Requesting Intraday prices for (inactive) instruments fails but it does not when retrieving Depth and EndOfDay data

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ricardo.siguero

5 ●8 ●12 ●12

Requesting Intraday prices for (inactive) instruments fails but it does not when retrieving Depth and EndOfDay data

Hi,

We are retrieving intraday/end-of-day/depth prices for the same instrument list and time interval (11th of June)

As we were not getting data from the intraday-data access, we had a look at its related Notes file, that indicated that some of the instruments from that list were inactive (i.e. ALFAA.MX)

Manifest: #RIC,Domain,Start,End,Status,Count
Manifest: ALFAA.MX,Market Price,,,Inactive,0
Manifest: CREAL.MX,Market Price,,,Inactive,0
Manifest: EUR2WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: EUR3WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: EURMXN=,Market Price,2018-06-10T22:20:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,196
Manifest: EURMXNTNV=,Market Price,2018-06-11T05:45:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,195
Manifest: EURTNV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: FHIPO14.MX,Market Price,,,Inactive,0
Manifest: FUNO11.MX,Market Price,,,Inactive,0
Manifest: LABB.MX,Market Price,,,Inactive,0
Manifest: MEGACPO.MX,Market Price,,,Inactive,0
Manifest: MXN2MV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN2WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN3MV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN3WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXNONV=,Market Price,2018-06-11T06:45:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,182
Manifest: MXNSNV=,Market Price,2018-06-10T23:45:00.000000000Z,2018-06-11T21:00:00.000000000Z,Active,256
Manifest: MXNSWV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXNTNV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,287

Despite some of instruments seemed to be inactive, we retrieved end-of-day and market depth data for them and within the same time interval.

Taking the symbol ALFAA.MX as an example:

End-of-day prices

RIC,Open,High,Low,Volume,Universal Close Price,Trade Date,Trading Status
ALFAA.MX,20.88,21.28,20.47,7708645,21.14,11/06/2018,1
CREAL.MX,22.9,23.49,22.7,622590,23.28,11/06/2018,1
EUR2WV=,1.178546,1.183065,1.178145,,1.179357,11/06/2018,1
EUR3WV=,1.179549,1.184066,1.179147,,1.180333,11/06/2018,1
EURMXN=,23.9783,24.274,23.9399,,24.266,11/06/2018,1
EURMXNTNV=,23.972242,24.26712,23.937714,,24.245119,11/06/2018,1
EURTNV=,1.17732,1.181823,1.176915,,1.178126,11/06/2018,1
FHIPO14.MX,15.79,16.19,15.73,753436,16.01,11/06/2018,1
FUNO11.MX,27.9,27.97,27.82,17177658,27.95,11/06/2018,1
LABB.MX,16.67,16.9,16.51,3172784,16.61,11/06/2018,1
MEGACPO.MX,84.89,86.43,84.75,177882,85.77,11/06/2018,1
MXN2MV=,20.5238,20.8064,20.4736,,20.7901,11/06/2018,1
MXN2WV=,20.3639,20.6471,20.3159,,20.6283,11/06/2018,1
MXN3MV=,20.6245,20.9126,20.5676,,20.8962,11/06/2018,1
MXN3WV=,20.39,20.6744,20.3422,,20.65,11/06/2018,1
MXN=,20.3175,20.599,20.2678,,20.588,11/06/2018,1
MXNONV=,20.2984,20.5907,20.261,,20.5742,11/06/2018,1
MXNSNV=,20.3348,20.6021,20.2716,,20.5846,11/06/2018,1
MXNSWV=,20.341,20.6231,20.2928,,20.6065,11/06/2018,1
MXNTNV=,20.3132,20.5948,20.2649,,20.5783,11/06/2018,1

Market-depth prices

#RIC,Domain,Date-Time,GMT Offset,Type,L1-BidPrice,L1-BidSize,L1-AskPrice,L1-AskSize
ALFAA.MX,Market Price,2018-06-11T08:45:31.350936961Z,-5,Normalized LL2,,,,
ALFAA.MX,Market Price,2018-06-11T10:32:45.651010060Z,-5,Normalized LL2,20.2,2200,,
ALFAA.MX,Market Price,2018-06-11T10:32:45.651113484Z,-5,Normalized LL2,20.2,2200,20.97,3057
ALFAA.MX,Market Price,2018-06-11T13:00:00.456208155Z,-5,Normalized LL2,20.2,2200,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:00:02.780010152Z,-5,Normalized LL2,20.25,8000,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:00:03.512449553Z,-5,Normalized LL2,20.6,57,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:03:00.119452016Z,-5,Normalized LL2,20.7,150,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:03:20.971553487Z,-5,Normalized LL2,20.73,483,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:22:28.678681430Z,-5,Normalized LL2,20.74,1500,20.95,3000

Any idea about what is happening?

Thanks,

Regards,

Ricardo

tick-history-rest-api historical pricing depth-of-book

Jul 19, 2018 at 05:06 AM

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veerapath.rungruengrayubkul Jul 20, 2018 at 12:42 AM

@ricardo.siguero

Can you share the time interval or extraction request message used for your intraday and market depth requests?

ricardo.siguero veerapath.rungruengrayubkul Jul 20, 2018 at 07:14 AM

Hi,

Attached the JSON body for all the report templates (intraday, market-depth,end-of-day)

reporttemplates.txt

Thanks

reporttemplates.txt (4.5 KiB)

zoya faberov Jul 30, 2018 at 03:17 PM

Hello @ricardo.siguero,

Have you had a chance to contact TRTH support team directly to verify on the content?

Thanks,

-AHS

zoya faberov Aug 06, 2018 at 04:00 PM

Hello @ricardo.siguero,

Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,

-AHS

wasin.w Aug 14, 2018 at 01:34 AM

Hello @ricardo.siguero

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,

AHS

Christiaan Meihsl Aug 20, 2018 at 03:56 AM

@ricardo.siguero, please be informed that a reply has been verified as correct in answering the question, and has been marked as such. Thanks, AHS

Answer 1 · 2018-07-23T02:51:08Z

veerapath.rungruengrayubkul

11.3k ●25 ●9 ●14

@ricardo.siguero

I have found the same result. However, if the date has been changed to 2018-06-18, the data is generated properly so this likely is not API issue. Raw tick data generated from the TickHistoryRaw report template also indicates that there was data provided that day and the timestamp was the same as the Market Depth report template. This could be TRTH content issue.

Please contacting the TRTH support team directly at https://my.thomsonreuters.com/ContactUsNew .

Jul 23, 2018 at 02:51 AM

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