Flags/time periods for suspended/auction trade

PDolgosheev
PDolgosheev Newcomer
in Elektron

At a times we are observing huge price drops for some securities and investigating a reason. We want to investigate retroactively some particular example, is it possible to rtrieve data for Jun 18, for example?

We suspect root cause of this could be suspended/auctioned trade. Is there are flag or other designation security at the moment is suspended/on auction trading?
We think some of below attributes could be used for this, does it makes sense?

VOLT_IT_TS - Starting time of the Volatility Interruption. Normal order matching is suspended for a specific period of time after this start time, giving time for order modification or removal (most probable source of info for mentioned case).
TRG_RSM_TM - Target resumption time for a halted/suspended security HALT_DATE - Date security was originally halted
HALT_TIME - Time security was originally halted, associated with HALT_DATE
HLT_RSM_DT - Trade resumption date for a halted/suspended security
LIST_SUSPD - Flag indicating whether the instrument is suspended from listing. Y if yes, blank if no - looks like exactly what we need (flag), but not for temporary suspension.
HLT_RSM_MS - Trade resumption time for a halted/suspended security

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Best Answer

  • moragodkrit.chumsri_1
    moragodkrit.chumsri_1 LSEG
    Answer ✓

    @PDolgosheev

    You can't use Elektron or TREP APIs such as EMA and RFA to retrieve historical data. Anyway if you have an account for Tick History product, you can request the raw data for the specified date from the server.

    Anyway, the question seems to be data related query. Each Stock Exchange/Security type may use a specific field/fid for the auction flag. I would suggest you contact the Refiniv Content expert to confirm the data specification via my.refinitiv.com. They can also help you check the data from Elektron Real-time at the date.

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