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irregular trade fields

Hello,

1. We use RFA API

2. We contacted content department and they do not have an answer because they don't see the fields (?!)


I have excel document with the list of fields that are used for irregular trades. For simplicity I will talk only about the Volume.

This is what I have :

TRDVOL_1 - regular trade volume

CRS_TRDVOL (7065) - cross trade volume

ODD_TRDVOL (6922) - odd lot

DRK_TRDVOL (7053) - Mid Point trade

BLKTRDVOL (6908) - Block Trade

TRVOLOFFBK (6582) - Virtual and Off book trades


I can see different behaviors for Cross Trade and for Odd Lot.

Cross Trade message:

TRDPRC_1       : REAL      8 : 7.27 <19>
TRDVOL_1       : REAL      8 : 300 <0>
ACVOL_1        : REAL      8 : 16631764 <0>
ACVOL_UNS      : REAL      8 : 16631764 <0>
LSTSALCOND     : STRING    1 : "C"
NUM_MOVES      : REAL      8 : 5056 <0>
PRCTCK_1       : STRING    1 : "1" <261>
SEQNUM         : REAL      8 : 5056 <0>
VWAP           : REAL      8 : 7.2574 <20>
VOL_X_PRC1     : REAL      8 : 2181 <20>
NETCHNG_1      : REAL      8 : 0.04 <19>
PCTCHNG        : REAL      8 : 0.55 <18>
SALTIM         : STRING    8 : "19:47:03" <260>
TRDTIM_1       : STRING    5 : "19:47" <259>
TRADE_ID       : STRING    4 : "5056"
GV3_TEXT       : STRING    1 : "C"
TRNOVR_UNS     : REAL      8 : 120702637.55 <20>
ASK_MMID1      : STRING    4 : "VAFI"
NA_MSG_TYP     : STRING    1 : "P"
BID_MMID1      : STRING    4 : "VAFI"
TURNOVER       : REAL      8 : 120702637.55 <19>
CRSTRD_PRC     : REAL      8 : 7.27 <20>
CRSTIM_NS      : REAL      8 : 71223 <0>
PRE_10T131     : STRING    5 : "VAFIN"
TR_TRD_FLG     : STRING    1 : "1" <261>
CRS_TRDVOL     : REAL      8 : 300 <0>
CRS_CONCD2     : STRING    1 : "4"
CONDCODE_1     : STRING    1 : "C"
LST_TRD_PR     : REAL      8 : 7.27 <20>
AC_VOL_CRS     : REAL      8 : 1220017 <0>
CRS_NUMOV      : REAL      8 : 285 <0>
CRS_SELID      : STRING    5 : "VAFIN"
CRSTRD_TRN     : REAL      8 : 2181 <20>
SEQ_NO         : REAL      8 : 7239050 <0>
ELG_ACVOL      : REAL      8 : 16612216 <0>
CRS_BUYID      : STRING    5 : "VAFIN"
CRS_TRDID      : STRING    4 : "5056"
AC_TRN_CRS     : REAL      8 : 8838868.29 <20>
CRSSALCOND     : STRING    1 : "C"
PRNTBCK        : REAL      8 : 5056 <0>
SALTIM_NS      : REAL      8 : 71223 <0>
PRE_10T132     : STRING    5 : "VAFIN"
ELG_TNOV       : REAL      8 : 120560957.48999999 <20>
BUYER_ID       : STRING    4 : "VAFI"
CONDCODE_2     : STRING    1 : "4"
SELLER_ID      : STRING    4 : "VAFI"
LTNOV_UNS      : REAL      8 : 2181 <20>
CRS_CONCD1     : STRING    1 : "C"
CRS_SEQNO      : REAL      8 : 7239050 <0>
TRDAUCTP_N     : STRING    1 : " "
INSCOND        : STRING    2 : "31" <261>
ELG_NUMMOV     : REAL      8 : 4510 <0>

Odd lot:

