For a deeper look into our Elektron API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials |  Articles

question

Upvotes
Accepted
aschmied avatar image
67 ●1 ●5 ●11

Definition of QUOTIM_NS

I have a question about the time we get back on Quote messages in WebSockets API. The only non-deprecated times field appears to be QUOTIM_NS. The Data Model Discovery app describes this fields as "Time of best bid/ask quote update - self describing timestamp supporting up to nanosecond granularity." I understand this to mean that it is the time that the current best bid/ask _became_ the best bid/ask, not the time that the current best bid/ask was posted. Is this correct?


For example

  1. A bid happens at 12:00 for $10. QUOTIME_NS is 12:00, BID is $10
  2. A bid happens at 12:01 for $11. QUOTIME_NS is 12:01, BID is $11
  3. At 12:02, the 12:01 bid is retracted. The 12:00 bid is now the best bid. QUOTIM_NS is 12:02, BID is $10


And to verify my understanding, the "best" bid is the highest bid and the "best" ask is the lowest ask?

elektronrefinitiv-realtimeelektron-sdkrrt
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

1 Answer

· Write an Answer
Upvote
Accepted
nick.zincone avatar image
15.7k ●70 ●39 ●63

Hi @aschmied

I would suggest the business rules around how fields are populated within the data should be raised within the Refinitiv Helpdesk. They will be able to bring a business analyst in for assistance.

The rules around how FIDs are updated may be dependent on the exchange. For example, in your above example, at 12:02, the bid value changing will likely be a result of an order execution against the book. In such as situation, the QUOTIM_NS may not change but rather the SALTIM_NS indicating the latest activity against the top of the book as a result of the order execution, not a quote. I believe the QUOTIM_NS value may only be affected by quotes, which could be a result of an "order cancel" message within the exchange. In this situation, I believe the order that becomes "top of book" will be published, i.e. in your example BID $10 but at the time that order was sent out, i.e. 12:00. As I recommended, it's best to involve a business analyst to confirm these business rules.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

aschmied avatar image aschmied

Thank you for the help @nick.zincone.1. I have submitted a helpdesk ticket for further clarification.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.