output; typically
including data such as spread frequency (SPRD_FREQ), maturity date
(SPRD_MDATE), spread rate (SPRD_RATE), and roll date
(SPRD_RDATE).
Yield Curve
YLD_CURVE
Output
Contains calculated Yield Curve data; typically including data such as
zero rate (YCT_ZRATE), forward rate (YCT_FWRATE), and discount
factor (YCT_DISFAC).
Table 68: Yield Curve Inputs and Outputs
10.4
Special Semantics
None
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10.5
Yield Curve Domain
Specific Usage: ATS
When an application consumes Yield Curve data, the dictionary used by the application must contain certain required FIDs.
For further details, refer to the ATS documentation.
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Chapter 11
Symbol List Domain
Chapter 11 Symbol List Domain
11.1
Description
The Symbol List domain provides access to a set of symbol names, typically from an index, service, or cache. Content is
encoded as a Map, with each symbol represented by a map entry and where the symbol name is the entry key. An entry’s
payload is optional, but when present the payload is a FieldList that contains additional cross-reference information such as
permission information, name type, or other venue-specific content.
Note: GenericMsg(s) are not supported for MMT_SYMBOL_LIST Reuters Domain Model.
11.2
Usage
11.2.1
Symbol List Request Message
A Symbol List request message is encoded and sent by OMM consumer applications.
The consumer can make a streaming request (set ReqMsg.InterestAfterRefresh to true) to receive updates, typically
associated with item additions or removals from the list.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_SYMBOL_LIST = 10
Interactions
Conditional.
Indications
•
InitialImage: true, indicates that an initial image is required.
•
InterestAfterRefresh: true, indicates that a streaming request is required.
•
Pause: true, indicates that a pause is required.
Optional.
ConflateInUpdates: true, indicates that conflated updates are required.
Batch and View requests are specified in the Payload.
QOS
Not used.
worstQos
Not used.
Priority
Optional. Indicates class and count associated with stream priority.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service from which the consumer wants to request the
item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
Table 69: Symbol List Request Message
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COMPONENT
DESCRIPTION / VALUE
ServiceId
Required. Specifies the ID of the service that provides the requested item.
Symbol List Domain
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
NameType
Optional. NameType should match name type specified in the request. When consuming from
Thomson Reuters sources, NameType is typically set to INSTRUMENT_NAME_RIC = 1 (the
“Reuters Instrument Code”). If absent, NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Required. Specifies the name of the requested item.
Note: Not used for Batch Item requests.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Optional. When leveraging such features as View, Batch, or behaviors related to the Symbol
List Request, the payload can contain information relevant to that feature. For more detailed
information, refer to Appendix A.
Table 69: Symbol List Request Message (Continued)
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11.2.2
Symbol List Domain
Symbol List Refresh Message
A Symbol List refresh Message is encoded using RefreshMsg and sent by OMM provider and OMM non-interactive provider
applications. This message sends a list of item names to the consumer.
A Symbol List refresh can be sent in multiple parts. Update and status messages can be delivered between parts of a refresh
message, regardless of streaming or non-streaming request.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Refresh response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_SYMBOL_LIST = 10
State
Required. Indicates the state of the stream and data.
Solicited
Required. Indicates whether the refresh was solicited. Available values are:
Indications
•
true: The message was solicited.
•
false: The message was unsolicited.
Conditional.
•
DoNotCache: true, requests that the application not cache this refresh message.
•
ClearCache: true, requests that the application clear the cache.
•
Complete: true, indicates that this message completes the refresh.
PartNum
Optional. Specifies the part number of a multi-part refresh.
QOS
Optional. Specifies the quality of service at which the stream is provided.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ItemGroup
Optional. Associates the item with an Item Group (refer to Section 4.3.1.3).
PermissionData
Optional. Specifies the permission information associated with content on this stream.
extendedHeader
Not used.
ServiceName
Required. Specifies the name of the service from which the consumer wants to request the
item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
ServiceId
Required. Specifies the ID of the service that provides the item.
Note: The consumer application should set either the ServiceName or ServiceId of the
service, but not both.
NameType
Optional. NameType should match the NameType specified in the request. If absent, it is
assumed to be INSTRUMENT_NAME_RIC = 1.
Name
Required. Name should match the requested name.
Filter
Not used.
Table 70: Symbol List Refresh Message
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COMPONENT
Symbol List Domain
DESCRIPTION / VALUE
Identifier
Not used.
Attrib
Not used.
