Is ITradeData.PriceTick always null?

yutaro.yashima

Hi.

I changed the sample code "Usage Example Time series API" in the following manner:

    public class TimeSeriesRequestExample
    {
        private readonly ITimeSeriesDataService timeSeries;
        private ITimeSeriesDataRequest request;


        public TimeSeriesRequestExample(ITimeSeriesDataService timeSeries)
        {
            this.timeSeries = timeSeries;
        }


        public void Launch()
        {
            Console.WriteLine("[2] Time series request example");
            Console.WriteLine("");

            request = timeSeries.SetupDataRequest("TFXDAX")
                .WithView("TRDPRC_1")
                .WithAllFields()
                .WithTimeZone(TimezoneType.Instrument)
                .WithInterval(CommonInterval.Trades)
                .From(new DateTime(2018, 6, 6, 15, 0, 0))
                .To(new DateTime(2018, 6, 7, 5, 0, 0))
                .OnDataReceived(DataReceivedCallback)
                .CreateAndSend();
        }


        private void DataReceivedCallback(DataChunk chunk)
        {
            foreach (ITradeData bar in chunk.Records.ToTradeRecords())
            {
                int priceTick = -1;
                if (bar.PriceTick != null) priceTick = (int)bar.PriceTick.Value;
                Console.WriteLine(
                        "{0} {1} {2} {3} {4} {5} {6} {7} {8} {9}",
                        bar.Timestamp.Value.ToString("yyyy/MM/dd HH:mm"),
                        bar.Last.Value.ToString("##.0"),
                        bar.TradePrice.Value.ToString("##.0"),
                        bar.TradeVolume.Value.ToString("N0"),
                        bar.BestBid.Value.ToString("##.0"),
                        bar.BidSize.Value.ToString("N0"),
                        bar.BestAsk.Value.ToString("##.0"),
                        bar.AskSize.Value.ToString("N0"),
                        priceTick,
                        bar.Vwap.Value.ToString("##.0")
                    );
            }

            if (!chunk.IsLast) return;


            request = null;
            Program.StopMessagePump();
        }
    }

But, it seems that PriceTick of ITradeData always returns null value.

Is there any configuration that I am missing?

What I am trying to do is what we can get using the RHistory() function in Excel.

Specifying in the second parameter of this function "TRDPRC_1.Timestamp;TRDPRC_1.Value;TRDPRC_1.Trdprc_1;TRDPRC_1.Count;TRDPRC_1.Bid;TRDPRC_1.Bidsize;TRDPRC_1.Ask;TRDPRC_1.Asksize;TRDPRC_1.Prctck_1;TRDPRC_1.Vwap"

I have confirmed that all values, except of TRDPRC_1.Prctck_1, are equal to that I get using the C# code above. And TRDPRC_1.Prctck_1 return values 1 or 2 (and not blank or null).

So, the question is "what is the equivalent of TRDPRC_1.Prctck_1 in the time series API?"

Regards

Alex Putkov.1

@yutaro.yashima
I reproduced the issue on my end and it looks like a bug in Eikon .NET SDK. I logged the issue on your behalf with Thomson Reuters Support. For your reference the case number is 06648347. You will be contacted by Thomson Reuters Support to keep you informed on the progress of the case. As an immediate workaround you can calculate the value of the price tick in your code by comparing the last trade price with the previous trade price for each trade returned in the timeseries.

yutaro.yashima

@Alex Putkov.1

Thank you very much.

We will proceed using the workaround described.