Tick History Time and Sales duplicate timestamps

iain.miller-ext
iain.miller-ext Newcomer
in TRTH

When we run a Tick History Time and Sales report via the api, we find that some instruments have 2 or more rows with the same timestamp, but different Bid or Ask prices?

Is there a way to set the conditions so that we just get a set of unique timestamps per instrument?

It seems that for an instrument with multiple entries with the same timestamp, it's the last one that is correct.

I tried setting applyCorrectionsAndCancellations to true but it didn't change anything?

Thanks

Iain

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  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    Hi @iain.miller-ext,

    There is no parameter/option for the TickHistoryTimesAndSales report to extract unique timestamps per instrument. Each row of data represents a market activity. It could be the scenario that each row are valid data contributed from different source. For more detailed information and verification, I would suggest you contact TRTH Content support team via MyRefinitv.

    In addition, you may try the Tick History Intraday Summary report which summarizes market data into discrete time series intervals ranging from one second to one hour.

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