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slava avatar image
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Does OTC tick history data (.PQ) contains BBO for the instruments

I am working on processing Tick History quotes for US equity OTC instruments (for ex. AACAY.PQ).

Here is the sample from 2014-05-05, AACAY.PQ, Market Price model

Does the data represent Best Bid/Offer or just sporadic quotes in the market that can happen at any price level?

For ex. in the following sequence of event:

AACAY.PQ,Market Price,2014-05-05T13:32:20.441531000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7472,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.15,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,


AACAY.PQ,Market Price,2014-05-05T13:32:20.461010000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7488,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.29,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,


AACAY.PQ,Market Price,2014-05-05T13:32:20.461010000Z,-4,Raw,UPDATE,UNSPECIFIED,,,,6452,,7504,,4
,,,,FID,5,,TIMACT,13:32:00.000000000,
,,,,FID,25,,ASK,58.17,
,,,,FID,31,,ASKSIZE,100,
,,,,FID,1025,,QUOTIM,13:32:20.000000000,

there are three ask quotes:

1. 100 @ 58.15

2. 100 @ 58.29

3. 100 @ 58.17

When we receive quote (2) with a worse price, does it mean the Best Ask moved back and first level 58.15 is gone (BBO)?

If it is not, and each quote record can be at an arbitrary level, then how do we know if the quote got removed?

tick-history-rest-api
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raksina.samasiri avatar image   raksina.samasiri

@slava

could you provide the information required for further investigation, please?

Thanks,
AHS

Shadab Hussain avatar image   Shadab Hussain

Hi @slava,

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question.


Thanks,

AHS

wasin.w avatar image   wasin.w

@slava

could you provide the information required for further investigation, please?

Thanks,
AHS

raksina.samasiri avatar image   raksina.samasiri

hi @slava

I'm afraid we haven't heard from you in a while and we cannot provide further assistance without the details we asked for. I'm closing this thread. If you need any further assistance, please start a new thread.

Thanks,
AHS

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Gurpreet avatar image
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Hi @slava,

You have posted this in RDP channel, so can you please confirm that you are using Refinitiv Tick History and not RDP query.

In RTH, which endpoint are you invoking and what is your request message?

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