Function documentationDatafeed

 

You can use the datafeed to incorporate current and historic market data into your financial transactions by means of an interface. The following graphic provides an overview of the use of datafeed in the system.

Once the file has been uploaded, the translation tables are used to convert the formats of external market data into system-internal formats. You have the option of calling up market data either daily (with a scheduled batch job) or continuously (in real time) and of then writing the data to the market data tables.

Market data that is uploaded from Excel files with a valid, readable format can be written directly (without conversion) to the market data tables. (For more information, see the documentation in transaction TBEXN or in program RFTBDF_OLE.)

In Customizing, you can specify that selected market data is stored in the market data buffer and not written to the market data tables.

Examples of market data classes that are supported:

  • Currency rates (exchange rates)

  • Security prices

  • Reference interest rates (such as LIBOR, FIBOR)

  • Indexes

  • Forex swap rates (forwards)

  • Currency volatilities

  • Security volatilities

  • Index volatilities

  • Interest rate volatilities

  • Commodity prices (daily basis or time basis)

  • Basis Spreads

  • Credit Spreads

Prerequisites

Use of the datafeed requires the following prerequisites to be met:

  • You have activated the datafeed functions and made the relevant settings. You make these settings in Customizing for Treasury and Risk Management under Market Data Management or in Customizing for Cash and Liquidity Management under Start of the navigation path Cash Management Next navigation step Market Data Next navigation step Datafeed End of the navigation path.

  • The RFC connection with the partner system has been set up, and the system platform of your datafeed provider supports the datafeed.

  • You have made the required settings in Customizing for Treasury and Risk Management under Start of the navigation path Basic Functions Next navigation step Market Data Management Next navigation step Datafeed End of the navigation path.

  • You have the following RFC authorizations:

    • Authorization object S_RFC with the field values RFC-TYPE = FUGR, RFC_NAME = TBDF, and ACTVT = 16 (Execute)

    • For asynchronous calls: authorization object F_T_FBNAME with the field values ACTVT = 01 (Add or Create) and FNMA =  TB_DATAFEED_RATE_R

    These authorization objects are contained in profile F_DTFEED_ALL.

  • You need the following authorization groups for the market data tables:

    • FC32 (Currencies)

    • FC16 (Interest)

    • TRZ (Indexes)

    • FC00 (Currency Volatilities)

    • TRMK (Interest Volatilities)

    • Commodities

Features

Examples of functions provided with the datafeed:

  • Various reports for requesting and transferring market data from datafeed providers

  • Market data buffer for storing market data temporarily

  • Reports for directly evaluating the market data buffer as well as for storing currency, interest, and security data in the relevant market data tables

  • Query log for documenting when the market data buffer was accessed

  • Standardized communication structures

  • Flexible adjustment of the financial instrument names

  • Datafeed workflow for detecting and resolving errors

  • User exit for price/rate calculations (For average price/rate calculations, inversion of prices/rates, and so on, the SAP enhancement TRTMDF01 is available. You have access to prices/rates that are stored permanently, and you can calculate new prices/rates if necessary.)

  • Rate/price provision from the Internet (For this, you make the required settings in Customizing for Treasury and Risk Management under Start of the navigation path Basic Functions Next navigation step Market Data Management Next navigation step Technical Settings Next navigation step Internet Settings for External Partner Program End of the navigation path.)

    Caution Caution

    You can only use this function if you use the Web server of an SAP-certified partner whose certificate is also valid for Internet access.

    End of the caution.