TRTH: Qualifiers for different exchange
Hi,
In the TRTH Time and Sales Extraction, we are extracting data with the field Trade - Qualifiers
1. Is there any documentations on all the types of qualifiers for each trade?
2. We are specifically trying to identify trades that are made by the market makers, as we knew in the past that we should be looking for "[ACT_FLAG1]" flag inside the Trade - Qualifiers field. Is this flag consistent for different exchanges?
Cheers,
Sheldon
Best Answer
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The qualifier codes are provided by the exchange, and these codes may differ from exchange to exchange as well as the asset class.
The document for each exchange and asset class can be found on the following link.
https://my.refinitiv.com/content/mytr/en/product/thomson-reuters-tick-history-v2.html
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Answers
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Can I further ask you for the OPQ exchange, are we able to filter out non-electronically made trades? We are doing analysis using the Times and Sales data and want to filter out all trades that are not electronically traded. An example would be that for HKE exchange, the 4[ACT_FLAG1] indicates that this trade is reported by the broker rather than directly traded on exchange. Do we have similar way to tell this in the OPQ exchange? (We are focusing on US stocks and their corresponding options.)
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I would suggest contacting the data and content support on the MyRefinitiv site. They should be able to give you a proper answer to the content question.
But as far as I'm aware, the "Automatic" of [IRGCOND], e.g. 161[IRGCOND] to 170[IRGCOND], are electronically traded flag. But please don't quote me on this.
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@warat.boonyanit I was looking at those files you posted concerning the qualifiers but when I try to click on them they show up as empty. Are those files still available?
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