We recently bought some historical raw data from reuters. Now it seems that your internal feed changed from IDN to Elektron over the time. Where can I get the complete specifications for parsing this raw data i:e which fid to look for which data, which fid is retransmitted everytime and which is not etc? The complete exchange level specifications I mean.
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Hi @sgan208
We have Data Model Discovery site for the venue field document.
And there are general principles that hold true across exchanges.
Quotes and Trades for exchange-traded instruments regardless whether IDN or Elektron will be available in a standard set of FIDs. Here are the mappings across exchanges -
- Bid Price = FID 22/ BID
- Bid Size = FID 30/ BIDSIZE
- Ask Price = FID 25/ ASK
- Ask Size = FID 31/ ASKSIZE
- Last-eligible Trade Price = FID 6/ TRDPRC_1
- Regular Volume = FID 178/ TRDVOL_1
- Cumulative Volume = FID 32/ ACVOL_1
Time deserves further elaboration. With Elektron, we started carrying high precision timestamps, with a caveat that the exchanges do supply the high precision timestamps.
For time mapping, FIDs with "_MS" suffix will give you venue supplied timestamp data, formatted as integer denote milliseconds after midnight, while FIDs with "_NS" suffix will give you venue supplied timestamp, formatted as the usual time format with precision up to nanosecond.
