Workflow

CLOB: MarketData

Supported Instruments



Please refer to Supported Instruments to view across all venues.

PartyIDs



Please refer to PartyIDs to view across all venues.

Regulatory Fields



Please refer to Regulatory Fields to view across all venues.

Passthru Fields



Please refer to Passthru Fields to view across all venues.

Details

Configuration

Please make sure you confirm with Support whether or not you wish to utilise TCP or UDP connectivity.

UDP sessions have lower latency, but are potentially subject to message loss. Subscriptions therefore utilise additional gap detection/recovery logic. Please refer to UDP/Multicast Market Data Feeds for additional detail. 

  • PROD sessions are typically via cross connect, which should support UDP connections with minimal problems. Clients should consider disconnection/escalation if they see any ErrorReport or GapDetected events.
  • UAT sessions may be via public Internet, which will lead to frequent message gaps over UDP. This is useful if you want to observe/validate this behaviour. Otherwise please consider TCP if you want stability. 


UDP Gap Detection

Whilst gap-detection and recovery is reliable for individual subscriptions, the currenex API has the following additional characteristics:

The Currenex TradeTicker message is unsequenced.  On a UDP session, it is not possible to detect the failed delivery of a ticker message and therefore gaps may potentially exist.


Whilst delivery of a complete list of Security Status messages is guaranteed during session establishment, this is not the case for IntraDay (date roll) SecurityStatus messages.