Does OTC tick history data (.PQ) contains BBO for the instruments

slava

I am working on processing Tick History quotes for US equity OTC instruments (for ex. AACAY.PQ).

Here is the sample from 2014-05-05, AACAY.PQ, Market Price model

Does the data represent Best Bid/Offer or just sporadic quotes in the market that can happen at any price level?

For ex. in the following sequence of event:

AACAY.PQ,Market Price,2014-05-05T13:32:20.441531000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7472,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.15,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,

AACAY.PQ,Market Price,2014-05-05T13:32:20.461010000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7488,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.29,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,

AACAY.PQ,Market Price,2014-05-05T13:32:20.461010000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7504,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.17,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,

there are three ask quotes:

1. 100 @ 58.15

2. 100 @ 58.29

3. 100 @ 58.17

When we receive quote (2) with a worse price, does it mean the Best Ask moved back and first level 58.15 is gone (BBO)?

If it is not, and each quote record can be at an arbitrary level, then how do we know if the quote got removed?

Gurpreet

Hi @slava,

You have posted this in RDP channel, so can you please confirm that you are using Refinitiv Tick History and not RDP query.

In RTH, which endpoint are you invoking and what is your request message?