Trade condition / type for Shanghai
I am getting marketdata for Shanghai using the RFA API but it seems that trades do not have any conditions / trade flags published on the trade updates.
In the REFRESH_RSP I get:
FIELD_ENTRY 13432/TR_TRD_FLG: OB (1)
But any subsequent UPDATE_RESP does not have this field
Is the flag only updated if it happens to change?
Best Answer
-
I can explain the behavior of the API.
After sending a streaming item request, if an item is valid and you have permission to access that item, you will get a refresh message that contains all fields with the latest values. Then, you will get sequences of update messages which contain fields with updated values.
For example:
Msg Type: MsgType.UPDATE_RESP
Msg Model Type: MARKET_PRICE
Indication Flags: DO_NOT_CONFLATE
Hint Flags: HAS_RESP_TYPE_NUM | HAS_SEQ_NUM
SeqNum: 8750
RespTypeNum: 2 (TRADE)
Payload: 134 bytes
FIELD_LIST
FIELD_ENTRY 6/TRDPRC_1: 7.500
FIELD_ENTRY 11/NETCHNG_1: 0.040
FIELD_ENTRY 18/TRDTIM_1: 06:27
FIELD_ENTRY 56/PCTCHNG: 0.536
FIELD_ENTRY 14/PRCTCK_1: Þ (1)
FIELD_ENTRY 77/NUM_MOVES: 44614
FIELD_ENTRY 178/TRDVOL_1: 2900
FIELD_ENTRY 373/IRGVOL: 76535318
FIELD_ENTRY 379/SALTIM: 06:27:49
FIELD_ENTRY 3854/SALTIM_MS: 23269790
FIELD_ENTRY 1379/VOL_X_PRC1: 21750.000
FIELD_ENTRY 1496/WEIGHTING: 7.5831
FIELD_ENTRY 3132/IRGVAL: 580376143
FIELD_ENTRY 3404/VWAP: 7.5831
FIELD_ENTRY 5206/BID_ORD_ID: 7485129
FIELD_ENTRY 5207/ASK_ORD_ID: 7308071
FIELD_ENTRY 12770/AGGRS_SID1: BID (1)
FIELD_ENTRY 32741/TRNOVR_UNS: 580376142.92000
FIELD_ENTRY 32743/ACVOL_UNS: 76535318If you have further questions regarding the retrieved data, you can contact the content support team directly via MyRefinitiv. The support team will either have the required content expertise ready or can reach out to relevant content experts to get the answer for you.
0
Answers
-
Thanks for reaching out to us.
Yes, you are correct. Typically, fields are updated when the values have been changed or there are activities related to those fields.
I hope that this information is of help.
0 -
Typically this would be used to differentiate between auction trades and 'normal' trades. For other markets (even related, like Shenzhen) this field is sent together with every trade. Going by your reply it means I would have to track the state of this field for all instruments.
Are there any documents that describe this behavior?
0
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