D5 Data file different format TRTHv1 <-> DSS

Philipp
Philipp Contributor
in TRTH

Hi all,

we are loading a daily D5 data file via the TRTHv1. I now checked the file in the new API and there are some differences in file size and in file content (see screenshot). Can you please advice if the same format is still availalbe via DSS and where we can find it?

This is the format we need:

#RIC,Date[G],Time[G],GMT Offset,Type,Last Bid,Last Ask,Average Trade,Cumulative Volume,Last Traded Price AED=D5,02-SEP-2016,08:18:11.000000,+0,Dealing,0,3.67295,,0, AED=D5,02-SEP-2016,10:04:49.000000,+0,Dealing,0,0,3.672950,2,3.67295 AED=D5,02-SEP-2016,10:04:50.000000,+0,Dealing,0,0,,0,3.67295 AED=D5,02-SEP-2016,11:34:35.000000,+0,Dealing,0,3.67295,,0,3.67295 AED=D5,02-SEP-2016,13:00:20.000000,+0,Dealing,0,0,3.672950,1,3.67295 AUD=D5,01-SEP-2016,21:53:49.000000,+0,Dealing,0.755,0.7553,,0,0.7552

image

Tagged:

Best Answer

  • Rakesh.Singh
    Rakesh.Singh LSEG
    Answer ✓

    @Philipp

    Hi Philipp

    In DSS (TRTH v2), data for D5 RICs will be tick-tick (TAS). The format of the new FXD5 is consistent with the standard exchange-by-day (or VBD) offering.

    FXD5 data in TRTH v1 is 1 seconds conflated with summarized fields such as last trade price, aggregated 1 sec volumes.

    FXD5 data in TRTH v2 is minus conflation, you will receive every trade and (best) quote messages from the Thomson Reuters Matching platform.

    1 seconds FXD5 conflated data will not be supported in DSS (TRTH v2)

Answers

  • Philipp
    Philipp Contributor

    You have accepted the reply below now on your own? And not it looks like I have accepted it. Intersting approach in this forum.

  • Philipp
    Philipp Contributor

    Ok, now I have an explanation, why the current format is no longer available in TRTHv2 but still I see it as a problem, because this causes quiet some additional development work on our side. Can you please check if it is possible to deliver both formats in the future in parallel?

    Can you please also provide some information or a generall overview about all the non compatible changes between TRTHv1 and TRTHv2. It is a frustrating approach to find out about these changes in a kind of reverse engineering process.

    Thx in advance.

  • Philipp
    Philipp Contributor

    Thanks for the offer. It's fine like it is at the moment. We are tracking this separately. Thanks again!

Categories