ACVOL_1 drifts away from cumulative TRDVOL

jeremy.mayes
jeremy.mayes Newcomer
in ETA

Hi,

I was observing the TRDVOL_1 / ACVOL_1 fields for ANHJ.J on 2021-03-29 and saw that at a few times during the day, trades came in that never seemed to be reflected in ACVOL_1. I was keeping a running tally of total TRDVOL_1 and comparing to ACVOL_1. Naturally, they deviate as trades are reported, but, usually ACVOL_1 catches up quickly. However, at 08:16:20 (CDT), a trade of size 230 comes through and we never see ACVOL_1 catch up after that. It is off by 230 until another similar event at 08:58:04 (CDT) which further adds to the discrepancy.


Did I miss a correction event or is something else going on?

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @jeremy.mayes

    I have verified the historical data of ANHJ.J and found those two trade volumes at 2021-03-29T13:16:20 GMT and 2021-03-29T13:58:03 GMT.

    ANHJ.J,Market Price,2021-03-29T13:16:20.633226978Z,+2,Raw,UPDATE,TRADE,,,,92,,23790,,37
    ,,,,FID,3426,,ORDER_ID,,
    ,,,,FID,1667,,GN_TX20_3,,
    ,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
    ,,,,FID,12840,,ELIGBL_TRD,2,"N  "
    ,,,,FID,5,,TIMACT,13:16:00.000000000,
    ,,,,FID,6,,TRDPRC_1,95260,
    ,,,,FID,178,,TRDVOL_1,230,
    ...
    ...
    ANHJ.J,Market Price,2021-03-29T13:58:03.769904160Z,+2,Raw,UPDATE,TRADE,,,,92,,7150,,37
    ,,,,FID,3426,,ORDER_ID,,
    ,,,,FID,1667,,GN_TX20_3,,
    ,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
    ,,,,FID,12840,,ELIGBL_TRD,2,"N  "
    ,,,,FID,5,,TIMACT,13:58:00.000000000,
    ,,,,FID,6,,TRDPRC_1,95926.5,
    ,,,,FID,178,,TRDVOL_1,197,
    ,,,,FID,975,,ACT_FLAG1,X,

    I have compared the data with other trade volumes that reflect the ACVOL_1 field.

    ANHJ.J,Market Price,2021-03-29T13:17:18.966073252Z,+2,Raw,UPDATE,TRADE,,,,92,,23902,,26
    ,,,,FID,13432,,TR_TRD_FLG,1,"OB   "
    ,,,,FID,12840,,ELIGBL_TRD,1,"Y  "
    ,,,,FID,5,,TIMACT,13:17:00.000000000,
    ,,,,FID,3885,,ORDBK_TRD,95254,
    ,,,,FID,14676,,OB_TRD_NS,13:17:18.835000000,
    ,,,,FID,1031,,GEN_VAL7,95254,
    ,,,,FID,11,,NETCHNG_1,1354,
    ,,,,FID,56,,PCTCHNG,1.44,
    ,,,,FID,6,,TRDPRC_1,95254,
    ,,,,FID,178,,TRDVOL_1,69,

    I found that the values of TR_TRD_FLG and ELIGBL_TRD fields are different.

    The values of those fields of the reported trades are:

    ,,,,FID,13432,,TR_TRD_FLG,5,"RX   "
    ,,,,FID,12840,,ELIGBL_TRD,2,"N  "

    However, the values of those fields of the normal trades are:

    ,,,,FID,13432,,TR_TRD_FLG,1,"OB   " 
    ,,,,FID,12840,,ELIGBL_TRD,1,"Y  "

    The definitions of those fields are:

    TR_TRD_FLG "TR TRADE FLAG"      13432  NULL        ENUMERATED    5 ( 5 )  ENUM             2
    !
    ! Enumerated Normalised Categorisation of trades for any trade price 
    ! field(e.g.TRDPRC_1 IRGPRC, OFFBKPRC, PDTRDPRC etc.)
    !
    ...
    ELIGBL_TRD "ELIGIBLE TRD FLAG"  12840  NULL        ENUMERATED    3 ( 3 )  ENUM             1
    !
    ! Defines whether the last trade update to any trade price field (e.g.TRDPRC_1 IRGPRC, 
    ! OFFBKPRC, INSPRC etc.) is last eligible i.e. can populate the open, high, low or 
    ! close.
    !

    The meanings of those values are:

    !
    ! ACRONYM    FID
    ! -------    ---
    !
    ELIGBL_TRD 12840
    !
    ! VALUE      DISPLAY   MEANING
    ! -----      -------   -------
          0        "   "   undefined
          1        "Y  "   Last Trade is eligible
          2        "N  "   Last Trade is ineligible
    ...
    !
    ! ACRONYM    FID
    ! -------    ---
    !
    TR_TRD_FLG 13432
    CAN_TRTFLG 13489
    !
    ! VALUE      DISPLAY   MEANING
    ! -----      -------   -------
          0      "     "   undefined
          1      "OB   "   Order Book
          2      "OH   "   Order Book - Hidden
          3      "AU   "   Auction Trades
          4      "DK   "   Dark order book trades
          5      "RX   "   Real time On exchange reported trades
          6      "DX   "   Delayed On exchange reported trades

    I assume that I may relate to the values in these fields. To confirm it, please directly contact the content support team via MyRefinitv.

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