Do you offer filters on the data, for a symbol universe?

No, all the data feeds are firehose-style, so you get all the messages. For example, if you are consuming GIDS feed - you’ll want to apply a filter on the Intraday Index Value (IIV) Messages and possibly the Equities Summary Messages to parse out the .IXIC symbol. If you use our SDK, then the pseudo code would look like: 

for (ConsumerRecord record : records) { Schema.Field symbolField = record.value().getSchema().getField("instrumentID"); String sym = null; if (symbolField != null) { sym = ((org.apache.avro.util.Utf8) record.value().get(symbolField.pos())).toString().trim(); } if ((symbols == null || symbolSet.contains(sym)) && (msgTypes == null || msgTypeSet.contains(msg_t))) { // put logic here System.out.println(record.value().toString()); } }

and you would plug the filtering code into

Did this answer your question? Thanks for the feedback There was a problem submitting your feedback. Please try again later.