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
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 .