data not found in Ticke History

rtc_data
rtc_data Newcomer
in DSS

I retrive both Elektron TimeSeries and Tick History Time and Sales data from 2013-12-06, but some rics not found in Tick History on some dates.

For exsample, records before 2017-09-13 for FEI.AX are not included in Tick History, while TimeSeries contains data with Volume>0 and date<2017-09-13

Same problem for ARV.AX between 2017-02-03 and 2017-02-10

How can I get tick data during those periods?

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Best Answer

  • snehal.manjrekar
    snehal.manjrekar LSEG
    Answer ✓
    @rtc_data

    Hello,

    Thank you very much for sharing additional information. That helped in clarifying the issue. Based on my findings I can infer that the entity in question underwent several RIC changes historically, and <FEI.AX> is the current RIC, which was added on Tick History from 09/12/2017 onward. To be able to see the historical data for the entity I would advise you to use the Historical Reference Report from Tick History. This report will you give detailed information about all the previous RIC changes mapped to the entity and the respective start and end dates using which you can plan to query the data.

    See enclosed a screenshot of the report and the fields which you can use while running the Historical Reference Report.hist-ref-report.png

Answers

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hello @rtc_data,

    I am able to reproduce what you are seeing.

    As the question is on content, I have opened case #07167872 to investigate the suspected content discrepancy with our content experts.

    I will update the question with the pertaining information, when it becomes available.

  • snehal.manjrekar
    snehal.manjrekar LSEG

    Hello @rtc_data

    I investigated the issue for <FEI.AX> and below are my findings:

    1). We have historical data for the RIC <FEI.AX> from 09/12 onward in Tick History. When I say historical data I refer to all data points (including quotes) and not just trades.
    2). It appears that you only used the "Trade" fields while querying the data and there were no trades between 09/12 and 09/15, but only quotes (Bid/Ask). But as you only seemed to have used the Trade fields the query failed to capture the quotes and thus returned no data.
    3). If you can add "Quotes" fields too in the query then you should be able to get the quotes data between 09/12 and 09/15.

    As an additional information, <FEI.AX> is suspended from Official Quotation effective 3 December 2018, following failure to lodge the relevant
    periodic report by the due date.

    fei-suspension-from-official-quotation.pdf

  • rtc_data
    rtc_data Newcomer
    https://community.developers.refinitiv.com/discussion/comment/35721#Comment_35721

    I think you may misunderstand my question. I am not confused by data between 09/12 and 09/15 but before 09/12

    For dates before 09/12, Elektron TimeSeries data shows that <FEI.AX> has records with Volume>0 which mean it is NOT suspended. But why no data in Tick History?

    By the way, I queried both 'Trades' and 'Quotes' fields, and other fields like 'Auction', 'mkrt. Condition' ect.

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