We recently bought some historical raw data from reuters. Now it seems that your internal feed changed from IDN to Elektron over the time. Where can I get the complete specifications for parsing this raw data i:e which fid to look for which data, which fid is retransmitted everytime and which is not etc? The complete exchange level specifications I mean.
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Historical Raw feed parsing
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Thank you for your participation in the forum.
Are any of the replies below satisfactory in resolving your query?
If yes please click the 'Accept' text next to the most appropriate reply. This will guide all community members who have a similar question.
Otherwise please post again offering further insight into your question.
Thanks,
AHS
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Hi @sgan208
We have Data Model Discovery site for the venue field document.
And there are general principles that hold true across exchanges.
Quotes and Trades for exchange-traded instruments regardless whether IDN or Elektron will be available in a standard set of FIDs. Here are the mappings across exchanges -
- Bid Price = FID 22/ BID
- Bid Size = FID 30/ BIDSIZE
- Ask Price = FID 25/ ASK
- Ask Size = FID 31/ ASKSIZE
- Last-eligible Trade Price = FID 6/ TRDPRC_1
- Regular Volume = FID 178/ TRDVOL_1
- Cumulative Volume = FID 32/ ACVOL_1
Time deserves further elaboration. With Elektron, we started carrying high precision timestamps, with a caveat that the exchanges do supply the high precision timestamps.
For time mapping, FIDs with "_MS" suffix will give you venue supplied timestamp data, formatted as integer denote milliseconds after midnight, while FIDs with "_NS" suffix will give you venue supplied timestamp, formatted as the usual time format with precision up to nanosecond.
