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Record/replay timestamps
Hi! Could you please help me with obtaining timestamps from recorded file? I use testclient and testserver utils to replay and record a binary matketdata file. But I wasn't able to find timestamps (time when a current message was recorder by testclient) of recorded messages while receiving data from testserver. I would…
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FIDs SALTIM_NS (14266) and TIMACT_NS (14269) given in per-second resolution?
Hello LSEG, I have a developer who is using rfa7.6.2.L1.linux.rrg Library and Marketfeed protocol. They are looking at example ric code ERST.VI and the fields SALTIM_NS (14266) and TIMACT_NS (14269). Although these fields are meant to be available with nanosecond precision, they say they receive a number which seems to be…
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Sequences of trades/quotes/market updates within the same nanosecond
I'm looking at both the refinitiv real time SDK and the CSV per-exchange data. I see a few cases where (on LSE) we see this sequence of events: market status - opening auction ...events trade (MMT class implies it's outside of opening auction) market status - normal trading The sequence of events as delivered to our…
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How would I get a trading state of a book?
Hi all, I am using `TRTH`s Historical Market Depth API endpoint to retrieve some depth information about ES options, but I would like to know whether the quotes are in OPEN, CLOSED or AUCTION trading state for example. Is that possible and how would one get that information? Cheers
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Not receiving any tick history data for OESX fund (RIC: 0#STXE*.EX)
Hi everyone, I am trying to get historical market depth data for options of Eurostoxx 50 (OESX) and I am using the identifiers I get by using the api.search.historical_chain_resolution(chain_ric, start, end) I get the results and I get a good amount of RIC identifiers: STXE100000F7.EX STXE100000G7.EX STXE100000H7.EX…
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Unable to get any data from Tick Histroy Raw Extraction
Hi, I am trying to get data by hitting the Tick History Raw Extraction API, but I don't get the correct response. This is my request: {'ExtractionRequest': {'@odata.type': '#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest', 'IdentifierList': {'@odata.type':…
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Is there a chain RIC for all S&P 500 mini options (including for quarterly and monthly expiries)?
I have been using the `0#ES+` chain ric to get all identifiers for S&P 500 Mini options. However, this only returns options with quarterly expiration, but it would be preferable if I get monthly expiration. Example: ES2400C8,ES MAR8 2400 C,EIO,USD,,IOM,XCME,C,2400,2018/03/16,A,,2018/03/16,50,INDEX,ES,ESH8, ES2400F7,ES JUN7…
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No data for RIC ALPHAX.BK on 10/24/2022
Hello. I am looking at data for RIC "ALPHAX.BK" on 2022/10/24 during the day. There doesn't seem to be a price for this date, as well as the past several days - is there an issue with market data for this RIC?
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REDI L1 market data in Python
Can you provide an example to get L1 market data from python using REDI api? I cannot find any example.
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Field Dictionary for RtContribute
Good Day, our company is uploading the price levels of equity and fixed income indices with the RtContribution-Formula in an Excel-workbook like this: =RtContribute($C$4,D11,$F$10:$H$10,F11:H11,$C$5) Currently we are using the field items 6,21,79 for TRDPRC_1HST_CLOSEHSTCLSDATE Could you help me out with a Field Dictionary…
