Intraday Summary Report - Size of close Bid price & Size of close Ask price in each 1-min period

roy10
roy10 Newcomer
in TRTH

Hey,

Looking at the 1-min intraday summary
reports, we can see all the prices information (Trades & Bid/Ask Quotes) +
volume (amount of shares being traded within the 1-min period).

We also need the Bid/Ask sizes for the closing
prices (Close Ask Size & Close Bid Size) which are not exposed in the report.

Is there a way to expose this information in the intraday summary report?

Thanks

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Best Answer

  • Christiaan Meihsl
    Christiaan Meihsl LSEG
    Answer ✓

    @roy10,

    There are several ways to investigate which fields are available in a specific report.

    • One is to look at the Data Dictionnary. This is an Excel sheet. Open tab "Field Descriptions", filter column C to display the report you are interested in, and use a text filter on column D or E to display only the rows that "contain" a keyword that defines what you are looking for.
    • The second method is to use the GUI to create a template, and check the available fields there.
    • You can also use the API Reference Tree, and select the appropriate call and.

    This tutorial section delivers more tips and information on this topic.

    I'm sorry to say the "Tick History Intraday Summary" does not deliver the type of data you ask for.

    I checked if a different extraction request would deliver that, but could not find exactly what you need. I only found the "Quote - Ask Size" and "Quote - Bid Size" available in the "Tick History Time and Sales" request (which delivers Tick data).

    That said, I'm not a data specialist. This forum is aimed at software developers using Refinitiv APIs. The moderators on this forum do not have the required deep expertise in all the content sets available through our products to answer your question.

    I therefore suggest you contact the TRTH support team, either by calling the Refinitiv Helpdesk number in your country, or via MyRefinitiv (in the product field, select "Thomson Reuters Tick History v2"). Maybe they can suggest something.

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