Historical Pricing API (RDP)

raymund.pornasdoro1

1. For Historical pricing events (T&S) multiple events data, when they request with the eventType as "quote" I get the data with all fields having value i.e. BID, ASK, BIDSIZE and ASKSIZE. Is there a way they can determine that Quote event was a BID/ASK event from the data obtained.

2, Are all the FIDS in the real time data feed such as ASK_TIM_NS and BID_TIM_NS are available in the historical pricing API?

3. For historical quote data for OIBR3.SA, how can he differentiate BID quotes from Ask Quotes on this RIC, can you tell me what fields we are storing for this RIC?

nick.zincone

Hi @raymund.pornasdoro1,

1. When you retrieve a quote event, a number of fields will be populated. When a quote event occurs, this will carry a number of standard fids such as: BID, ASK, BIDSIZE, ASKSIZE, MID_PRICE. So if only the size (BIDSIZE for example) changes, you will still see the other fields mentioned above in the update. You can look at the series of events to see which specific field changed.

2. Not all real-time data feed fields are available in the historical pricing API. The historical pricing API will carry a specific set of fields, depending on the type of asset. When using the Historical Pricing API in RDP, if you leave the field property empty, you will get back all available fields reported for the specific instrument.

3. The above details should answer this question. In general, you don't have to specify the fields parameter when making the request and when you look at the output, you can see the specific change, event by event.

For example, the following is a request for "OIBR3.SA". In the request, I didn't specify any fields and you can see the entire collection of fields available for this instrument. You can also see a number of consecutive quote events, clearly showing which specific fields changed in the quote.