Using the 3.2.06-Endpoint-TSIMetadata (beta5) example for the Refinitiv Data Library for .NET I queried the session meta data for the Instruments SQ3 and JPY=TF. (example query: "/data/historical-pricing/v1/metadata/instrument-metadata?version=v2&types=TradingSessions&ric=SQ3")
Checking the session definition for the currently valid session of both instruments, I noticed that both instruments are using overnight sessions. When I look at the instrument sessions using the EIKON application I can see that instruments have daily sessions that either start on the previous day (SQ3) or end on the next day (JPY=TF). Looking at the session data in JSON form it seems ambiguous as to in what "direction" the sessions are supposed to go.
- Is there a way to tell which way the sessions are supposed to go?
- Is there any documentation explaining how to interpret the session objects?
Looking at the example below it seems to me the information is missing.
Example SQ3
Monday session is supposed to start on Sunday and end on Monday, but looking only at the data it could also be possible that it starts on Monday and ends on Tuesday.
"trades":
[
1,
2,
3,
4,
5
],
"tradesText": {
"tue": "tue",
"wed": "wed",
"thu": "thu",
"fri": "fri",
"mon": "mon"
},
"tradingPhase":
"Electronic",
"startTime": [
19,
0,
0
],
"endTime": [
7,
45,
0
],
"classificationText":
"Normal",
"classification": 1,
"isOvernight": true
},
Example JPY=TF
The session definition looks similar but is supposed to go from Monday to Tuesday.
"trades":
[
null,
1
],
"tradesText": {
"mon": "mon"
},
"tradingPhase":
"Normal",
"startTime": [
7,
10,
0
],
"endTime": [
5,
55,
0
],
"classificationText":
"Normal",
"classification": 1,
"isOvernight": true