Payload
Required. The payload contains a Map where each entry represents an item in the list. Each
map entry contains a FieldList or ElementList with additional info about that item.
Table 70: Symbol List Refresh Message (Continued)
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11.2.3
Symbol List Domain
Symbol List Update Message
A Symbol List Update Message is encoded using UpdateMsg and sent by OMM provider and OMM non-interactive provider
applications. It adds or removes items from the list. Updates will not be received before images, and a true snapshot is
supported.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Update response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_SYMBOL_LIST = 10
Indications
Conditional.
•
DoNotCache: true, indicates to not cache this update message.
•
DoNotConflate: true, indicates to not conflate the update message.
QOS
Optional. Specifies the quality of service at which the stream is provided.
UpdateTypeNum
Not used.
SeqNum
Optional. A user-specified, item-level sequence number which can be used by the application
for sequencing messages within this stream.
ConflatedCount
Optional. If a provider sends a conflated update, ConflatedCount specifies how many updates
are in the conflation.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates is set to true in the request.
ConflatedTime
Optional. If a provider sends a conflated update, ConflatedTime specifies the time interval (in
milliseconds) over which data is conflated.
The consumer indicates interest in this information by setting the
ReqMsg.ConflatedInUpdates is set to true in the request.
PermissionData
Optional. Specifies the permission information associated with only the contents of this update.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true. ServiceName specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true. Specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. Set this to match the NameType in the item’s request message (typically
INSTRUMENT_NAME_RIC = 1). If absent, it is assumed to be INSTRUMENT_NAME_RIC =
1.
Table 71: Symbol List Update Message
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COMPONENT
Symbol List Domain
DESCRIPTION / VALUE
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Required. The payload contains a Map, where each entry represents an item in the list. Each
map entry contains a FieldList with additional information about that item.
Table 71: Symbol List Update Message (Continued)
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11.2.4
Symbol List Domain
Symbol List Status Message
A Symbol List status message is encoded using StatusMsg and sent by OMM interactive provider and non-interactive provider
applications. This message conveys state change information associated with an item stream.
Note: The provider should send the Name and ServiceName only in the first Refresh response message. However if
MsgKeyInUpdates is set to true, then the Name and ServiceName must be provided for every Status response message.
COMPONENT
DESCRIPTION / VALUE
DomainType
Required. MMT_SYMBOL_LIST = 10
State
Optional. Current state information associated with the data and stream.
Indications
Conditional.
ClearCache: true, indicates to clear the cache.
QOS
Optional. Specifies the quality of service at which the stream is provided.
ItemGroup
Optional. The provider can use this to change the item’s ItemGroup.
PermissionData
Optional. Specifies new permissioning information associated with the stream’s contents.
extendedHeader
Not used.
ServiceName
Conditional. ServiceName is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was
set to true. ServiceName specifies the name of the service that provides the data.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
ServiceId
Conditional. ServiceId is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set
to true. Specifies the ID of the service that provides the item.
Note: The provider application should set either the ServiceName or ServiceId of the service,
but not both.
NameType
Conditional. NameType is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. NameType should match the name type specified on the request. If it is not specified,
NameType defaults to INSTRUMENT_NAME_RIC = 1.
Name
Conditional. Name is required if RequestMsgFlags.MSG_KEY_IN_UPDATES was set to
true. Specifies the name of the item being provided.
Filter
Not used.
Identifier
Not used.
Attrib
Not used.
Payload
Not used.
Table 72: Symbol List Status Message
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11.3
Symbol List Domain
Data: Response Message Payload
The Symbol List payload is a Map. Each MapEntry key is an AsciiString symbol. The entry’s payload can be empty or contain a
FieldList which can contain additional information (i.e., permission data and cross-reference information). This information
should not update frequently.
A FieldList typically includes the fields:
•
PROV_SYMB (3422): Contains the original symbol as provided by the exchange
•
PROD_PERM (1): Stores permission information
Figure 21. SymbolList Response Message Payload
11.4
Special Semantics
None
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11.5
Symbol List Domain
Specific Usage
The payload is a Map. No SummaryData is provided. Each Refresh message includes up to 150 MapEntrys. DataDefinitions
are not used to reduce bandwidth. The Map.TotalCountHint is not provided. The Map.KeyFieldId is currently not set.
Each MapEntry’s key is a Buffer that can be used as a request’s Name to make a request for an instrument. Each MapEntry’s
value is a FieldList that contains the following information:
•
•
PROV_SYMB (3422): Original symbol provided by the exchange
PROD_PERM (1): Permission information
The OPRA Venue’s SymbolList, 0#OPRA is a hierarchical SymbolList of SymbolLists. Nested SymbolLists start with Z#. For
details, refer to the RDF Direct OPRA Venue Guide.
