missing data for field "Trade - Bid Price" and "Trade - Ask Price"

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I am extracting data for RIC="CLZ7" (Crude Oil Futures contract).

I would like to receive return rows in which all of the following fields filled:

"Trade - Bid Price","Trade - Price",
"Trade - Ask Price","Trade - Volume",
"Trade - Exchange Time"

However the "Trade - Bid Price" and "Trade - Ask Price" fields are always returned blank.

I understand that I can use the fields "Quote - Bid Price" and "Quote - Ask Price" to retrieve Bid and Ask Prices before and after the trade, but these Bids and Asks are returned in separate rows from the "Trade" data. While it is possible to accomplish what I'd ultimately like to accomplish with post-extraction processing, extractions that include "Quote - []" fields are orders of magnitude larger than extractions that include only "Trade - []" fields and I'd like to avoid extracting this extraneous information and avoid highly inefficient extractions.

-Jake

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  • Christiaan Meihsl
    Christiaan Meihsl LSEG

    @Jake DeSantis_deprecated_0, I observe the same as you, also with other instruments.

    I escalated the issue to try to find out why. It looks like you might have to use the Quote fields, even though I agree this is not ideal ...

  • mdziel
    mdziel Newcomer

    @Christiaan Meihsl I noticed that from 2019 onwards, the "Trade - Bid Price" and "Trade - Ask Price" fields are actually populated. (at least for EX, FV and VX futures) Any chance to get them backfilled further back into the past?

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