I am using RFA C++ API to access MBP/MBO data. I'd like know which FIDs are for MBP/MBO book level update timestamp. I knew there are timestamp FIDs for each level. Now I need to know the whole book timestamp if any.
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MBP/MBO book level update timestamp FID
If there such FIDs for MBP/MBO, will it be consistent for all exchanges' instruments? Or some exchanges' symbols may use FID_x while other may use FID_y, FID_z etc?
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I checked the Market By Order historical data of LSEG.L and found the timestamp field (TIMACT_MS) in the Summary data of the Map.
LSEG.L,Market By Order,2023-02-02T12:06:56.807103129Z,+0,Raw,UPDATE,UNSPECIFIED,,,,249,,45328,,0 ,,,,Summary,,,,,,,,,,2 ,,,,FID,1021,,SEQNUM,9044545, ,,,,FID,4148,,TIMACT_MS,43616757, ,,,,MapEntry,,UPDATE,,,,,,180361982603061488,,13 ,,,,FID,6522,,PR_DATE,2023-02-02, ,,,,FID,13439,,ORDER_TN,1,"L " ,,,,FID,3426,,ORDER_ID,180361982603061488, ,,,,FID,3428,,ORDER_SIDE,1,BID ,,,,FID,3429,,ORDER_SIZE,98, ,,,,FID,6520,,PR_TIM_MS,43555649, ,,,,FID,3427,,ORDER_PRC,7414, ,,,,FID,14268,,LV_TIM_NS,12:06:56.757919257, ,,,,FID,3435,,MMID,, ,,,,FID,8591,,ORD_TONE,0, ,,,,FID,14275,,PR_TIM_NS,12:05:55.649275483, ,,,,FID,6524,,OR_TIM_MS,43616757, ,,,,FID,6527,,LV_TIM_MS,43616757,
Typically, the summary data contains information that applies to every entry encoded in the Map.
It could be this field. However, you may need to contact the content support team directly to confirm this and a list of fields may be different among exchanges.
Otherwise, you may need to decode everything in a Map and verify if there is any field that indicates the whole book timestamp.
Hi Jirapongse,
So should be FID 4148 and I'll verify with content support team and also see whether it's applicable to every exchange.
Thanks.
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Hello @ming.cheng
Thank you for contacting us. Each RIC has different FID behavior based on a data feed, their exchange, etc. I highly recommend you contact the Content support team directly to help you with this content question. You can contact the team via https://my.refinitiv.com/content/mytr/en/productsupport.html link.
Note: You may need to inform the team about the RICs that you are using too.
I raised this question through MyRefinitv a week ago and was highly recommended here given reason is that it's development related. Now one more question is where I can go?
