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question

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I want to know about the ACTIV_DATE of the Vix Future Index (ric : 'VXc1')

Hello

I would like to inquire about the exact date field in Vix Future Index (ric : 'VXc1')


The real-time data I received comes in with the two date fields below.

QUOTE_DATE=2022-08-16

ACTIV_DATE=2022-08-16

QUOTE_DATE is the date the actual data came in, and ACTIV_DATE is the actual transaction date of the data.


The log below is data received on August 16, 2022 at 23:47:41 UTC.

2022/08/16 23:47:41.000 INFO --- [waiker-rabbit-listener] FieldMapProcessor :  ric :VXc1, field: FieldEntryDto(ric=VXc1, nbRic=VXc1, fieldMap={QUOTIM_NS=85660000000000, SEQNUM=24721.0, TIMACT=85660000000000, TIMACT_NS=85660000000000, QUOTIM=85660000000000, QUOTE_DATE=2022-08-16, EXCHTIM=85660000000000, SEQNUM_QT=24721.0, ACTIV_DATE=2022-08-16, QUOTIM_MS=85660862}


The ACTIV_DATE should drop to August 17th because the Vix futures Index market on August 17th already started at 22:00 on August 16th, which will drop to August 16th.

Nasdaq futures Index (ric : 'NQc1') with the same terms will drop ACTIV_DATA on August 17th.


Is there anything I'm doing wrong or can I get some help?

Vix Future Index also wants to do accurate time mapping.


Thank you.

Warm regards.

ema-apifutures
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1 Answer

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@junhwi.kim

I checked historical data and found that the ACTIV_DATE and QUOTE_DATE fields were changed at 00:00:00 GMT.

VXc1,Market Price,2022-08-14T23:59:59.987258089Z,-5,Raw,UPDATE,QUOTE,,,,6802,,35184,VXQ2,12
,,,,FID,31,,ASKSIZE,15,
,,,,FID,1067,,EXCHTIM,23:59:59.000000000,
,,,,FID,14269,,TIMACT_NS,23:59:59.973247000,
,,,,FID,1021,,SEQNUM,34724,
,,,,FID,25,,ASK,21.45,
,,,,FID,3887,,SEQNUM_QT,34724,
,,,,FID,1025,,QUOTIM,23:59:59.000000000,
,,,,FID,17,,ACTIV_DATE,2022-08-14,
,,,,FID,14265,,QUOTIM_NS,23:59:59.973247000,
,,,,FID,3386,,QUOTE_DATE,2022-08-14,
,,,,FID,5,,TIMACT,23:59:59.000000000,
,,,,FID,3855,,QUOTIM_MS,86399973,
VXc1,Market Price,2022-08-15T00:00:00.115460182Z,-5,Raw,UPDATE,QUOTE,,,,6802,,35200,VXQ2,12
,,,,FID,30,,BIDSIZE,47,
,,,,FID,22,,BID,21.4,
,,,,FID,3887,,SEQNUM_QT,34729,
,,,,FID,1025,,QUOTIM,00:00:00.000000000,
,,,,FID,17,,ACTIV_DATE,2022-08-15,
,,,,FID,1067,,EXCHTIM,00:00:00.000000000,
,,,,FID,14269,,TIMACT_NS,00:00:00.098654000,
,,,,FID,1021,,SEQNUM,34729,
,,,,FID,14265,,QUOTIM_NS,00:00:00.098654000,
,,,,FID,3386,,QUOTE_DATE,2022-08-15,
,,,,FID,5,,TIMACT,00:00:00.000000000,
,,,,FID,3855,,QUOTIM_MS,98,


...
VXc1,Market Price,2022-08-15T23:59:59.331058164Z,-5,Raw,UPDATE,QUOTE,,,,6802,,56432,VXQ2,12
,,,,FID,30,,BIDSIZE,24,
,,,,FID,22,,BID,20.55,
,,,,FID,3887,,SEQNUM_QT,32691,
,,,,FID,1025,,QUOTIM,23:59:59.000000000,
,,,,FID,17,,ACTIV_DATE,2022-08-15,
,,,,FID,1067,,EXCHTIM,23:59:59.000000000,
,,,,FID,14269,,TIMACT_NS,23:59:59.316804000,
,,,,FID,1021,,SEQNUM,32691,
,,,,FID,14265,,QUOTIM_NS,23:59:59.316804000,
,,,,FID,3386,,QUOTE_DATE,2022-08-15,
,,,,FID,5,,TIMACT,23:59:59.000000000,
,,,,FID,3855,,QUOTIM_MS,86399316,
VXc1,Market Price,2022-08-16T00:00:00.027337128Z,-5,Raw,UPDATE,QUOTE,,,,6802,,56448,VXQ2,12
,,,,FID,31,,ASKSIZE,20,
,,,,FID,1067,,EXCHTIM,00:00:00.000000000,
,,,,FID,14269,,TIMACT_NS,00:00:00.011103000,
,,,,FID,1021,,SEQNUM,32693,
,,,,FID,25,,ASK,20.6,
,,,,FID,3887,,SEQNUM_QT,32693,
,,,,FID,1025,,QUOTIM,00:00:00.000000000,
,,,,FID,17,,ACTIV_DATE,2022-08-16,
,,,,FID,14265,,QUOTIM_NS,00:00:00.011103000,
,,,,FID,3386,,QUOTE_DATE,2022-08-16,
,,,,FID,5,,TIMACT,00:00:00.000000000,
,,,,FID,3855,,QUOTIM_MS,11,

To verify this behavior, please contact the content support directly via MyRefinitiv.

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@Jirapongse

Thank you for answer.

However, the Vix futures market opens at 22:00:00 GMT. (D-1)

As you said, if the date changes at 00:00:00 GMT, the first 2 hours data could be wrong.

@junhwi.kim

This is what I saw from historical data retrieved from Tick History.

However, as this forum is more for programming type queries, rather than content queries. The moderators on this forum do not have deep expertise in every bit of content available through Refinitiv products, which is required to answer content questions such as this one.

I would recommend you raise a new content ticket to our helpdesk via MyRefinitiv. That way a Content specialist can work closely with you and verify the assumption.