Missing SETTLE field

Nikita

Hello!

Would you be so kind as to understand how can I retrieve this field via Real-time SDK:


SETTLE "SETTLEMENT PRC" 70 NULL PRICE 17 REAL64 7
!
! Settlement price. The official closing price of a futures or option contract set by
! the clearing house at the end of the trading day.


I have subscribed to the Market Price Domain, but I did not find this field in the Refresh Messages as well as in the Update Messages. Is it possible that vendor just does not support this field?

tim.andrew.smith

hi @Nikita ah ha. The RICs posted are equity RICs rather than Futures or options so wont have the SETTLE field available. We would post the closing price from the equity exchange (in this case London Stock Exchange) in OFF_CLOSE and then move to HST_CLOSE during our closing run process early in the morning.

To get the SETTLE price, which for London futures and options is mainly from ICE Europe (though Eurex also has some), you would need to get from the future or option RIC. The equity chain for AAL.L for example is 0#AAL*.L or AZN.L is 0#AZN*.L. The individual options RICs then hold onto that chain eg AAL1040N1.L for the 1040 February Put.

The single stock futures are also available and follow the RIC root (AAL). For example AALLFDCG1921 is the ICE Europe future expiring on february 19th.

You are correct that the refresh message should provide the image of all the fields present in the record, whereas the update messages would just show those that are published due to a market action (trade, quote etc).