TRTH - do the FIDS Trade - Ask Price and the Trade - Bid Price are the current best bid and ask after the trade or before?

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i.lucas

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TRTH - do the FIDS Trade - Ask Price and the Trade - Bid Price are the current best bid and ask after the trade or before?

Hi,

I have noticed that in the Times And Sales report, when I extract data with Trade - Price, Trade- Ask price and Trade - Bid Price, sometimes the Trade - Price is inside the spread, meaning between the best bid and the best ask (not specially in auction, but often during the continuous phase).

also, this is not possible: an agressive order is at least equal or above the best ask if it is a sell order, or equal or below the best bid if it is a buy order. So what does this mean ? do the Trade - Bid Price and Trade - Ask Price FIDS are the best bid and best ask after the trade ?

thank you for your help!

Iris

tick-history-rest-api

Jul 13, 2021 at 07:10 AM

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Answer 1 · 2021-07-14T02:13:31Z

Jirapongse

38.1k ●71 ●35 ●53

@i.lucas

You can refer to the Data Dictionary - Refinitiv Tick History Custom Reporting which identifies the data available from Tick History custom reporting.

If this doesn't answer your questions, please directly contact the Refinitiv Tick History support team via MyRefinitiv to clarify it.

1626228616757.png (5.9 KiB)

Jul 14, 2021 at 02:13 AM

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TRTH - do the FIDS Trade - Ask Price and the Trade - Bid Price are the current best bid and ask after the trade or before?

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