Hello,
Im subscribed to lvl 2 market data, however I need to differentiate market orders at market price and all other orders. Im trying to implement a IEP/IEV calculator for the Tokyo market since Reuters does not supply that data, and to do this I need use the Itayose method, which in turn needs to differentiate between market orders and others. Does the .T RIC supply this information? Ive tried requesting the field ID, however the servers I connect to don't support views.
Could you help answering the second query (the one in the comment) ? Thanks, AHS
If "M" is indicated in ORDER_TONE (FID 3886), it's market order. But the FID is available only on OMM API.
Hi,
In the pre-open period, accumulated size of market order is available on FID4366 (sell) and FID4367 (buy). Once market is opened, market orders are traded as soon as possible and the exchange dose not provide size of market order in the auction period. Also, the exchange dose not provide type of orders for each traded data (e.g. if TOYOTA (7203.T) traded 1000 shares at 6,500JPY, no identification from the exchange to know it was market order or limit order).
For more details about Tokyo SE trading method, please refer below link.
Do you know if any of the RDM feeds supply this field by default for TSE? Also I hear that the ORDER_TONE (FID 3886) may indicate a market order by having a value of 'M'?
Could you help answering the second query (the one in the comment) ? Thanks, AHS
