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.
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 -
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.