August 28th, 2008, 9:44 am
Hello,Does anyone has some expericences with using endofday market data from Reuters DSS ?And even further does anyone use DSS market data in Murex ?Regarding loading end of day data into MX3 for VaR and related tasks we are currently thinking about the best way to do that. Does anyone have some experience on feeding data from Reuters Data Scope Select (EOD data) via MDRS into MX DB ?Actually we are calculating VaR using a historical simulation. The preferred case would be to have the historical market data time series (some thousand series) 5 years back in the MX DB. So we would like to use DSS via MDRS to import the historical time series into Mx and also to write the daily endofday closing into MX DB via MDRS.Some concrete questions would be- Daily delivery delay of EndofDay values from DSS: For example US exchanges close at 10 pm; when does DSS provide the closing for US equities ?- Historical quality checks of DSS data: How good are the checks ?- Mapping of Reuters XML Format and MX MDML Format: Are both formats easy to map ?thx,Christoph