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Philipp avatar image
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D5 Data file different format TRTHv1 <-> DSS

Hi all,

we are loading a daily D5 data file via the TRTHv1. I now checked the file in the new API and there are some differences in file size and in file content (see screenshot). Can you please advice if the same format is still availalbe via DSS and where we can find it?

This is the format we need:

#RIC,Date[G],Time[G],GMT Offset,Type,Last Bid,Last Ask,Average Trade,Cumulative Volume,Last Traded Price AED=D5,02-SEP-2016,08:18:11.000000,+0,Dealing,0,3.67295,,0, AED=D5,02-SEP-2016,10:04:49.000000,+0,Dealing,0,0,3.672950,2,3.67295 AED=D5,02-SEP-2016,10:04:50.000000,+0,Dealing,0,0,,0,3.67295 AED=D5,02-SEP-2016,11:34:35.000000,+0,Dealing,0,3.67295,,0,3.67295 AED=D5,02-SEP-2016,13:00:20.000000,+0,Dealing,0,0,3.672950,1,3.67295 AUD=D5,01-SEP-2016,21:53:49.000000,+0,Dealing,0.755,0.7553,,0,0.7552

tick-history-rest-api
2017-02-09-15-19-54-available-files-thomson-reuter.png (62.1 KiB)
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Christiaan Meihsl avatar image   Christiaan Meihsl

@Philipp Considering your query, we moved it from the DSS to the TRTH forum, it seems more appropriate, and will help people discover it. We moved it because it is related to TRTH data or functionality, i.e. for the same reasons we moved this query. AHS

Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

Hi @Philipp.

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query? If so, please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.

Thanks

AHS

Philipp avatar image   Philipp Nipat Kunvutipongsak

You have accepted the reply below now on your own? And not it looks like I have accepted it. Intersting approach in this forum.

Christiaan Meihsl avatar image   Christiaan Meihsl Philipp

@Philipp, there might have been a mistake here. Would you like me to un-accept it ?

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Rakesh.Singh avatar image
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@Philipp

Hi Philipp

In DSS (TRTH v2), data for D5 RICs will be tick-tick (TAS). The format of the new FXD5 is consistent with the standard exchange-by-day (or VBD) offering.

FXD5 data in TRTH v1 is 1 seconds conflated with summarized fields such as last trade price, aggregated 1 sec volumes.

FXD5 data in TRTH v2 is minus conflation, you will receive every trade and (best) quote messages from the Thomson Reuters Matching platform.

1 seconds FXD5 conflated data will not be supported in DSS (TRTH v2)

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Philipp avatar image
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Ok, now I have an explanation, why the current format is no longer available in TRTHv2 but still I see it as a problem, because this causes quiet some additional development work on our side. Can you please check if it is possible to deliver both formats in the future in parallel?

Can you please also provide some information or a generall overview about all the non compatible changes between TRTHv1 and TRTHv2. It is a frustrating approach to find out about these changes in a kind of reverse engineering process.

Thx in advance.

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