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

junhwi.kim

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.

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Accepted answers

Jirapongse

@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.

All comments

Jirapongse

@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.

junhwi.kim

@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.

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