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Historical Raw feed parsing

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.

refinitiv-realtimeelektron-sdktick-history-rest-apihistorical
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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.

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