TWAP (Time Weighted Average Price)

Hi Team,

This is on behalf of a customer, please see below:

"Our business is looking for a solution to get TWAP data from the RIC ESZ24. (detailed requirements below)

Do you know if there is a feature in existing APIs that we can retrieve TWAP data from TREP ?

Or if this is not retrievable via API/TREP, then do you know any service that can provide TWAP data ?"

Checked with the content team and they replied that the venue guide seemed to indicate no such FIDs available for this data... but customer replied that "It will be good if there is a function/feature in existing APIs (RFA etc) to able to get TWAP data for a customizable period of time. Apparently, BBG API has a similar function and our developer would like to check if similar function is available in Reuters API. Thank you."

Any assistance or guidance on this would be appreciated.

Regards,
Frank

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Accepted answers

Gurpreet

Hello @Frank Cuschieri,

TWAP information is not calculated or made available in RTMDS and hence won't be available to subscribe in the APIs. However, since RTMDS and the API has the ability to deliver/consume all the tick-by-tick data in the real time, it should be possible for the application to calculate this metric in the user code.

If the user infrastructure has an access to ATS, it might be possible to calculate and publish TWAP through it.

All comments

wasin.w

Hello @Frank Cuschieri

Please be informed that the Real-Time APIs (including the RFA API) just receives incoming data from the Real-Time platform (TREP, RTDS, RTO, Provider, etc.) and passes it to an application "as is". It is depending on whether the Real-Time platform provides TWAP for consumers.

According to the content team response "the venue guide seemed to indicate no such FIDs available for this data...", it means this data does not available via the Real-Time platform, so the data is not available via the RFA API too.

I do not information about other LSEG APIs or services that have this data for the clients. I strongly suggest you contact the Content team to verify which LSEG APIs/Servies that match the client requirement.

Gurpreet

Hello @Frank Cuschieri,

If the user infrastructure has an access to ATS, it might be possible to calculate and publish TWAP through it.

Frank Cuschieri

Thanks Wasin, appreciated.

Frank Cuschieri

Thanks Gurpreet, appreciated.

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