How would I get a trading state of a book?

Hi all,

I am using `TRTH`s Historical Market Depth API endpoint to retrieve some depth information about ES options, but I would like to know whether the quotes are in OPEN, CLOSED or AUCTION trading state for example. Is that possible and how would one get that information?

Cheers

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Accepted answers

wasin.w

Hello @ivan.lovrencic

Case 11820000 is closed with the following resolution

The Auction data is available in the 'Trade' data. In order to differentiate the Auction (Both Open and closed) data, it is highlighted with Qualifiers. In other words, there are no theoretical auction prices, and the auction trades are identified with the help of trade qualifiers.

The Qualifier <6[LSTSALCOND]> defines the Closing Auction and the <O[LSTSALCOND]> defines the Opening Auction.

Having this further discussed with our data expertise, currently, we do not have an indication of Auction Trade. We have Market Condition type with Qualifiers OQ [PRC_QL_CD];OQ [PRC_QL2] indicating for Open Auction and CQ [PRC_QL_CD];CQ [PRC_QL2] for Closing Auction.

The qualifiers with Theoretical or Indicative Trades are theoretical trade during the open auction and close auction; these are Simulated trade price and volume updates in every 5 seconds during the opening auction session (00:30-01:00 GMT) and closing auction section (05:25-05:30 GMT).

All comments

zoya faberov

Hello @ivan.lovrencic ,

As you are looking to identify and request specific content within RTH, this requires specific content expertise, and this forum is not the best place to address the question.

We strive to help:

A content support case #11820000 has been opened on your behalf, please expect our support expert to reach out to you via email shortly.

-AHS

wasin.w

Hello @ivan.lovrencic

Case 11820000 is closed with the following resolution

The Auction data is available in the 'Trade' data. In order to differentiate the Auction (Both Open and closed) data, it is highlighted with Qualifiers. In other words, there are no theoretical auction prices, and the auction trades are identified with the help of trade qualifiers.

The Qualifier <6[LSTSALCOND]> defines the Closing Auction and the <O[LSTSALCOND]> defines the Opening Auction.

Having this further discussed with our data expertise, currently, we do not have an indication of Auction Trade. We have Market Condition type with Qualifiers OQ [PRC_QL_CD];OQ [PRC_QL2] indicating for Open Auction and CQ [PRC_QL_CD];CQ [PRC_QL2] for Closing Auction.

The qualifiers with Theoretical or Indicative Trades are theoretical trade during the open auction and close auction; these are Simulated trade price and volume updates in every 5 seconds during the opening auction session (00:30-01:00 GMT) and closing auction section (05:25-05:30 GMT).

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