At a times we are observing huge price drops for some securities and investigating a reason. We want to investigate retroactively some particular example, is it possible to rtrieve data for Jun 18, for example?
We suspect root cause of this could be suspended/auctioned trade. Is there are flag or other designation security at the moment is suspended/on auction trading?
We think some of below attributes could be used for this, does it makes sense?
VOLT_IT_TS - Starting time of the Volatility Interruption. Normal order matching is suspended for a specific period of time after this start time, giving time for order modification or removal (most probable source of info for mentioned case).
TRG_RSM_TM - Target resumption time for a halted/suspended security HALT_DATE - Date security was originally halted
HALT_TIME - Time security was originally halted, associated with HALT_DATE
HLT_RSM_DT - Trade resumption date for a halted/suspended security
LIST_SUSPD - Flag indicating whether the instrument is suspended from listing. Y if yes, blank if no - looks like exactly what we need (flag), but not for temporary suspension.
HLT_RSM_MS - Trade resumption time for a halted/suspended security