How to get closing trade price for European markets
We're using ELEKTRON to get European market data. What is the best way to get closing trade price before closing auction? We know there is "OFF_CLOSE" but it comes to late (15 - 30 minutes after close). We're attempting to use CLS_AUC as the last trade price of the day. Is that reliable? what if there is no close auction for the symbol (example, USCO.S)? We know there are different rules for different exchanges. However we'd like to handle it the best we can. thanks,
OFF_CLOSE is updated as fast as we can officially confirm the closing price, so it may be based on a flag from the venue or from the closing price coming down the feed to say we can now snap the close.
CLS_AUC holds the evening auction final uncrossing price, which is often the closing price for European equity Exchanges for liquid stocks. For less liquid stocks there often isn't an auction run, and for some exchanges there isn't an auction process at all. You can use this field and it will update as soon as the final uncrossing price is received though and that is very timly. It will work for a number of the larger stocks on the larger european exchanges eg VOD.L on the LSE or PEUP.PA on Euronext, but not for stocks like SIXH.L that are smaller stocks on the LSE, for example.
In some cases VWAPs, last trades and/or hidden algorithms determine the closing price so what you are proposing could help go some way to get a faster close for some stocks on some exchanges depending on what you want to do or are looking at, but there are a lot of caveats to consider anhd it would have to be a venue-by-venue check.
And whats the difference between OFF_CLOSE and SETTLE?
Not much difference really. SETTLE is specifically for futures and options and is usually a calculated price by the exchange. In mist cases the OFF_CLOSE and SETTLE are the same, but it might be that a venue publishes a SETTLE and uses an actual traded price or such like for the OFF_CLOSE.
Many thanks!
Whats the corresponding date and time field for TRDPRC_1? Is that TRADE_DATE and TRDTIM_1?
Well it does depend somewhat on the market, but in general TRADE_DATE and SALTIM (either SALTIM_MS or SALTIM_NS) are the main fields to use with TRDPRC_1
Thats really confusing. Is there anywhere a overview of which fields are available for a specific ric/market including the meaning of that field?
@3352edee-c7b3-42de-95ff-77348a2fc138,
To browse the fields that are made available by exchanges, per ric/market, with full descriptions, please go to the front page of developers portal and select
Resources ->Data Model Discovery
or follow this link Data Model Discovery Tool