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Consume the pre/post market data in RKD

Hello
The pre-post market trades are the irregular trades so to consume this transactions one will have to use the IRG-like fields:
the important ones seem to be IRGPRC, IRGVOL, IRGTIM
However not every irregular trade/transaction is an extended hour trade.
Usually there is a condition field that features the values like "Form-T" (which is how the overnight trades were historically handled at the North-American exchanges).
The candidate fields with Refinitiv would be IRGCOND (and IRGCOND_1..).
I looked in the Refinitiv Real time (https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-real-time-aug-2022/field/irgcond), which should be basically the same, and the IRGCOND enum does feature value 131 for "form t", however there are 258 values that mention in the description "form t".
The other field candidate might be IRGSALCOND, but its description says "Sale condition for an ineligible trade" and it is a string filed so nobody knows what the value might be even if it looks like "@FT"
In RKD quote API (http://api.rkd.refinitiv.com/api/Quotes/Quotes.svc or in quote lists), which I am lookin at the it looks like even less IRG fields of the IRG-like fields are available.

Does anybody know how exactly proceed with RKD IRG-like fields to get the extended market trades with quote/quote list API? Which fields/values to look at to make sure the transaction is a trade and not, for example a trade cancel...

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Hello @PatrickZ

I checked the RKD Quote Service on the RDK API Support Portal site. The IRGPRC, IRGVOL, IRGCOND, and IRGSALCOND are available on the RKD Quote service. You can find more detail on the "Coverage" and "Field Lookup" links of the RKD Quote - Retrieve Item v3 operation page.

rkd-quote.png


Please note that incoming data is based on each RIC, exchange, and data feed too.

I did a quick test on the RKD API Support Portal page (Develop tab) with this JSON request message:

{
    "RetrieveItem_Request_3": {
        "ItemRequest": [{
            "Fields": "IRGPRC:IRGVO:IRGTIM:IRGCOND:IRGSALCOND",
            "RequestKey": [{
                "Name": "MSFT.O",
                "NameType": "RIC"
            }],
            "Scope": "List"
        }],
        "TrimResponse": false,
        "IncludeChildItemQoS": false
    }
}

The result is as follows:

quote-result.png

Please see more detail about field IRGCOND in the comments below.


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Hello @PatrickZ

The field IRGCOND (FID 374) is an enumerated field type. The values of this type are standard numeric values that can be expanded to specific strings.

You can find the list of all possible IRGCOND string values from the https://refinitiv.fixspec.com/stack/repo/elektron/refinitiv-real-time-aug-2022/message/trade-reported-data-model page.

According to the enumerated information above, IRGCOND field data with "132" string represent "not last form_t (NMTS)" string meaning:

! VALUE      DISPLAY   MEANING
! -----      -------   -------
    132        "132"   not last form_t (NMTS)

Alternatively, you can get all enumerated fields definition from the file named "enumtyp.def" file in the "Refinitiv Real-Time Templates Service Pack" package.
You can download it from the https://my.refinitiv.com/content/mytr/en/downloadcenter/loadview.html.html website with the following search conditions:

  • Product - Family: MDS - General
  • Product: Refinitiv Real-Time Templates Service Pack

template-download.png


Hello @wasin.w

As I stated, the problem is not with finding the enum values for IRGCOND but how to interpret them in order to collect only the extended (pre/post) trades.
For example what is the difference between value 131 - form_t and 132 - not last form_t...
There are about 280 various occurrences of for t in this enum.
Anyways, it seems that I will need to combine several fields like IRGPRC, IRGVOL, IRGCOND, IRGTIM_MS and maybe IRG_TRDID...
I need this for RKD, but I will probably try to compare to the realtime feed .
Thanks

Hello @PatrickZ

Thank you very much for the clarification. Unfortunately, our forum moderators are not experts in content. I highly recommend you contact the Content support team to clarify these fields' definitions. You can contact the team directly via the https://my.refinitiv.com/content/mytr/en/helpandsupport.html website.

contact-rkd-support-2.png

Hello @PatrickZ

If you need more information about the Field meaning or how to interpret field value, I highly recommend you contact the Content support team as suggested by @raksina.samasiri.

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hi @PatrickZ ,

The moderators on this forum do not have deep expertise in every type of content available through Refinitiv products. Such expertise is available through Refinitiv Helpdesk. Refinitiv Helpdesk can be reached via to MyRefinitiv > Refinitiv Products and Content > I need help understanding content within the product > Refinitiv Knowledge Direct1663041418890.png

Hope this helps


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