string

Default: Transport name

Channel on which the IAF is configured to listen.

string

Default: stdout

Path to log file for the BVMF_UMDF service monitors.

string

Default: INFO

Logging level for the BVMF_UMDF service monitors. Any level known to the Apama LoggingManager plugin may be used.

boolean

Default: True

If set to "true", the log file will be appended to rather than being truncated when the adapter starts.

float

Default: 5.0

Rate at which the heartbeats have to be sent to the transport.

integer

Default: 60

Time before which the adapter should try to reconnect to the backup feed if the primary feed fails to send any data.

boolean

Default: False

If set to "true", detailed information on incoming market data snapshot and updates for all subscribed symbols will be logged to the session log file. Note that these log messages will only be visible if the updateLoggingLevel parameter is also set to a level greater than or equal to the logLevel of the session.

string

Default: DEBUG

Logging level for detailed logging of all incoming market data messages for subscribed symbols. If this is equal to or greater than the logLevel, the extra logging will appear in the log file. Note that this should only be enabled for debugging purposes with a small set of symbols, as the extra logging can be extremely verbose.

boolean

Default: True

Market Data received from UMDF can be of either price depth, order depth book or top of the book. If aggregatePrices is set to "true", market data of instruments for which order depth book (MBO) is being received will be published as price depth book(MBP)

boolean

Default: False

If set to "true", com.apama.marketdata.Depth events generated by the adapter will contain extraParams keys identifying the "source" (that is, the outright or implied book) of each price level.

boolean

Default: True

If set to "true", com.apama.markertdata.Depth and Tick events will include extraParams keys identifying the "source" of each update, that is the channel, update type and message sequence numbers:

Channel. FIX/FAST channel number

UpdateType. "S" for Snapshot, "I" for Incremental, "G" for Gap, "F" for Security Status update

SeqNum. Per-channel message sequence number

RptSeq. Highest per-instrument update sequence number that contributed to this event

RptSeq0. Lowest per-instrument update sequence number that contributed to this event

LastMsgSeq. (Snapshots only) highest incremental message sequence number that contributed to the contents of the snapshot message

boolean

Default: True

If set to "true",com.apama.markertdata.Depth and Tick events will include additional FIX tags from the FIX/FAST messages used to generate the events, in the extraParams dictionary. The set of extra tags that will be included is subject to change.

boolean

Default: True

If set to "true", a com.apama.marketdata.Depth event with no bid or ask price levels will be published for all effected symbols when a sequence gap is seen on the FIX/FAST feed. Note that regardless of the setting of this parameter, receipt of a gap report is signalled by publishing both com.apama.marketdata.DepthSubscriptionError and com.apama.marketdata.TickSubscriptionError events for all affected subscriptions as described in the next section. Note also that setting this parameter to "false" does not prevent empty bid or ask books generated during normal operation of the market from being published.

boolean

Default: False

If set to "true", market statistics will be added to the extraParams dictionary of all the Tick events and the Depth events constructed from market snapshots published to applications. The following set of extraParams keys is used:

IndexValue - Data related to indexes and ETFs

Open - The opening price of the security (first trade)

TheoreticalOpeningPrice - Theoretical Opening Price

TheoreticalOpeningQuantity - Theoretical Closing Price

Close - The closing price of the security (previous day's last trade)

Settle - The settlement price of the security.

High - The highest price traded for the security in the trading session.

Low - The lowest price traded for the security in the trading session

VWAPPrice - the ratio of the value traded to total volume traded over the trading session

ImbalanceBuyers - Imbalance Buyers

ImbalanceSellers - Imbalance Sellers

TradeVolume - The total volume traded for that security in the trading session

OpenInterest - Total number of contracts in a commodity or options market that are still open; that is, they have not been exercised, close out, or allowed to expire.

PriceBandHigh - Price Band High Information

PriceBandLow - Price Band Low Information

TradingReferencePrice - Trading Reference Price

NetChange - Net change from previous day's closing price versus last traded price.

TotalTradedQuantity - Total traded quantity (shares, contracts, exercised contracts) of the trading day

AvgDailyTradedQty - Daily average shares traded within 30 days(Quantity band Information).

MaxTradeVol - The maximum order quantity that can be submitted for a security.(Quantity band)

UnderlyingPrice - To inform the price composition of BDR indexes.(Composite Underlying Price)

Except Market statistics, if user needs any of the extra fields delivered by the feed to the Depth and Tick events then you have to set this parameter with MDEntryType followed by Tags. Asterisk (*) symbol also for all parameters. Example:

boolean

Default: False

If set to "true", the service monitors will record microsecond resolution timestamps for incoming Snapshot and Incremental events and add these to __timestamps parameter in the extraParams dictionaries of all Depth and Tick events sent to clients. __timestamps is a string dictionary containing the following key:value timestamp pairs:

1000 - time that the message was read from the network (if supplied by the transport)

1249 - time that the event was ready to send to the correlator (if supplied by the transport)

5200 - time that the event reached the monitors

5250 - time that the event was ready to publish

Note that these timestamps are relative to an unspecified epoch so should only be used for latency calculations on a single machine. Note also that actual publication of trade updates may be delayed until the end of a trade "event" on the feed is detected. This delay is not reflected in the 5250 timestamp value but can easily be calculated by an application.

boolean

Default: False

If set to "true", and timestamp recording has been enabled both in the transport and in the service monitors, the end-to-end latency (value@5250 - value@1000) will be calculated and logged at INFO level for all Depth and Tick events published to clients.

boolean

Default: False

If set to "true", prevents all Depth events having best bid price >= best offer price from being routed.

boolean

Default: False

If set to "true", publishes "SecurityTradingStatus" and "SecurityTradingPhase" updates in the extraPrams of the depth event.

boolean

Default: False

Set this to "true" to logs News messages.

boolean

Default: True

Ignore incoming Incremental Updates with QuoteCondition set as being Retransmitted.

boolean

Default: False

If set to "true", forwards the SecurityID used in the UMDF session in the Depth and Tick extraParams as "SecurityId".

boolean

Default: False

If set to "true", The ContractMultiplier provided in SecurityList (Instrument Definition) is used to multiply the quantity values in Depth and Tick updates.

boolean

Default: True

If set to "true", The PriceDivisor provided in SecurityList (Instrument Definition) will be used to divide the Price field to produce the actual order price.

boolean

Default: True

If set to "true", a Tick update will be published in the event of a trade bust with "tradeBust":"true" in extraParams. Else the update will be discarded.

boolean

Default: False

If set to "true", the adapter publishes order book based on prices that is, Decreasing Order on bidSide and Increasing Order on askSide. This is not a suggested configuration if the instrument is in Auction state or Close state where no prices are received from the exchange.

integer

Default: 0

Number of price levels to be present in the depth update. If set to 0, publishes all the levels received from the exchange.

boolean

Default: False

MarketDepth for an instrument can be retrieved using the SecurityList message and also by using the Snapshot message. If set to "true", the MarketDepth present in the snapshot message will be used as the size of the orderbook.

boolean

Default: False

If set to "true", publish the Broker information (that is Broker code,time) of MDEntryType (Bid/Ask) in the extraPrams of the depth event.

The following tag are Broker information of MDEntryType(Bid/Ask):

boolean

Default: False

Set to "true" for Connecting to Feeds prior to UMDF 2.0. This will disable publishing of market statistics based on StreamID, and will only publish statistics for the default stream ("E" - Electronic).