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Appendix A ReqMsg Payload
A.1
View Definition
The client application can specify interest in a specific subset of fields or elements (known as a ‘View’). This is done by
encoding an array of the desired fields or elements in the request message payload. The response Message will contain a list
of the requested fields or elements and possibly some others depending on factors such as aggregation and the ability of the
provider to supply the requested view. Unless otherwise specified, this is supported on any non-administrative RDM and any
user defined DMM. For more information, refer to the Message API Java Edition Developers Guide. When requesting a new
view or changing a view, at a minimum, the request message payload contains an element list with the following entries (any
default behavior is included in the element’s description):
ELEMENT NAME
TYPE
RANGE/EXAMPLES
DESCRIPTION
:ViewType
UINT
1|2
Conditional. Specifies the content type of the
:ViewData array.
Required when specifying a view or when reissuing
while wanting to keep the same view.
Not required when re-issuing to remove a view. In this
case, do not send a payload or view.
Available values are:
• 1 = VT_FIELD_ID_LIST (this is the default)
• 2 = VT_ELEMENT_NAME_LIST
:ViewData
Array of INT or
Array of ASCII
An Array of desired entries whose
content matches the type as specified
by :ViewType.
e.g., a :ViewType of
VT_FIELD_ID_LIST uses an array of
field IDs.
Required. Field Ids will be encoded as an array of 2
byte fixed length field identifiers.
Element names will be variable length Ascii string fields.
:ViewData does not use a default value.
Table 73: View Definition in Payload
A.2
ItemList
The client application can specify interest in multiple items by using a single batch request message. To do this, encode a list
of item names in the request message payload. This is supported on any non-administrative RDM and any user defined DMM.
For further details, refer to Message API Java Edition Developers Guide.
For batch request messages, the payload contains, at a minimum, an element list which includes the following element entry:
ELEMENT NAME
:ItemList
TYPE
Array of ASCII
RANGE/EXAMPLES
1 to Array
max
DESCRIPTION
Required. A list of item names in which the client
registers interest.
:ItemList does not use a default value.
Table 74: ItemList in Payload
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A.3
Symbol List Behaviors
The client application can specify interest in getting data along with names belonging to the symbol list while requesting a
symbol list. By specifying interest in data along with names, a client application does not need to open individual items
belonging to symbol list and the items will be opened and data will be provided. To do this, encode a request message payload
with an element list that has an element entry which specifies symbol list behavior.
For Symbol List request messages that specify interest in data, refer to Section A.3.1.
For further details, refer to Message API Java Edition Developers Guide.
Figure 22. SymbolList Request Message Payload Specifying Symbol List Behavior
A.3.1
Element List Contents
To encode a Symbol List request message that specifies interest in data, include an element list with the following element
entry:
ELEMENT NAME
:SymbolListBehaviors
TYPE
ElementList
DEFAULT
DESCRIPTION
ElementList containing
Indicates any expected data behavior of individual
ElementEntry of DataStreams items that will be opened from the symbol list.
set to 0.
If this element is absent, individual streams will not
be opened.
The contents of :SymbolListBehaviors are
extensible.
Table 75: Request Message Payload for Symbol List Domain Specifying Symbol List Behaviors
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A.3.2
Contents of :SymbolListBehaviors
The following is the contents of the :SymbolListBehaviors element entry.
ELEMENT NAME
:DataStreams
TYPE
UINT
RANGE
0-2
DESCRIPTION
Indicates whether the consumer wants the individual items of the symbol list to
be opened as streaming or non-streaming or not opened at all. For more
information refer to the Message API Java Edition Developers Guide.
:DataStreams uses the following bit-masks:
• 0x0: The consumer is interested only in getting the names and no data on
the individual items of the symbol list. This is the default behavior.
• 0x1: The consumer is interested in getting the individual items of the symbol
list opened as streaming.
• 0x2: The consumer is interested in getting the individual items of the symbol
list opened as snap-shots.
Table 76: :SymbolListBehaviors ElementEntry Contents
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similar means, is prohibited without the prior written consent of Thomson Reuters.
'Thomson Reuters' and the Thomson Reuters logo are registered trademarks and
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Any third party names or marks are the trademarks or registered trademarks of the
relevant third party.
Document ID: EMAJ322UMRDM.180
Date of issue: 15 November 2018
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