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s61670 avatar image
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help, fid, footprint

Help me, please.

For a long time I can not get an answer in the support service, so I write here in the hope of getting a faster answer.

I can't understand how three FIDs interact

FID14 parameters "# DE #" and "FE," FID270 "# 20DE" and "20FE," FID12770 AGGRS_SID1 "ASK" and AGGRS_SID1 "BID"

1. Different situations:

1.1 FID14"# DE #"; FID270 "# 20DE"; FID12770 AGGRS_SID1 "ASK"

1.2 FID14"# DE #"; FID270 "# 20DE"; FID12770 AGGRS_SID1 "BID"

1.3 FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "ASK"

1.4 FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "BID"

I want to do my FOOTPRINT and I need to deal with this FID to understand how to consider volumes.

ESH1,Market Price,2020-12-03T18:07:16.647219834-06,Raw,UPDATE,TRADE,,,,5058,,37006,,31
,,,FID,178,,TRDVOL_1,1,
,,,FID,32482,,ELG_ACVOL,88,
,,,FID,1021,,SEQNUM,28807021,
,,,FID,379,,SALTIM,00:07:16.000000000,
,,,FID,3854,,SALTIM_MS,436640,
,,,FID,14266,,SALTIM_NS,00:07:16.640000000,
,,,FID,1704,,ACVOL_TIM,00:07:16.000000000,
,,,FID,14256,,ACVOLTM_MS,00:07:16.640000000,
,,,FID,4756,,LSTSALCOND,2,
,,,FID,5,,TIMACT,00:07:16.000000000,
,,,FID,18,,TRDTIM_1,00:07:16.000000000,
,,,FID,11,,NETCHNG_1,6.75,
,,,FID,56,,PCTCHNG,0.18,
,,,FID,16,,TRADE_DATE,2020-12-04,
,,,FID,17,,ACTIV_DATE,2020-12-04,
,,,FID,77,,NUM_MOVES,71,
,,,FID,99,,LIMIT_IND,0,"   "
,,,FID,8936,,LIMIT_IND2,0,"   "
,,,FID,3404,,VWAP,3662.46875,
,,,FID,3430,,NO_ORD,2,
,,,FID,32,,ACVOL_1,104,
,,,FID,32743,,ACVOL_UNS,104,
,,,FID,3900,,TRADE_ID,271209597,
,,,FID,6,,TRDPRC_1,3663.5,
,,,FID,14,,PRCTCK_1,2,#FE#
,,,FID,53,,TRD_UNITS,1,"1DP "
,,,FID,393,,PRIMACT_1,3663.5,
,,,FID,270,,ACT_TP_1,3,#20FE#
,,,FID,275,,SEC_ACT_1,6.75,
,,,FID,280,,SC_ACT_TP1,1," +"
,,,FID,12770,,AGGRS_SID1,2,"ASK  "

I am building Trade BID * ASK statistics in FOOTPRINT.

In the example FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "ASK"

I don't understand what shows FID12770 AGGRS_SID1 "ASK"

What do you mean AGGRS_SID1 ASK?

Help understand how to properly account for trading volumes to correctly count FOOTPRINT.


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1 Answer

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Jirapongse avatar image
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@s61670

Those fields are enumeration fields. The definitions of those fields are:

PRCTCK_1   "TICK:UP/DOWN"          14  NULL        ENUMERATED    2 ( 1 )  ENUM             1
!
! The direction of price movement from the previous trade or "Last" price.
!
...
ACT_TP_1   "ACT TYPE 1"           270  ACT_TP_2    ENUMERATED    3 ( 2 )  ENUM             1
...
!
! Indicates the nature of the activity in associated primary activity fields PRIMACT_1 
! to PRIMACT_5
!
...
AGGRS_SID1 "AGGRESSIVE ORD1"    12770  AGGRS_SID2  ENUMERATED    3 ( 5 )  ENUM             1
...
!
! An indicator to show the aggressive order condition for last trade
!

The meanings of the fields' values are:

!
! ACRONYM    FID
! -------    ---
!
PRCTCK_1      14
...
!
! VALUE      DISPLAY   MEANING
! -----      -------   -------
      0          " "   no tick
      1         #DE#   up tick or zero uptick
      2         #FE#   down tick or zero downtick
...
!
! ACRONYM    FID
! -------    ---
!
ACT_TP_1     270
...
!
! VALUE      DISPLAY   MEANING
! -----      -------   -------
      0         "  "   undefined or unknown
      1         "  "   trade price, no tick
      2       #20DE#   trade price, up tick or zero up tick
      3       #20FE#   trade price, down tick or zero down tick
...
!
! ACRONYM    FID
! -------    ---
!
AGGRS_SID1 12770
...
!
! VALUE      DISPLAY   MEANING
! -----      -------   -------
      0      "     "   Undefined
      1      "BID  "   Aggressive order initiated from BID side
      2      "ASK  "   Aggressive order initiated from ASK side

FID14 (PRCTCK_1) relates to FID6 (TRDPRC_1) indicating uptick or downtick.

FID270 (ACT_TP_1) relates to FID393 (PRIMACT_1) indicating uptick or downtick.

You can refer to the Data Discovery Model or directly contact the content team via MyRefinitiv for more information.

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