Consume the pre/post market data in RKD

PatrickZ
PatrickZ Explorer
in TRKD

Hello
The pre-post market trades are the irregular trades so to consume this transactions one will have to use the IRG-like fields:
the important ones seem to be IRGPRC, IRGVOL, IRGTIM
However not every irregular trade/transaction is an extended hour trade.
Usually there is a condition field that features the values like "Form-T" (which is how the overnight trades were historically handled at the North-American exchanges).
The candidate fields with Refinitiv would be IRGCOND (and IRGCOND_1..).
I looked in the Refinitiv Real time (https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-real-time-aug-2022/field/irgcond), which should be basically the same, and the IRGCOND enum does feature value 131 for "form t", however there are 258 values that mention in the description "form t".
The other field candidate might be IRGSALCOND, but its description says "Sale condition for an ineligible trade" and it is a string filed so nobody knows what the value might be even if it looks like "@FT"
In RKD quote API (http://api.rkd.refinitiv.com/api/Quotes/Quotes.svc or in quote lists), which I am lookin at the it looks like even less IRG fields of the IRG-like fields are available.

Does anybody know how exactly proceed with RKD IRG-like fields to get the extended market trades with quote/quote list API? Which fields/values to look at to make sure the transaction is a trade and not, for example a trade cancel...

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Best Answer

  • wasin.w
    wasin.w admin
    Answer ✓

    Hello @PatrickZ

    I checked the RKD Quote Service on the RDK API Support Portal site. The IRGPRC, IRGVOL, IRGCOND, and IRGSALCOND are available on the RKD Quote service. You can find more detail on the "Coverage" and "Field Lookup" links of the RKD Quote - Retrieve Item v3 operation page.

    rkd-quote.png


    Please note that incoming data is based on each RIC, exchange, and data feed too.

    I did a quick test on the RKD API Support Portal page (Develop tab) with this JSON request message:

    {
        "RetrieveItem_Request_3": {
            "ItemRequest": [{
                "Fields": "IRGPRC:IRGVO:IRGTIM:IRGCOND:IRGSALCOND",
                "RequestKey": [{
                    "Name": "MSFT.O",
                    "NameType": "RIC"
                }],
                "Scope": "List"
            }],
            "TrimResponse": false,
            "IncludeChildItemQoS": false
        }
    }

    The result is as follows:

    quote-result.png

    Please see more detail about field IRGCOND in the comments below.

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