Where do I obtain Open, high, low and bid in End of Day Pricing Data? I have no permissions for P...

...remiumEndOfDayPricingReportTemplate

I am trying to look for Open, High, Low and Close Bid. I found them in PremiumEndOfDayPricingReportTemplate except for Close Bid. But looks like I do not have access to the template.

Also, Could you please tell me where I can find the following?
OTC Quote - Contributed ID, Bid Price, Ask Price and Qualifiers?

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Accepted answers

veerapath.rungruengrayubkul

Yes. For TRTH user, the ElektronTimeSeries report template should be
used to obtain end of day data. The PremiumEndOfDayPricing and
EndOfDayPricing report template is for DataScope Select only.

For Close Bid, I think it is the "Bid" field in the ElektronTimeSeries report template. According to Data Dictionary - Custom Reporting for Tick History 11.2, the Bid field is instrument’s
last bid price for the trading day.

In case that you have
the fields for TRTH V1 and want to know which fields and template should
be used in V2, you can find this information in the attachment
(TRTH_DataFieldDifferences_Jun2017.xlsx) of the Tick History v1 - v2 Comparison document.

Below are the list of OTC Quote fields.

This means that you should get the same information in the "Quote - Exchange/Contributor ID", "Quote - Bid Price", "Quote - Ask Price" and "Quote - Qualifiers" fields of the TickHistoryTimeandSales report template.

All comments

san tang

Open, High, Low- Found them in ElektronTimeseries. Am I right? But I couldn't find Close Bid

veerapath.rungruengrayubkul

Yes. For TRTH user, the ElektronTimeSeries report template should be
used to obtain end of day data. The PremiumEndOfDayPricing and
EndOfDayPricing report template is for DataScope Select only.

Below are the list of OTC Quote fields.

san tang

Hi Veerapath

Thanks a lot for sharing the links. Saved me a lot of time.

san tang

@veerapath.rungruengrayubkul

I see the below in the pdf:

Difference 1: End of Day (from Real Time)

AFFECTED AREAS: Customized Extractions, Venue by Day

DESCRIPTION: This format is not supported. Datascope Select Timeseries Pricing reports have the entire breadth and depth of DataScope and Eikon.

SOLUTION: To retrieve end of day content, use the Timeseries Pricing report

So, currently I am using V1 End of Day from Real Time and End of Day, to get Open, High, Low, Last and Open, High, Low, Bid respectively.

I was not able to find the differences in the excel. I got the details of Open , High , Low , Bid from ETS (Electron Time Series). Could you please guide me on how to get them?

End of Day (from real time)

V1 -> V2

Open -> ETS.Open

High -> ETS.High

Low-> ETS.Low

Last-> ETS.Last

End of Day

Open -> ETS.Open

High-> ETS.High

Low-> ETS.Low

Bid-> ETS.Bid?

Also, Is End of Day from real time and End of Day are same data? And both are the same under V2 ETS?

Beera.Rajesh

ets-fields.png and ets.png

Hi San
To provide background on the difference between v1 and v2 End of day data:

In TRTHv1, we have End of Day (Real-time) and End of Day (Verified). However, in TRTHv2 we have only one End of Day pricing template which is Elektron Time Series (Verified data) and is already available on TRTHv2 for clients under Pricing Data templates: "Elektron Time Series report template"

With respect to fields in question on EOD data, please refer to screenshot "ETS fields".

Regards,
Beera

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