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matthew.godbolt avatar image
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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 callbacks in the refinitiv SDK seems at odds with the MMT class: if we believe the market status the trade ought to have been market "opening auction". This happens on only a couple of occasions: most trades happening inside the opening auctions are correctly marked as in "auction".

I note the exchange sequence numbers for trades and quotes/marketstatus appear in different "domains" - are they not in fact sequenced with respect to each other?

Looking at the CSV file, in this case the trades and market status timestamps are the same nanosecond, which implies they arrived "at the same time". But again only in one case did this happen with the wrong MMT class. Here's an example:

DPH.L,Market Price,2022-11-28T07:50:00.067031253Z,+0,Mkt. Condition,,,,,,,,,,,,,,E[ORD_ENT_ST];SCHED   [PHASE_RSN];a[PERIOD_CD2];O  [INST_PHASE];POP[PRC_QL3],403,07:50:00.017222000,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,2022-11-28,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
DPH.L,Market Price,2022-11-28T08:00:23.455050002Z,+0,Trade,XLON,,2774,750,2766,,2766,98,,,2774,750,,"A[ACT_FLAG1];A[CONDCODE_1];[CONDCODE_2];Y  [ELIGBL_TRD];""OB   ""[TR_TRD_FLG];12-------PH---[MMT_CLASS]",7386,08:00:23.397211000,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,2022-11-28,,^,,2766,2766,,,1056,2920896,,,,,,,GBp,663719088489837,12,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,
DPH.L,Market Price,2022-11-28T08:00:23.455050002Z,+0,Mkt. Condition,,,,,,,,,,,,,,E[ORD_ENT_ST];SCHED   [PHASE_RSN];T[PERIOD_CD2];T  [INST_PHASE];TRD[PRC_QL3],91060,08:00:23.406081000,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,2022-11-28,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,,


Which is to be believed? The sequence of events that implies the auction is still ongoing? Or the MMT status? And in either case, by what mechanism are trades and quotes separated like this? (I've worked with raw L3 market data in the US before where trades and quotes are always sequenced with respect to each other).

Thanks in advance, Matt

#contenttrademarket-by-pricemarket-feedsequence
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Jirapongse avatar image
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@matthew.godbolt

This developer forum is for questions on and general discussions of Refinitiv APIs.

From the question, you can use the API to retrieve the data properly. I think that the API works as expected and you have questions about the retrieved content.

For content questions, the best and most efficient way to receive an answer is to open a content-related inquiry via MyRefinitiv or to call the Refinitiv Help Desk directly. The content team can verify the data and provide you with an explanation.

Sorry for this inconvenience.

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matthew.godbolt avatar image matthew.godbolt
Thanks Jirapongse - I've contacted our representatives.

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