question

Upvotes
Accepted
Philipp avatar image
69 ●9 ●17 ●18

TRTHv1 and DSS - Intraday request - different results

I'm running to test cases, or more precisely the same test case against TRTHv1 and DSS. The goal it to get exactly the same results. I now have the strange situation, that I'm getting more results from DSS then via TRTHv1 in the time before 8 am (from 08:00:04 on the results are 100% matching). Example below. Can you please explain why this is happening? I can verify this behavour using the TRTHv1 WebInterface and DSS with the PostMan examples.

TRTHv1:
#RIC,Current RIC,Date[G],Time[G],GMT Offset,Type,Last,Volume
VOD.L,,10-JAN-2017,08:00:04.000,+0,Intraday 1Sec,209.5,1233664
VOD.L,,10-JAN-2017,08:00:06.000,+0,Intraday 1Sec,209.15,7367
VOD.L,,10-JAN-2017,08:00:07.000,+0,Intraday 1Sec,209.5,50000
VOD.L,,10-JAN-2017,08:00:11.000,+0,Intraday 1Sec,209.15,35

DSS:

#RIC,Domain,Date-Time,Type,Last,Volume
VOD.L,Market Price,2017-01-10T07:15:01.000000000Z,Intraday 1Sec,210.999506,12306413
VOD.L,Market Price,2017-01-10T07:15:39.000000000Z,Intraday 1Sec,207.46,600000
VOD.L,Market Price,2017-01-10T07:17:19.000000000Z,Intraday 1Sec,207.2534,41000
VOD.L,Market Price,2017-01-10T07:50:00.000000000Z,Intraday 1Sec,213.45,49977
VOD.L,Market Price,2017-01-10T07:50:01.000000000Z,Intraday 1Sec,207,89006
[...]
VOD.L,Market Price,2017-01-10T08:00:04.000000000Z,Intraday 1Sec,209.5,1233664
VOD.L,Market Price,2017-01-10T08:00:06.000000000Z,Intraday 1Sec,209.15,7367
VOD.L,Market Price,2017-01-10T08:00:07.000000000Z,Intraday 1Sec,209.5,50000
VOD.L,Market Price,2017-01-10T08:00:12.000000000Z,Intraday 1Sec,209.15,35

tick-history-rest-apihistoricalrequest
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

warat.boonyanit avatar image warat.boonyanit

@Philipp

Have you check your request time range?

I just ran quick a test using TRTHv1 web interface and I can see the trades from 07:15:00.

vodl.png (125.7 KiB)
Philipp avatar image Philipp warat.boonyanit

I just double checked. Looks like you are using a Times&Sales request. I'm using a Intraday 1sec request. and even in the Times & Sales request i just see 4 additional ticks, but in my DSS intraday 1sec request I get about 400 ticks more than in exactly the same TRTHv1 request. Looks to me like the intraday aggregation is working somehow different in DSS maybe including auction periods, which are excluded in TRTHv1?

warat.boonyanit avatar image warat.boonyanit Philipp

Indeed, that seems to be the case.

I check the raw Time&Sale data and the prices at 7a.m. are previous day trade prices (Trade price for a trade reported more than one day after the trade was transacted). So it seems that TRTHv2 intraday include auction periods, while v1 doesn't.

4 Answers

Upvotes
Accepted
Rakesh.Singh avatar image
176 ●1 ●0 ●5

@Philipp

Hi Philipp

There are expected differences in timebars data generated in v1 and v2.

Timebars in v1 were over-simplistic in nature. It included all kinds of trades in summary i.e. regular trades, off-book trades, delayed trades, etc.

Timebars in v2 are governed by market-specific rules. Off-book trades, delayed trades, etc are not necessarily chartable and thus not included in summary. Only regular automatic trades and auction trades are taken into summary. v2 summaries are a more accurate reflection of orderbook state so to speak.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
Philipp avatar image
69 ●9 ●17 ●18

Yes, I have checked that. In TRTHv1 I don't see this ticks (sceenshot attached).


2017-01-24-16-57-20-thomson-reuters-tick-history-v.png (90.8 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
Troy Dalldorf avatar image
465 ●3 ●5 ●3

Hi @Philipp,

This isn't my area of expertise, but as I understand it there are some content differences between Tick History V1 and Tick History V2. We do have a fact sheet available that describes some of the differences you might see in V2. Fact Sheet is available on "My Account":

https://my.thomsonreuters.com/apex/products?productname=Thomson+Reuters+Tick+History+v2

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Philipp avatar image Philipp

Hi @Troy,

I have looked at the link location. Do you refer to one specific document on that page?

Philipp avatar image Philipp

Still I don't find the document you are refering to.

Can you please post a direct link? Thx!

Upvotes
Philipp avatar image
69 ●9 ●17 ●18

Can anybody please send me a direct link to the document with difference between TRTHv1 and TRTHv2, I don't find it in the mentioned location above.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Click below to post an Idea Post Idea