open_pricing_stream api issue

kevin.girard

Hi, I’m using the LSEG Data Library for Python with ld.open_pricing_stream() on ICE Brent futures, requesting fields including TRADE_ID, TRDPRC_1, TRDVOL_1, AGGRS_SID1 and SEQNUM.

I’m trying to construct real-time cumulative volume delta (CVD), so I need every executed trade in sequence, with the aggressor side (BID/ASK) and trade volume.

I have compared a live open_pricing_stream() capture against ld.get_history(interval="tick") for exactly the same period. For trade IDs that appeared in both datasets, price, volume, aggressor side and sequence number matched 100%. However, the historical tick data contained many additional BID/ASK-classified trades that were not received through open_pricing_stream().

Can you confirm whether open_pricing_stream() / the Workspace MarketPrice stream is conflated or otherwise not guaranteed to deliver every individual trade event?

For an exact real-time Time & Sales feed suitable for CVD, what LSEG interface/product should I use? Specifically:

1. Is there a full-tick or trade-safe MarketPrice stream available through the LSEG Data Library?
2. Should I use the lower-level Delivery Layer / OMM Stream instead of the Content Layer open_pricing_stream()?
3. If so, what domain/service/QoS settings are required for ICE Brent futures?
4. Does this require additional Real-Time / Real-Time Optimized / ADS entitlements?
5. Is AGGRS_SID1 available trade-by-trade on that feed?
6. If full Level 2 data is required, do I have access to MarketByPrice or MarketByOrder for ICE Brent through my current Workspace entitlement?

My goal is not merely current bid/ask or DOM snapshots; I need a lossless live sequence of executed trades so that real-time CVD matches the historical tick record.

Thanks

Jirapongse

@kevin.girard

Thank you for reaching out to us.

You can run the EX-3.02.01-OMMStream-MarketPrice.ipynb to verify the QoS of the data.

For example:

stream = omm_stream.Definition(
    name="LSEG.L",    
    fields=['BID', 'ASK','OPEN_PRC','HST_CLOSE','TIMACT'], 
    domain='MarketPrice').get_stream()

# Refresh - the first full image we get back from the server
stream.on_refresh(lambda event, item_stream  : display_event("Refresh", event))

# Update - as and when field values change, we receive updates from the server
stream.on_update(lambda event, item_stream : display_event("Update", event))

# Status - if data goes stale or item closes, we get a status message
stream.on_status(lambda event, item_stream : display_event("Status", event))

# Other errors
stream.on_error(lambda event, item_stream : display_event("Error", event))

In the Refresh Event, you will see the Qos property that indicates the qualify of the service. This one indicates that the quality of the service of this item is conflated.

"Qos": {

    "Rate": "TimeConflated",

    "Timeliness": "DelayedUnknown"

  },

The Qos of the real-time/tick by tick will look like this:

  "Qos": {

    "Rate": "TickByTick",

    "Timeliness": "Realtime"

  },

If you require real-time/tick-by-tick market data, please contact your LSEG account representative or sales team to discuss the most suitable product for your requirements.