The ACVOL_UNS field is described as
Over what time period are the shares accumulated? Market open->open? UTC date boundary?
Hi...it can vary per source. But in general the accumulated volume field will be based on that days trading for an exchange/venue and then cleared out and stored in our timeseries database at the end of the market day. So its typically accumulated over a trading day and not dependent on a calendar day if the trading day happens to cross over the UTC date boundary.
Thanks for your quick answer
Is any message sent over Elektron which reliably indicates the end of the trading day? Or e.g. is a 0 ACVOL_UNS message sent at the start of the trading day? Generally, given an Elektron stream is there a way to know that the accumulation period has ended?
Also, how are trade busts represented? Is ACVOL_UNS not necessarily monotonically increasing?
In addition to @tim.andrew.smith's answer above, exhaustive (and exhausting) documentation for which exchanges have the ACVOL_UNS field cleared when a closing run update is sent can be found by traversing documentation at https://refinitiv.fixspec.com/stack/specs/elektron
e.g. for ASX futures https://refinitiv.fixspec.com/stack/specs/elektron/apac/australia-asx/7-0-4/1672-asx-futures-refinitiv-real-timefutures
FWIW, the behaviour was clearing on closing run update for all of the many exchanges I was interested in.
