How to obtain fine grained trading state on Nasdaq OMX markets?

We are looking for a FID on TREP that contains a more specific trading state than FID 6614 (TRD_STATUS) which only covers 6 enumerated states.

For example on the Nasdaq OMX operated markets trading might be restricted due to market maker buy-back and we want to detect this.

We have been told that FID 2330 (ALIAS) on Nasdaq OMX populates details on these kind of states but fail to find documentation on how to decode this information as it is not clear text.

Any suggestions on FIDs to use here and documentation that explains these details is very welcomed.

Thanks

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Accepted answers

zoya faberov

Hello @John.Westi,

For specific content lookup, rather then fid definition lookup, there is another way to lookup information that, as a developer, I find to be more useful.

We open up enumtype.def file that came with your SDK and is in etc folder. Next, we text-search it for the information of interest, for example "halt".

We find it occurring in several fids, i.e. 118, 131, ... 1387. Next we can either examine a realtime quote on an instrument, to see if this fid is populated for the specific instrument, or to consult Data Model Discovery tool to see which exchanges the fid is populated on, and decide which of the meaningful fids are populated for your instrument of interest, based on the exchange it is traded on.

Let me add another example, we can search for "sold out" and discover it in 131 and 374/378/6585. Incidentally, for DK0060849073.CO, we find 131 and 374 are populated. The wording of the enumerated text may not match exactly, there are 8 kinds of "sold out", so we try to follow the meaning and see if it matches with what we intend to spot.

Does this approach help?

If it does not, or if you need to pinpoint other detailed content information, for content-related inquiries the best and most efficient approach is log into myaccount.thomsonreuters.com to create a service request, selecting "content", this way we will able to help better, get you the most relevant answer from a TR content expert, rather then a developer.

All comments

zoya faberov

Hello @John.Westi,

Data Model Discovery tool (you can find the link on the top of the home page of this portal) is the best resource of the latest information on the fields populated by various exchanges.

Please also see this answer for me details.

Please let us know if you are able to search up the fields (fids) and look up the definitions.

John.Westi

To be more specific our current interest centers around the various Buy Back scenarios on the Nasdaq OMX exchange.

For example SOBB functionality was communicated by the exhange in june 2014 (see SOBB ) so it has been around for some time.
The related states are reported on ITCH feed as note codes on the order books in question and the same is done on the GCF feed.

My understanding is that the current TR integration with Nasdaq OMX is primarily based on ITCH and earlier on GCF was used.

One example of an instrument on Nasdaq OMX Copenhagen in state "Sold Out Buy-Back" is DK0060849073 ( see OMX:DK0060849073 ).
A snapshot of DK0060849073.CO on TREP shows a CONTEXT_ID = 1398.

Looking up this context id in the data model discovery tool results in DataModel

So the model tool does not provide any information on how the note codes are supported and handled.

Consequently we would like you to look into how (if at all) these order book note codes are picked up by TREP and relayed to consumers of TREP.

zoya faberov

Hello @John.Westi,

For specific content lookup, rather then fid definition lookup, there is another way to lookup information that, as a developer, I find to be more useful.

We open up enumtype.def file that came with your SDK and is in etc folder. Next, we text-search it for the information of interest, for example "halt".

Does this approach help?

Jirapongse

For content questions, it is better to contact TR content expert via Contact Us for prompt response.

Regarding FID 2320 (ALIAS), I found an explanation from TR content expert, as shown below.

FID 2320 (ALIAS)

There are different positions that update on this FID to represent various bits of information. There are hard coded values b c d e f g in postion 3, 5, 7, 9, 11, 13 then:

The first 2 chars (before the hardcoded b) represent the trade type:

DR (Derivatives Related)
25 (Standard Trade)
29 (Exchange Granted Trade)
PO (Portfolio)
NS (Non Standard Settle
50 (Pre-Opening) - Not used anymore
39 (VWAP Trade)
NM (Nordic@Mid)
RT (Standard Routed)
AO (Auction On Demand)
15 (Automatch – Includes auctions)
CL shows the official close message has been disseminated.

The 4th position shows if it is a Cross Trade (ie Buyer=Seller) for non- automatch trades. I denotes it is a cross trade, blank not.

The 6th position shows whether the trade is Last Eligible or not – showing Y or N.

The 8th position denotes a Cancelled trade – C or blank if not.

The 10th position shows an O if the trade was outside the spread.

The 12th position shows the IRGVAL that the trade was in.

'1' for Closed
'2' for Pre-Trading
'3' for Pre-Call
'4' for Call Interaction
'6' for Continuous Trading
'7' for Terminating
'8' for Post Trading
'9' for Issuer Position Modification
'10' for Reserved2
'11' for ExtendedContinuousTrading1
'12' for ExtendedContinuousTrading2
'13' for Opening Auction
'14' for Closing Auction
'15' for Intraday Auction
'32' for Open

During a normal trading day FID IRGVAL (3132) will typically show the following trading session states:

1 Closed
2 Pre-trading
6 Continuous Trading
8 Post trading
13 Open Call
14 Close Call
17 scheduled intraday auctions

For example: 15b cYd e f13g

15b shows it is an automatch trade
cY shows it is Last Eligible
f13 shows it was done in the open auction session

However, please contact TR content expert via Contact Us for confirmation or more information.

John.Westi

I have tried this approach earlier on for other fields and as such it has in most cases pointed me to the right place.

So I agree this is often a way forward.

John.Westi

Thanks for the information.

Good to know this.

I would have prefered to find this kind of detailed information linked to the ALIAS field in the Data Model tool

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