When retrieving a Tick History Raw report, we are getting several report fields (in the header), but not all of them are clear what they mean. For the following list of header fields in the Raw report, is there a definition / data guide available ?
#RICDomainDate-TimeGMT OffsetTypeMsgClass/FID numberUpdateType/ActionFID NameFID ValueFID Enum StringPE CodeTemplate NumberKey/Msg Sequence NumberNumber of FIDs
I have not seen any explanation in any of the user/programing guides.
Many thanks
Hello @jose.weigand1
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Thanks,
AHS
Typically, the MsgClass can be REFRESH, UPDATE, and STATUS. The STATUS message is used to indicate the state of the item. The update types could be:
The usage of the update types may depend on exchanges. Please contact the content support team directly via MyRefinitiv for more information.
62 is PE Code (Product permissions information) used by the Real-Time server component to authorize users to access the data. 72 is a template number containing information about all possible fields in an item and is typically used by caching implementations to pre-allocate storage.
For the market-price data, the Key/Msg Sequence Number specifies a defined sequence number, which can range in value from 0 to 4,294,967,295. To help with temporal ordering, seqNum should increase across messages, but can have gaps depending on the sequencing algorithm in use.
You can refer to the Transport API C Developers Guide in the section 11.3.1 RsslFieldList and 12.2 RSSL Messages for more information.
Showing the fields in a readable format ...
#RIC
Domain
Date-Time
GMT Offset
Type
MsgClass/FID number
UpdateType/Action
FID Name
FID Value
FID Enum String
PE Code
Template Number
Key/Msg Sequence Number
Number of FIDs
Thanks for reaching out to us.
Tick History Raw is delivered message-per-message as reported by the exchange venues. Typically, it provides raw real-time tick-by-tick data.
For example, the data of the MarketPrice domain is in a field list. When subscribing to the real-time item, the first response is a refresh message followed by a sequence of update messages.
A refresh message contains all available fields of the subscribed items.
IBM.N,Market Price,2023-02-04T02:00:17.802542189Z,-5,Raw,REFRESH,,,,,62,79,28127,,299 ,,,,FID,1,,PROD_PERM,62, ,,,,FID,2,,RDNDISPLAY,64, ,,,,FID,3,,DSPLY_NAME,INTL BUS MACHINE, ,,,,FID,4,,RDN_EXCHID,2,NYS ,,,,FID,6,,TRDPRC_1,136.94, ,,,,FID,7,,TRDPRC_2,136.94, ,,,,FID,8,,TRDPRC_3,136.94, ,,,,FID,9,,TRDPRC_4,136.94, ,,,,FID,10,,TRDPRC_5,136.94, ,,,,FID,11,,NETCHNG_1,0.55, ,,,,FID,12,,HIGH_1,136.95, ... ... ... ,,,,FID,3265,,52WK_HIGH,153.16, ,,,,FID,3266,,52WK_LOW,115.55, ,,,,FID,3448,,52W_HDAT,2022-12-13, ,,,,FID,3449,,52W_HIND,, ,,,,FID,3450,,52W_LDAT,2022-10-13, ,,,,FID,3451,,52W_LIND,,
The message above is a refresh message of IBM.N representing all available fields in IBM.N.
Then, it is followed by a sequence of update messages. Each update message contains only updated fields. The following messages are the update messages of the QUOTE type.
IBM.N,Market Price,2023-02-01T15:37:43.899677846Z,-5,Raw,UPDATE,QUOTE,,,,62,,38112,,21 ,,,,FID,22,,BID,133.51, ,,,,FID,25,,ASK,133.54, ,,,,FID,30,,BIDSIZE,2, ,,,,FID,31,,ASKSIZE,2, ,,,,FID,6579,,BID_COND_N,R, ,,,,FID,6580,,ASK_COND_N,R, ,,,,FID,1000,,GV1_TEXT," ", ,,,,FID,8937,,LIMIT_INDQ,0," " ... IBM.N,Market Price,2023-02-01T15:37:43.931631547Z,-5,Raw,UPDATE,QUOTE,,,,62,,38128,,21 ,,,,FID,22,,BID,133.51, ,,,,FID,25,,ASK,133.54, ,,,,FID,30,,BIDSIZE,2, ,,,,FID,31,,ASKSIZE,1, ,,,,FID,6579,,BID_COND_N,R, ,,,,FID,6580,,ASK_COND_N,R, ,,,,FID,1000,,GV1_TEXT," ", ,,,,FID,8937,,LIMIT_INDQ,0," " ... IBM.N,Market Price,2023-02-01T15:37:43.931631547Z,-5,Raw,UPDATE,QUOTE,,,,62,,38144,,21 ,,,,FID,22,,BID,133.51, ,,,,FID,25,,ASK,133.55, ,,,,FID,30,,BIDSIZE,2, ,,,,FID,31,,ASKSIZE,1, ,,,,FID,6579,,BID_COND_N,R, ,,,,FID,6580,,ASK_COND_N,R, ,,,,FID,1000,,GV1_TEXT," ", ,,,,FID,8937,,LIMIT_INDQ,0," " ,,,,FID,118,,PRC_QL_CD,60,"R " ,,,,FID,3264,,PRC_QL3,60,"R " ...
To get the field definitions, you can refer to the Data Model Discovery tool.
For example, the template of IBM.N is 1070 - NYSE CTA Equity Regional [Refinitiv Real-Time/Equities and these are the field definitions of IBM.N.
I can say that the Tick History Raw extraction provides low-level and raw real-time data. You need to create an application logic to parse this raw data. Otherwise, you may consider using other extractions, such as TickHistoryIntradaySummariesExtractionRequest or TickHistoryTimeAndSalesExtractionRequest instead.
I hope that this information is of help.
Many thanks Jirapongse, but I am looking for the definition of the fields in the header (not the FIDs). Some of them are self explanatory (eg: RIC, Domain, Date-Time, FID Name, FID Value..), but what can we expect under MsgClass (UPDATE, REFRESH, any other?), what can we expect under Update Type (Quote, any other?), what is the meaning of the template number (62 for IBM.N), what is the definition of "Key"
I have not been able to find the definition of the fields in the header..
