Is there a way to identify trade events usign ETA C API

I'm using a ETA C API in Linux. I would like to know how to identify a trade event coming down in the feed. Is there an identifier in the API that I can use to identify such event ?

Since Reuters system performs trade safe conflation, how does Reuters system (ADH/ADS) identify trade events.

If there is no identifier available, what will be the recommended approach by Reuters to identify a trade ?

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Accepted answers

nick.zincone

Hi @RAJ,

The recommended way to identify a trade is based on the fields that are included within the update. The API itself doesn't distinguish between the different types of market events such as quotes or trades. As an example, when an equity trade occurs, FID 6 (TRDPRC_1) which details the trade price along with FID 178 (TRDVOL_1) the number of shares will be included. When a quote comes in, these FIDs will not be included. However, different assets will carry the trade information within different FIDs. You will need to consult a content specialist if you need to understand trades for multiple asset types.

All comments

nick.zincone

Hi @RAJ,

RAJ

Does Reuters guarantee to include trade price and size irrespective of a value change if a trade event has taken place ?

For example, if the trade price and size stays the same between two trade events, does Reuters always pass through this data to the client application ?

Would you recommend us to look for only trade price or should we look for trade size as well ?

nick.zincone

Hi @RAJ,

When a trade event occurs, all relevant FIDs will be included within that event irrespective of a value change. So if you receive 2 trades in a row with the exact same price and volume, you will be guaranteed to received these 2 fields. For trades, there are a number of other fields that will be included, some which will always change such as FID 32 (ACVOL_1) accumulated volume or FID 77 (NUM_MOVES) - the number of trades today.

I would recommend you simply look for the trade price field to determine that a trade occurs. I would also recommend you run a simple example, perhaps one of the simple ones included within the API or one of the tutorials within the developer portal. When running, monitor the output for the MarketPrice events and you can see the fields that come in and clearly see which ones will always be present. In addition, you can also contact a Thomson Reuters content specialist if you want to better understand which trade FIDs are appropriate for which asset types.

Hope this helps.

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