What are the required field for fetching BUY/SELL/Volume Delta data while using C#/Python TRTH TA...

niket.chauhan

...S API? Also, Can I fetch Volume Delta/Buy/Sell data directly using C#/Python TRTH Intraday API?

Need to fetch Buy Volume, Sell Volume and Volume Delta for TRTH TAS and Intraday API. Is that Possible? If yes, kindly provide the field name.

Also one more question while fetching TRTH TAS data rows come with no price value but have a volume value, what does that mean? I will attach a snapshot for reference..

Jirapongse

@niket.chauhan

Thanks for reaching out to us.

I checked the Data Dictionary - Refinitiv Tick History Custom Reporting document and found the Quote - Delta field in the Tick History Time and Sales report template. However, this field supports the Futures and Options asset type.

You can search for the required fields in the Data Dictionary - Refinitiv Tick History Custom Reporting document.

Moreover, I found that when the Trade - Price is NaN, the value of the Trade - Qualifiers is Special Trades[USER], as shown below.

You can contact the Refinitiv Tick History support team directly via MyRefinitiv to find delta fields and ask for the definition of the "Special Trades[USER]" qualifier.

I found the meaning of this qualifier in our knowledge base.

The trades where qualifiers are mentioned as < Special Trades[USER]> are Implied or Strategy trades. For Implied or strategy trades, we see changes in Accumulated Volumes in RAW report. However the same is not being updated in TAS. The reason being these volumes are derived from FID 32 (ACVOL_1) using Cumulative Calculation for generating ‘Spread Volume’ and we have not supplied Accumulated Volume with the derived ‘Spread Volume’.

For Implied Trades, we are capturing only Trade Volumes (derived from accumulated Volume), sequence number and Exchange Time in Time and Sales report which is Valid. We have a internal calculation as current value of FID 32 minus previous value of FID 32  

However, it is better to confirm this with the product support team.

I hope that this information is of help