I am trying to retrieve NYSE order imbalance data - indicative auction prices/volumes in TRTH time and sales.
I have already tried to request TRTH time and sales data for F.N with all available fields and I don't see any indicative price/volume values - is this type of data available? Is it available in time and sales data or in raw transaction data?
Similar question has been raised on case: 08346357 by the same account (@cooberfund.com)
Hello @vecera
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Thanks,
AHS
The solution from the case the client open:
RIC <F.N> has permission on TRTH , however RIC <F.NOI> would require extra permission to view imbalance data as it is fee liable.
RICs with suffix ".NOI" will show more information on Imbalance Data Universe. Imbalance data has RIC structure "XXX.NOI" for NYSE
The NYSE Order Imbalances data feed is a separate data feed which publishes Opening and Closing imbalances automatically at specified intervals throughout the trading day for all NYSE listed securities.
Hence requires permission from exchange to view this data.
Hello @vecera
You can find all available fields for time and sales data on Fields tab of this page: https://hosted.datascope.reuters.com/DataScope/extractions/reports/create/TickHistoryTimeAndSales
and raw transaction fields on the bottom of this page: https://hosted.datascope.reuters.com/DataScope/extractions/reports/create/TickHistoryRaw
Hello @vecera,
This question is directly related to content. This forum is aimed at software developers using Refinitiv APIs. This type of question needs to be raised to Content expert via MyRefinitiv.
I have seen the similar case raised by your colleague via MyRefinitiv. You should be able to receive answer via the case.
