What field do we use for exchange timestamp (xts)

Vyom
Vyom Newcomer
edited June 19 in ETA

So I need the exchange timestamp in my database but I am not able to find the field for that. Some options that come into mind are: EXCHTIM (FID 1067) but it does not have the date part, the CRRNT_TIME is only send in the refresh message. Is there a way out?

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Answers

  • Gurpreet
    Gurpreet admin

    Hello @Vyom

    There are multiple fields which carry time information and it will depend on your asset class as well as the venue where the instrument is traded. It you capture the Refresh message, you should be able to see various fields, some even with the nanosecond precision. For e.g for IBM trading on NYSE, I see this - 

    name="TRDTIM_1" value="15:14:00:000:000:000"
name="TRDTIM_1" value="15:14:00:000:000:000"
name="NEWS_TIME" value="09:25:34:000:000:000"
name="NEWS_TIME" value="09:25:34:000:000:000"
name="SALTIM" value="15:15:04:000:000:000"
name="SALTIM" value="15:15:04:000:000:000"
name="QUOTIM" value="15:15:04:000:000:000"
name="QUOTIM" value="15:15:04:000:000:000"
name="EXCHTIM" value="15:14:26:000:000:000"
name="EXCHTIM" value="15:14:26:000:000:000"
name="TRDTIM_MS" value="54866736"
name="SALTIM_MS" value="54904098"
name="QUOTIM_MS" value="54904098"
name="IRGTIM_MS" value="54904098"
name="BLKTIM_MS" value="13:30:00:963:000:000"
name="BLKTIM_MS" value="13:30:00:963:000:000"
name="ORDRECV_MS" value="15:15:04:098:000:000"
name="TRDRECV_MS" value="15:15:04:098:000:000"
name="HLT_RSM_MS" value="17:13:43:390:000:000"
name="ODDTIM_MS" value="15:15:04:098:000:000"
name="ODDTIM_MS" value="15:15:04:098:000:000"
name="HALT_TM_MS" value="16:56:17:040:000:000"
name="QUOTIM_NS" value="15:15:04:098:946:853"
name="QUOTIM_NS" value="15:15:04:098:946:853"
name="SALTIM_NS" value="15:14:26:736:938:600"
name="SALTIM_NS" value="15:14:26:736:938:600"
name="IRGTIM_NS" value="15:15:04:098:946:853"
name="IRGTIM_NS" value="15:15:04:098:946:853"
name="BLKTIM_NS" value="13:30:00:963:270:633"
name="BLKTIM_NS" value="13:30:00:963:270:633"
name="QUOTIM2_NS" value="15:15:04:098:889:255"
name="QUOTIM2_NS" value="15:15:04:098:889:255"
name="QUOTIM3_NS" value="15:15:01:674:117:361"
name="QUOTIM3_NS" value="15:15:01:674:117:361"
name="QUOTIM4_NS" value="15:15:00:626:889:061"
name="QUOTIM4_NS" value="15:15:00:626:889:061"
name="QUOTIM5_NS" value="15:14:59:988:174:421"
name="QUOTIM5_NS" value="15:14:59:988:174:421"
name="ODDTIM_NS" value="15:15:04:098:946:853"
name="ODDTIM_NS" value="15:15:04:098:946:853"
name="SALTIM2_NS" value="15:14:18:139:735:986"
name="SALTIM2_NS" value="15:14:18:139:735:986"
name="SALTIM3_NS" value="15:13:58:570:803:562"
name="SALTIM3_NS" value="15:13:58:570:803:562"
name="SALTIM4_NS" value="15:12:11:437:592:977"
name="SALTIM4_NS" value="15:12:11:437:592:977"
name="SALTIM5_NS" value="15:11:45:888:401:123"
name="SALTIM5_NS" value="15:11:45:888:401:123"
name="OPEN_T_NS" value="13:30:00:963:270:633"
name="SRC_ES_NS" value="15:15:04:098:978:303"
name="TRD_LM_NS" value="15:15:00:014:322:561"

    You can see the description of the fields in the RDM field dictionary.

  • Vyom
    Vyom Newcomer

    Can you please recomend a datetime field which comes even in update messages.

  • Gurpreet
    Gurpreet admin
    edited June 18
    https://community.developers.refinitiv.com/discussion/comment/126376#Comment_126376

    Hi @Vyom

    The fields will depend on your listing venue. You will have to subscribe to your universe of instruments and see what is populated in the update messages. If all the instruments belong to the same exchange, then same field can be used for all.

    In general, update message will contain Quote time if it is a Quote (Bid/Ask) only update. It will contain Trade time/Saltime or Correction time for trade events.

    You can see a brief description of the fields in the RDM Field dictionary.

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