Does ELEKTRON Market By Price data have trade information?

Hi,

we're subscribing to TSE (Tokyo Stock Exchange) via Reuters Elektron Market By Price book, with the hope of getting all quotes and trades. However, it looks like the messages don't include the trades. Can somebody clarify if we should have received trades information when subscribing to Reuter's Elektron via MarketByPrice? What else should we do then? thanks

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Accepted answers

umer.nalla

Hi @jzhao

Market-By-Price is defined as a data model for the presentation of
order book content in an aggregated fashion, where multiple orders can reside
within a single ‘row’. This is in
contrast to a Market-By-Order presentation of an order book, where each row is
an individual order.

Therefore, it will contain buy and sell orders and not actual trades.

As mentioned by my colleague please consume streaming MarketPrice and it should provide trade information each time a trade takes place.

If the above does not provide the information you require please contact our Data Content helpdesk for further guidance TR My Account - Contact Us

All comments

chavalit-jintamalit

Can you also try to subscribe to MarketPrice domain and check if this is the trade information you want?

umer.nalla

Hi @jzhao

Therefore, it will contain buy and sell orders and not actual trades.

As mentioned by my colleague please consume streaming MarketPrice and it should provide trade information each time a trade takes place.

If the above does not provide the information you require please contact our Data Content helpdesk for further guidance TR My Account - Contact Us

jzhao

Thanks Chavalit. we're subscribing MarketPrice for trades but we're wondering if we can get the same from level II data.

jzhao

Thanks Umer for the clarification. We understand this is how Reuters' models work. The reasons for us to subscribe MarketByPrice is to get (TSE) opening and closing auction information. However aren't there some overlaps between MarketPrice and MarketByPrice regarding top of the book information? Normally, we expect level II data includes level I data so we don't need to double subscribe to consume bandwidth. thanks.

umer.nalla

Hi @jzhao

I am not a Data/Content person - so I dont know if we have legacy format Top of Order Book RICs available in MarketPrice domain which may combine Top ten orders + trade information.

I recommend you contact our Content team using the above link and raise a Content query.

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