Unable to fetch Mid price from DSS

Dear All,

Through Intraday pricing we are not receiving Mid price, please advice how to fetch MID price for the RIC code SGD=.

Raw data from Reuters :

"IdentifierType": "Ric",
"Identifier": "SGD=",
"RIC": "SGD=",
"Ask Price": 1.4316,
"Asset Type": "MONY",
"Bid Price": 1.4311,
"Currency Code": "SGD",
"Exchange Code": "RCT",
"High Price": 1.4365,
"Instrument ID": "SGD=",
"Instrument ID Type": "RIC",
"Low Price": 1.4284,
"Open Price": 1.4313,
"Previous Close Date": "2016-11-23",
"Previous Close Price": 1.4317,
"Security Description": "US Dollar/Singapore Dollar FX Spot Rate",
"Settlement Price": null,
"Trade Date": "2016-11-24",
"Volume": 27708

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Accepted answers

Christiaan Meihsl

@gnareshkumar

Using the GetValidContentFieldTypes discovery endpoint for an Intraday request you will find 2 fields for mid price:

"Average of Bid and Ask". Description: "Mid point between the Bid Price and Ask Price".

"Mid Price". Description: "Instrument's price that is between the bid and ask prices. Note, this field may contain representative values. Use Average of Bid and Ask for a pure average of Bid and Ask"

I just made an intraday OnDemand request for SGD=, both delivered the expected value. Here is the relevant extract of the result:

      "RIC": "SGD=",
      "Average of Bid and Ask": 1.4276,
      "Mid Price": 1.4276,
      "Ask Price": 1.428,
      "Bid Price": 1.4272,

That said, as Rick pointed out, Mid Price data might not necessarily be available for all instruments.

Suggestion: you might want to implement some logic to calculate the mid price yourself from the bid and ask, either in all cases or as a fallback in case the "Mid Price" field is empty.

All comments

Rick Weyrauch

The GetValidContentFieldTypes discovery endpoint will enumerate all of the available fields for any ReportTemplateType. For the RTs that provide it, I would expect them all to use "Mid Price" for that field.

It should be noted that "Mid Price" is not necessarily available for all instrument types or even some specific instruments. This value is contributor dependent. I did see Mid Price values for SGD= on a test Intraday extraction I ran.

What type of extraction did you use to gather those facts? Did you capture any of the diagnostic details listed at https://hosted.datascopeapi.reuters.com/RestApi.Help/Home/Diagnostics or the extraction notes (Note: The Extract() endpoint is being depreciated because it does not provide extraction notes - all new implementations should be using ExtractWithNotes.)?

Christiaan Meihsl

@gnareshkumar

Using the GetValidContentFieldTypes discovery endpoint for an Intraday request you will find 2 fields for mid price:

"Average of Bid and Ask". Description: "Mid point between the Bid Price and Ask Price".

I just made an intraday OnDemand request for SGD=, both delivered the expected value. Here is the relevant extract of the result:

      "RIC": "SGD=",
      "Average of Bid and Ask": 1.4276,
      "Mid Price": 1.4276,
      "Ask Price": 1.428,
      "Bid Price": 1.4272,

That said, as Rick pointed out, Mid Price data might not necessarily be available for all instruments.

Suggestion: you might want to implement some logic to calculate the mid price yourself from the bid and ask, either in all cases or as a fallback in case the "Mid Price" field is empty.

gnareshkumar

Hi Christiaan Meihsl, Rick Weyrauch

Thanks a lot for the information

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