Market data service
The Market Data service (MarketDataService) enables retrieval of streaming data for securities which are priced intra-day, by using the Bloomberg API subscription paradigm. All fields desired must be explicitly listed in the subscription to receive their updates.
Streams supported:
DEPTH
TRADE
BBA
Based on stream type, the adapter sends the default filed list for a subscription.
For Depth subscription, following fields are listed as a default:
BEST_BID1 thru BEST_BID5 ->First thru tenth best bid price in ten levels of market depth.
BEST_BID1_SZ thru BEST_BID5_SZ Size of first thru tenth best bid in ten levels of market depth.
BEST_ASK1 thru BEST_ASK5 First thru tenth best ask price in ten levels of market depth.
BEST_ASK1_SZ thru BEST_ASK5_SZ Size of first thru tenth best ask in ten levels of.
For Tick data, following Bloomberg fields are listed as a default:
EVT_TRADE_PRICE_RT ,EVT_TRADE_SIZE_RT,EVT_TRADE_DATE_RT and EVT_TRADE_TIME_RT.
For BBA subscription, following fields are listed as a default for any subscription.
EVT_QUOTE_BID_PRICE_RT,EVT_QUOTE_BID_SIZE_RT,EVT_QUOTE_ASK_PRICE_RT and EVT_QUOTE_ASK_SIZE_RT.
You can subscribe other fields by setting "Fields" parameters of the Connect Stream.
Example for Depth subscription:
if Symbol is "TT314347@UKRB" and Connection CtrlParams are "YELLOW_KEY":"corp" and "Fields":"LAST_TRADE,SIZE_LAST_TRADE" then subscription will be "//blp/mktdata/ticker/TT314347@UKRB corp?fields=LAST_TRADE,SIZE_LAST_TRADE, BEST_ASK3_SZ:BEST_ASK2_SZ:BEST_ASK1:BEST_ASK1_SZ:BEST_ASK4:BEST_BID1_SZ:BEST_ASK2: BEST_ASK3:BEST_ASK5:BEST_ASK4_SZ:BEST_ASK5_SZ: BEST_BID1: BEST_BID2:BEST_BID2_SZ:BEST_BID3:BEST_BID3_SZ: BEST_BID4:BEST_BID4_SZ:BEST_BID5:BEST_BID5_SZ".