TCLRFA

TclRFA provides Tcl extension for accessing Thomson Reuters market data feeds such as Elektron, RMDS,Thomson Reuter Enterprise Platform for Real-time (TREP-RT) or RDF-D. It supports subscription and publication of level 1 and 2 market data using OMM data message model.

Features:

• Subscription for Market Price (level 1)
• Subscription for Market by Order (order book)
• Subscription for Market by Price (market depth)
• Snapshot request
• Multiple service subscription
• Pause and resume subscription
• OMM Posting
• View
• Dictionary download or using local files
• Directory request
• Symbol list request
• Timeseries request and decoder for IDN TS1
• Custom domain MMT_HISTORY which can be used for intraday publishing
• Non-interactive provider for MARKET_PRICE, MARKET_BY_ORDER, MARKET_BY_PRICE, SYMBOLLIST, HISTORY domain
• Interactive provider for MARKET_PRICE domain
• Debug mode
• Logging
• Low-latency mode
• Subscription outbound NIC binding

Tclrfa is written with C++ and ported as a stub extension for Tcl 8.5+

INSTALLATION

Download a package from:

Then run:

> unzip tclrfa<version>-<platform>.zip
> cd tclrfa<version>-<platform>/
> tclsh setup.tcl install

See changelog.

SUPPORTED SYSTEMS

• Linux x86 64bit
• Windows x86 32 and 64bit

With Tcl8.5+. We recommend ActiveTcl 8.5 from ActiveState.

EXAMPLE

package require tclrfa
set t [tclrfa]
$t createConfigDb "./tclrfa.cfg"
$t acquireSession "Session1"
$t createOMMConsumer
$t login
$t directoryRequest
$t dictionaryRequest
$t marketPriceRequest "EUR= JPY="

while {1} {
    foreach u [$t dispatchEventQueue] {
        puts "\n[dict get $u SERVICE] - [dict get $u RIC]"
        foreach {k v} $u {
            puts "[format "%15s    %-10s" $k $v]"
        }
    }
}

SUPPORT

• See API documentation
• Report an issue on our GitHub
• Enterprise support is available