(This is Anand Shah, an RA working with Prof. Eric Budish)
I'm investigating market depth for tickers on various exchanges. For example, WMT on various exchanges (.DEA, .DEX, .BAT, .O, ...).
What I'm doing: I'm currently making Tick History Market Depth report templates to investigate this. I.e., I manually query bid/ask data on WMT.DEA for a specified time period.
The problem: I am being returned the error: 'No data available over the requested data range,' though I'm sure WMT.DEA should have market depth for this period.
The ask: Is it possible to return what time periods an RCI is active? Ideally, something for which I plug in 'WMT.DEA' and receive xx-xx data ranges where I can observe data on its market depth.