ACVOL_1 drifts away from cumulative TRDVOL

jeremy.mayes

Hi,

I was observing the TRDVOL_1 / ACVOL_1 fields for ANHJ.J on 2021-03-29 and saw that at a few times during the day, trades came in that never seemed to be reflected in ACVOL_1. I was keeping a running tally of total TRDVOL_1 and comparing to ACVOL_1. Naturally, they deviate as trades are reported, but, usually ACVOL_1 catches up quickly. However, at 08:16:20 (CDT), a trade of size 230 comes through and we never see ACVOL_1 catch up after that. It is off by 230 until another similar event at 08:58:04 (CDT) which further adds to the discrepancy.

Did I miss a correction event or is something else going on?

Jirapongse

@jeremy.mayes

I have verified the historical data of ANHJ.J and found those two trade volumes at 2021-03-29T13:16:20 GMT and 2021-03-29T13:58:03 GMT.

ANHJ.J,Market Price,2021-03-29T13:16:20.633226978Z,+2,Raw,UPDATE,TRADE,,,,92,,23790,,37
,,,,FID,3426,,ORDER_ID,,
,,,,FID,1667,,GN_TX20_3,,
,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
,,,,FID,12840,,ELIGBL_TRD,2,"N  "
,,,,FID,5,,TIMACT,13:16:00.000000000,
,,,,FID,6,,TRDPRC_1,95260,
,,,,FID,178,,TRDVOL_1,230,
...
...
ANHJ.J,Market Price,2021-03-29T13:58:03.769904160Z,+2,Raw,UPDATE,TRADE,,,,92,,7150,,37
,,,,FID,3426,,ORDER_ID,,
,,,,FID,1667,,GN_TX20_3,,
,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
,,,,FID,12840,,ELIGBL_TRD,2,"N  "
,,,,FID,5,,TIMACT,13:58:00.000000000,
,,,,FID,6,,TRDPRC_1,95926.5,
,,,,FID,178,,TRDVOL_1,197,
,,,,FID,975,,ACT_FLAG1,X,

I have compared the data with other trade volumes that reflect the ACVOL_1 field.

ANHJ.J,Market Price,2021-03-29T13:17:18.966073252Z,+2,Raw,UPDATE,TRADE,,,,92,,23902,,26
,,,,FID,13432,,TR_TRD_FLG,1,"OB   "
,,,,FID,12840,,ELIGBL_TRD,1,"Y  "
,,,,FID,5,,TIMACT,13:17:00.000000000,
,,,,FID,3885,,ORDBK_TRD,95254,
,,,,FID,14676,,OB_TRD_NS,13:17:18.835000000,
,,,,FID,1031,,GEN_VAL7,95254,
,,,,FID,11,,NETCHNG_1,1354,
,,,,FID,56,,PCTCHNG,1.44,
,,,,FID,6,,TRDPRC_1,95254,
,,,,FID,178,,TRDVOL_1,69,

I found that the values of TR_TRD_FLG and ELIGBL_TRD fields are different.

The values of those fields of the reported trades are:

,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
,,,,FID,12840,,ELIGBL_TRD,2,"N  "

However, the values of those fields of the normal trades are:

,,,,FID,13432,,TR_TRD_FLG,1,"OB   " 
,,,,FID,12840,,ELIGBL_TRD,1,"Y  "

The definitions of those fields are:

TR_TRD_FLG "TR TRADE FLAG"      13432  NULL        ENUMERATED    5 ( 5 )  ENUM             2
!
! Enumerated Normalised Categorisation of trades for any trade price 
! field(e.g.TRDPRC_1 IRGPRC, OFFBKPRC, PDTRDPRC etc.)
!
...
ELIGBL_TRD "ELIGIBLE TRD FLAG"  12840  NULL        ENUMERATED    3 ( 3 )  ENUM             1
!
! Defines whether the last trade update to any trade price field (e.g.TRDPRC_1 IRGPRC, 
! OFFBKPRC, INSPRC etc.) is last eligible i.e. can populate the open, high, low or 
! close.
!

The meanings of those values are:

!
! ACRONYM    FID
! -------    ---
!
ELIGBL_TRD 12840
!
! VALUE      DISPLAY   MEANING
! -----      -------   -------
      0        "   "   undefined
      1        "Y  "   Last Trade is eligible
      2        "N  "   Last Trade is ineligible
...
!
! ACRONYM    FID
! -------    ---
!
TR_TRD_FLG 13432
CAN_TRTFLG 13489
!
! VALUE      DISPLAY   MEANING
! -----      -------   -------
      0      "     "   undefined
      1      "OB   "   Order Book
      2      "OH   "   Order Book - Hidden
      3      "AU   "   Auction Trades
      4      "DK   "   Dark order book trades
      5      "RX   "   Real time On exchange reported trades
      6      "DX   "   Delayed On exchange reported trades

I assume that I may relate to the values in these fields. To confirm it, please directly contact the content support team via MyRefinitv.