Sphinx search complains about missing .sph file for RT index

Question

I added a real-time (RT) index to my sphinx.conf file. I can see it when I connect to Sphinx with mysql -h 127.0.0.1 -P 3312. But when I try to do a command-line search, Shinx adds to the end of the response:

index 'drupal_rt': search error: failed to open /var/lib/sphinx/rt_drupal_nodes.sph: No such file or directory.