How to interpret BEST_BID1 without BEST_BSIZ1

I'm looking at instrument /IBKC.F and I see that I have values in

BEST_BID1 but not in BEST_BSIZ1 and I'm not sure how to interpret this.

Is there any rule on how to interpret a BEST_BID1 value without any BEST_BSIZE1?

Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    Yes,</IBKC.F>doesn't provide the values in BEST_BSIZ1.

    image

    It implies that this RIC only provides the first best bid without the associated size. The followings are the definitions of those fields.

    BEST_BID1  "BEST BID 1"           436  NULL        PRICE              17  REAL64           7
    BEST_BID2 "BEST BID 2" 437 NULL PRICE 17 REAL64 7
    BEST_BID3 "BEST BID 3" 438 NULL PRICE 17 REAL64 7
    BEST_BID4 "BEST BID 4" 439 NULL PRICE 17 REAL64 7
    BEST_BID5 "BEST BID 5" 440 NULL PRICE 17 REAL64 7
    !
    ! The five best bid price levels with the best in BEST_BID1. Note that these fields
    ! are not rippled.
    !
    ...

    BEST_BSIZ1 "BEST BID SIZE 1" 730 NULL INTEGER 15 REAL64 7
    BEST_BSIZ2 "BEST BID SIZE 2" 731 NULL INTEGER 15 REAL64 7
    BEST_BSIZ3 "BEST BID SIZE 3" 732 NULL INTEGER 15 REAL64 7
    BEST_BSIZ4 "BEST BID SIZE 4" 733 NULL INTEGER 15 REAL64 7
    BEST_BSIZ5 "BEST BID SIZE 5" 734 NULL INTEGER 15 REAL64 7
    !
    ! The five best bid sizes associated with the fields BEST_BID1 to BEST_BID5.
    !

    For more information, you can contact the content team directly via https://my.thomsonreuters.com/ContactUsNew.