Historical Raw feed parsing

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sgan208
sgan208 Explorer
in TRTH

We recently bought some historical raw data from reuters. Now it seems that your internal feed changed from IDN to Elektron over the time. Where can I get the complete specifications for parsing this raw data i:e which fid to look for which data, which fid is retransmitted everytime and which is not etc? The complete exchange level specifications I mean.

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  • warat.boonyanit
    warat.boonyanit LSEG
    Answer ✓

    Hi @sgan208

    We have Data Model Discovery site for the venue field document.

    And there are general principles that hold true across exchanges.

    Quotes and Trades for exchange-traded instruments regardless whether IDN or Elektron will be available in a standard set of FIDs. Here are the mappings across exchanges -

    • Bid Price = FID 22/ BID
    • Bid Size = FID 30/ BIDSIZE
    • Ask Price = FID 25/ ASK
    • Ask Size = FID 31/ ASKSIZE
    • Last-eligible Trade Price = FID 6/ TRDPRC_1
    • Regular Volume = FID 178/ TRDVOL_1
    • Cumulative Volume = FID 32/ ACVOL_1

    Time deserves further elaboration. With Elektron, we started carrying high precision timestamps, with a caveat that the exchanges do supply the high precision timestamps.

    For time mapping, FIDs with "_MS" suffix will give you venue supplied timestamp data, formatted as integer denote milliseconds after midnight, while FIDs with "_NS" suffix will give you venue supplied timestamp, formatted as the usual time format with precision up to nanosecond.

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