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mktdata avatar image
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Timestamp fields from Exchange

Hello we are using RFA 8.1 C++ api's to consume Level1 and Level2 market data from TREP. We have following questions -->

  1. What are the MP domain fields that provide the last update timestamp for quote and trade updates?
  2. What are MBP domain fields that provide the last update timestamp for every update?
  3. Most of the update fields I have seen says "Milli or Nano seconds from midnight" This is from UTC midnight or exchange midnight?

I know timestamp fields vary based on exchange and region but is there a way to know which exchange publishes which FID? because our mutual client trades globally so test actually test and see which FID's are published could be time consuming.

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Jirapongse avatar image   Jirapongse

@mktdata

Hi,

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AHS

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Thanks,


AHS


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Gurpreet avatar image
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Hi @mktdata,

You have correctly accessed - timestamp fields vary by exchange.

For most part, QUOTIM_MS and TRDTIM_MS will provide the last Quote or Trade time for MP domain. The time is milliseconds since UTC midnight.

For MBP, it varies. I could see that LV_TIM_MS field provides the time when a particular level is updated.

For a qualified answer, I suggest that you contact content support at my.refinitiv.com and provide them with a list of all the exchanges of interest to you. They can help narrow down the correct timestamp fields.

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