Is there ways to retrieve the history data(one/two days's volume/turnover) before subscribing?
Before we subscribe a RIC, we need firstly to know the RIC's volume/turnover is big enough(i.e. in the latest one or two days) and decide if it's worthy subscribing. We know there are **cv1 and **v1, but they are not covering all the RICs we interested. Since ELEKTRON is charging us if we subscribing a RIC, we don't want to subscribe it if we find it's quite inactive or even dead. We know by now we can use EIKON's .net API to fetch this, but it's on Windows platform. We are developing on Linux. So the question is: Is there any automatic/programming ways(free will be better, or lower cost) to get the historical summary data before we subscribe the RIC in ELLEKTRON?
Best Answer
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There are few mechanisms for getting trading volume for an instrument:
Use a delayed data service in Elektron, if available. It is usually not fee liable for most venues. Check with your administrator if you have delayed data.Use Thomson Reuters Tick History (TRTH) service and download historical data. ($)
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