Last 5 Trades in Trade Reporting Data Model (MP)

cdefusco

I need to read as consumer application some information about last 5 trades. In detail I need to have Last Price, Last Qty, and Trade Time.

For the Last Price and Trade Time, I am using respectively fields: TRDPRC_1 to TRDPRC_5 and SALTIM_NS to SALTIM5_NS.

For Last Qty I mean the "Quantity (e.g. shares) bought/sold on this (last) fill.". Which field I could use for this information?

Tim Smith

I think there is a misunderstanding for what you are after. Is it simply the number of shares that have been traded at the price in TRDPRC_1? In which case the field is TRDVOL_1 (178) and it is available in Market Price. If you are looking to see where this came from or how the execution happen - was it hit by the BID or ASK side for example) , very few exchanges provide this info with the trade message so you would have to have a side-by-side analysis of the top of the orderbook. You could potentially do this by looking at the BID and BIDSIZE and ASK and ASKSIZE fields retrospectively to see the quantities prior to the trade execution. There would be a bit of noise around that too (ie cancelled orders, new prices etc coming in as well as trade executions occuring to remove quantity).

In the level 2 information (ie Market-by-price or Market-by-order - or in some rare case Market-by-market maker!) you will only get the orderbook information so no post trade data. But this would give you a better idea of what was occuring as you would not only see the top of book.