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bansalshah avatar image
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Realtime streaming data vs Historical data for the same time frame

Hi team,

From previous interactions I have figured that, when I am using the WebSocket interface, it provides a conflated service. I believe it is a 3 second trade-safe conflation which will conflate quotes but provide all trades.

Now for the Historical API (Elektron Data Platform), is there no conflation applied? So I get all trades and all quotes. I have learned about the adjustments applied by default, but when I set the adjustments to "unadjusted" I should receive all of the data (which I have not obtained from the realtime streaming)?

Example request for Historical API (start and end time are just for example):

https://api.refinitiv.com/data/historical-pricing/v1/views/events/VOD.L?eventTypes=quote,trade&adjustments=unadjusted&start=2019-09-11T11:06:00.000000000Z&end=2019-09-11T11:07:00.000000000Z



Thank you


rdp-apirefinitiv-data-platformdatawebsocketsqos
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1 Answer

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Gurpreet avatar image
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Hi @bansalshah, Everything we know about historical API data and parameters is summarized in this tutorial by @Christiaan Meihsl. If you have any specific questions which is unanswered, we can try to reach back into the product team to clarify.

See the Adjustments parameter handling section in the linked tutorial.

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bansalshah avatar image bansalshah

Hi @Gurpreet. So can the product team put out more information about the data quality of the historical API? As in all data is obtained or it is also conflated/corrected always.

Gurpreet avatar image Gurpreet bansalshah

Hi @bansalshah, Sorry for long delay - all I have been able to find so far is that, the Quote data for some markets may be conflated. It is not like the conflation you get on the ERT cloud connection, probably quite less. Unfortunately, I have been unable to find out which markets are conflated or how much the conflation might be.

Gurpreet avatar image Gurpreet bansalshah

I will contact them to find out the answer.

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