How tick data is resampled by SummaryInterval

memam
memam Newcomer

My question is about how the

SummaryInterval

parameter is used by

TickHistoryIntradaySummariesExtractionRequest

to resample the tick data: would it average the available ticks between two consecutive intervals?

Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello @memam ,

    Thank you for the clarification,

    From reviewing Refinitiv Tick History GUI User Guide I believe the intervals are not sampled at the beginning of the interval, but are summarized per interval:

    Intraday Summaries
    • Provides transaction messages constructed on the fly from either Trade or Quote messages summarized into timeseries intervals representing aggregations at 1 second, 5 seconds, 1 minute, 5 minutes, 10 minutes, 15 minutes and 60 minutes

    to me this means averaging over the interval, however, I am a developer.

    This forum can be of most help to you with RTH API usage related questions.

    With questions on content, the best approach for a customer is to refer them directly to Refinitiv content experts via Refinitiv Helpdesk Online -> Content -> RTH, and your question will be directly assigned to a content expert for the specific content set.

    Hope this information helps

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