Tick History Raw - Output Fields Definition

jose.weigand1
jose.weigand1
in TRTH

When retrieving a Tick History Raw report, we are getting several report fields (in the header), but not all of them are clear what they mean. For the following list of header fields in the Raw report, is there a definition / data guide available ?


#RICDomainDate-TimeGMT OffsetTypeMsgClass/FID numberUpdateType/ActionFID NameFID ValueFID Enum StringPE CodeTemplate NumberKey/Msg Sequence NumberNumber of FIDs


I have not seen any explanation in any of the user/programing guides.

Many thanks



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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @jose.weigand1

    Typically, the MsgClass can be REFRESH, UPDATE, and STATUS. The STATUS message is used to indicate the state of the item. The update types could be:

    1678270992147.png

    The usage of the update types may depend on exchanges. Please contact the content support team directly via MyRefinitiv for more information.

    62 is PE Code (Product permissions information) used by the Real-Time server component to authorize users to access the data. 72 is a template number containing information about all possible fields in an item and is typically used by caching implementations to pre-allocate storage.

    For the market-price data, the Key/Msg Sequence Number specifies a defined sequence number, which can range in value from 0 to 4,294,967,295. To help with temporal ordering, seqNum should increase across messages, but can have gaps depending on the sequencing algorithm in use.

    You can refer to the Transport API C Developers Guide in the section 11.3.1 RsslFieldList and 12.2 RSSL Messages for more information.

Answers

  • jose.weigand1
    jose.weigand1

    Showing the fields in a readable format ...

    #RIC

    Domain

    Date-Time

    GMT Offset

    Type

    MsgClass/FID number

    UpdateType/Action

    FID Name

    FID Value

    FID Enum String

    PE Code

    Template Number

    Key/Msg Sequence Number

    Number of FIDs



  • Jirapongse
    Jirapongse

    @jose.weigand1

    Thanks for reaching out to us.

    Tick History Raw is delivered message-per-message as reported by the exchange venues. Typically, it provides raw real-time tick-by-tick data.

    For example, the data of the MarketPrice domain is in a field list. When subscribing to the real-time item, the first response is a refresh message followed by a sequence of update messages.

    A refresh message contains all available fields of the subscribed items.

    IBM.N,Market Price,2023-02-04T02:00:17.802542189Z,-5,Raw,REFRESH,,,,,62,79,28127,,299
    ,,,,FID,1,,PROD_PERM,62,
    ,,,,FID,2,,RDNDISPLAY,64,
    ,,,,FID,3,,DSPLY_NAME,INTL BUS MACHINE,
    ,,,,FID,4,,RDN_EXCHID,2,NYS
    ,,,,FID,6,,TRDPRC_1,136.94,
    ,,,,FID,7,,TRDPRC_2,136.94,
    ,,,,FID,8,,TRDPRC_3,136.94,
    ,,,,FID,9,,TRDPRC_4,136.94,
    ,,,,FID,10,,TRDPRC_5,136.94,
    ,,,,FID,11,,NETCHNG_1,0.55,
    ,,,,FID,12,,HIGH_1,136.95,
    ...
    ...
    ...
    ,,,,FID,3265,,52WK_HIGH,153.16,
    ,,,,FID,3266,,52WK_LOW,115.55,
    ,,,,FID,3448,,52W_HDAT,2022-12-13,
    ,,,,FID,3449,,52W_HIND,,
    ,,,,FID,3450,,52W_LDAT,2022-10-13,
    ,,,,FID,3451,,52W_LIND,,

    The message above is a refresh message of IBM.N representing all available fields in IBM.N.

    Then, it is followed by a sequence of update messages. Each update message contains only updated fields. The following messages are the update messages of the QUOTE type. 

    IBM.N,Market Price,2023-02-01T15:37:43.899677846Z,-5,Raw,UPDATE,QUOTE,,,,62,,38112,,21
    ,,,,FID,22,,BID,133.51,
    ,,,,FID,25,,ASK,133.54,
    ,,,,FID,30,,BIDSIZE,2,
    ,,,,FID,31,,ASKSIZE,2,
    ,,,,FID,6579,,BID_COND_N,R,
    ,,,,FID,6580,,ASK_COND_N,R,
    ,,,,FID,1000,,GV1_TEXT," ",
    ,,,,FID,8937,,LIMIT_INDQ,0,"   "
    ...
    IBM.N,Market Price,2023-02-01T15:37:43.931631547Z,-5,Raw,UPDATE,QUOTE,,,,62,,38128,,21
    ,,,,FID,22,,BID,133.51,
    ,,,,FID,25,,ASK,133.54,
    ,,,,FID,30,,BIDSIZE,2,
    ,,,,FID,31,,ASKSIZE,1,
    ,,,,FID,6579,,BID_COND_N,R,
    ,,,,FID,6580,,ASK_COND_N,R,
    ,,,,FID,1000,,GV1_TEXT," ",
    ,,,,FID,8937,,LIMIT_INDQ,0,"   "
    ...
    IBM.N,Market Price,2023-02-01T15:37:43.931631547Z,-5,Raw,UPDATE,QUOTE,,,,62,,38144,,21
    ,,,,FID,22,,BID,133.51,
    ,,,,FID,25,,ASK,133.55,
    ,,,,FID,30,,BIDSIZE,2,
    ,,,,FID,31,,ASKSIZE,1,
    ,,,,FID,6579,,BID_COND_N,R,
    ,,,,FID,6580,,ASK_COND_N,R,
    ,,,,FID,1000,,GV1_TEXT," ",
    ,,,,FID,8937,,LIMIT_INDQ,0,"   "
    ,,,,FID,118,,PRC_QL_CD,60,"R  "
    ,,,,FID,3264,,PRC_QL3,60,"R  "
    ...

    To get the field definitions, you can refer to the Data Model Discovery tool.

    For example, the template of IBM.N is 1070 - NYSE CTA Equity Regional [Refinitiv Real-Time/Equities and these are the field definitions of IBM.N.

    1678264820084.png

    I can say that the Tick History Raw extraction provides low-level and raw real-time data. You need to create an application logic to parse this raw data. Otherwise, you may consider using other extractions, such as TickHistoryIntradaySummariesExtractionRequest or TickHistoryTimeAndSalesExtractionRequest instead.

    I hope that this information is of help.

  • jose.weigand1
    jose.weigand1

    Many thanks Jirapongse, but I am looking for the definition of the fields in the header (not the FIDs). Some of them are self explanatory (eg: RIC, Domain, Date-Time, FID Name, FID Value..), but what can we expect under MsgClass (UPDATE, REFRESH, any other?), what can we expect under Update Type (Quote, any other?), what is the meaning of the template number (62 for IBM.N), what is the definition of "Key"

    I have not been able to find the definition of the fields in the header..


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