Configuring a Live-Feed Source

Configuring a live-feed source is a two-step process:

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You first need to define a feed source

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Then you need to map the Calypso quote names with the quote names of the feed source

1. Defining a Feed Source

From the Calypso Navigator, navigate to Configuration > Market Data > Feed (menu action util.FeedConfigWindow) to define a feed source.

Feed Source Definition

Select the type of feed source you want to use: RFA (Reuters RFA), Bloomberg (Bloomberg Data License), Bloomberg SAPI, Random (random quote generator for test purposes), or Composite.

A number of attributes are displayed, define the attributes as needed.

For RFA, refer to the Calypso Reuters RFA Integration Guide for details.

For Bloomberg, refer to the Calypso Bloomberg Data License Integration Guide for details.

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Security definitions, historical market data, snapshot of market data (including CLOSE quotes)

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Send Bloomberg data requests and retrieve data via FTP/SFTP

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Does not require Bloomberg Terminal access

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Allows for high volume of data

For BloombergSAPI, refer to the Calypso Bloomberg SAPI Integration Guide for details.

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Real-time and delayed market data (no CLOSE quotes)

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Obtains data from Bloomberg via a client-side dedicated Server API process

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Each user must be logged into the Bloomberg Terminal while using the feed in Calypso

For Random, see Random Feed Setup for details.

For Composite, see Creating a Composite Feed Source for details.

Enter a name in the Name field. The feed configuration will be identified by its name throughout the system.

Click Save to save the configuration.

2. Feed Mapping

You need to map the quote addresses of the feed source to the actual quote names in Calypso.

From the Calypso Navigator, navigate to Configuration > Market Data > Feed Address Mapping (menu action marketdata.FeedAddressWindow).

Feed Source Mapping

Select a feed definition from the Feed field, and click Load All to load all Calypso quote names. They appear in the Addresses list on the left-hand side.

You can search specific quote names using the Names Like field, and click Refresh to update the list of Calypso quote names.

Select a Calypso quote name from the Addresses list. The selected address appears in the Quote Address field.

Clicking Load for Filter will load all quotes matching the Names Like field into the Quote Address field.

Enter the corresponding address from the feed source in the Feed Address field, and any multiplicative or additive factor.

Enter the instance names from the feed source corresponding to the Calypso instance names (Bid, Ask, High, Last, Open, Close, Low, and Date).

Ⓘ [NOTE: The date that the system saves with the quote defaults to today’s date. However, you may want to save a different date with the quote, depending on what the feed offers. For example, when using the Reuters feed, you could map ACTIVE_DATE, VALUE_DT1 (yesterday's quote), or VALUE_DT2 (quote from the day before yesterday) to the Calypso Date field - Please refer to the Calypso Reuters RFA Integration Guide for complete details]

Click Add to save the mapping.

3. Creating a Composite Feed Source

The composite feed source allows aggregating data from multiple feeds.

Select the Composite feed source option from the Type drop-down list.

Enter the feed sources to include in the composite source. These need to be defined as feed sources as well.

Ⓘ [NOTE: An error message will appear if the sources provide conflicting information for the same quote]

Click Save to save the configuration.

What's Next?

You can now configure a market data server.