ODD_BUYID      : STRING    5 : "CS   "
ODD_CONCD1     : STRING    1 : "C"
SALTIM         : STRING    8 : "15:38:33" <260>
TR_TRD_FLG     : STRING    1 : "1" <261>
SEQNUM         : REAL      8 : 288 <0>
GV3_TEXT       : STRING    1 : "O"
IRGVOL         : REAL      8 : 11 <0>
IRGPRC         : REAL      8 : 19.49 <19>
TRDAUCTP_N     : STRING    1 : " "
ACVOL_1        : REAL      8 : 20666 <0>
TURNOVER       : REAL      8 : 403587.51 <19>
NUM_MOVES      : REAL      8 : 288 <0>
TRNOVR_UNS     : REAL      8 : 403587.51 <20>
ACVOL_UNS      : REAL      8 : 20666 <0>
ODDTRN_UNS     : REAL      8 : 85707.9 <20>
ODD_VOLUME     : REAL      8 : 4387 <0>
IRGCOND        : STRING    3 : "241" <261>
NA_MSG_TYP     : STRING    1 : "P"
PRNTBCK        : REAL      8 : 288 <0>
TIMCOR         : STRING    8 : "15:38:33" <260>
INSCOND        : STRING    2 : "31" <261>
ODDTIM_NS      : REAL      8 : 56313 <0>
ODD_SELID      : STRING    5 : "MERL "
ODD_PRC        : REAL      8 : 19.49 <20>
ODD_TRDID      : STRING    3 : "288"
ODD_CONCD2     : STRING    1 : "4"
ODDSALCOND     : STRING    1 : "O"
ODD_SEQNO      : REAL      8 : 1572580 <0>
ODD_TRDVOL     : REAL      8 : 11 <0>

First message has 2 fields: TRDVOL_1 and CRS_TRDVOL with the same value.

Second message has only: ODD_VOLUME


The questions is : for Mid Point and Block Trades, do you copy the value of the Volume to TRDVOL_1 field or not?


treprfarfa-api
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The client has opened the case: 08271907 for this issue but been redirected to here.

I left a comment in the salesforce for the case owner to re-verify and re-open this case 08271907 because it looks like to be a content question.

The new case 08287423 has been created by the content team.

<AHS>

The case 08287423 status is "Service Restored". The case update is "Our content specialist has confirmed that cross trade volume will be copied to TRDVOL_1 as per the logic. DRK_TRDVOL (7053), TRVOLOFFBK (6582) and BLKTRDVOL (6908) will not be copied to TRDVOL_1 as those are for Dark pools, block trades and off book trades. Volume will be updated on their corresponding fields.

The behavior varies per venue. "

Extend triage.

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646 21 32 41

Content team confirmed that only CRS_TRDVOL field is copied to TRDVOL_1 . The rest will not be copied.

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@igorg

RFA API just retrieves data from exchanges via a data feed. Therefore, it is a content question. Moreover, this forum is unable to answer content questions.

I am able to see both ODD_VOLUME and ODD_TRDVOL via Eikon. Therefore, I have contacted the content support who is an owner of the previous case (08271907) to re-verify the problem.

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Hi @igorg


I thought id add a bit of colour to what you are seeing, based on the data model principles.


TRDVOL_1 is the volume field of all last eligible trades (last eligible trades are those we/the exchange consider to be market moving and usually form part of the summary data (highs/lows etc etc). If a trade is an "odd" , "cross" or even "dark", "block" etc and also considered to be last eligible then it will update in both the odd/cross etc fields as well as the TRDVOL_1 field. However if it is not considered last eligible then it will only update the odd, cross, dark etc trade stack.


I don't know which exchange this is, or whether it is and accurate representation. However what I can say it what you are seeing, according to the data model principles, is that the Cross trade is considered last eligible but the odd lot trade isn't. This is because the odd lot trade only updates in the odd trade stack and not also the last eligible trade stack.

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@igorg. Just to add. You don't need to do anything to add the volumes together etc. The way this was built is so you could decide what you wanted to do. If you don't care about non last eligible trades, then only look at the TRDVOL_1 (and TRDPRC_1 etc) fields. If you only care about odd trades just look at the odd stack.


If you care about all trades, then take them all, but in a message don't duplicate the trades if they appear in two sets of trade fields.


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