Requesting Intraday prices for (inactive) instruments fails but it does not when retrieving Depth an

ricardo.siguero
ricardo.siguero
in TRTH

Hi,

We are retrieving intraday/end-of-day/depth prices for the same instrument list and time interval (11th of June)

As we were not getting data from the intraday-data access, we had a look at its related Notes file, that indicated that some of the instruments from that list were inactive (i.e. ALFAA.MX)

Manifest: #RIC,Domain,Start,End,Status,Count
Manifest: ALFAA.MX,Market Price,,,Inactive,0
Manifest: CREAL.MX,Market Price,,,Inactive,0
Manifest: EUR2WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: EUR3WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: EURMXN=,Market Price,2018-06-10T22:20:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,196
Manifest: EURMXNTNV=,Market Price,2018-06-11T05:45:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,195
Manifest: EURTNV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: FHIPO14.MX,Market Price,,,Inactive,0
Manifest: FUNO11.MX,Market Price,,,Inactive,0
Manifest: LABB.MX,Market Price,,,Inactive,0
Manifest: MEGACPO.MX,Market Price,,,Inactive,0
Manifest: MXN2MV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN2WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN3MV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN3WV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXN=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXNONV=,Market Price,2018-06-11T06:45:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,182
Manifest: MXNSNV=,Market Price,2018-06-10T23:45:00.000000000Z,2018-06-11T21:00:00.000000000Z,Active,256
Manifest: MXNSWV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,288
Manifest: MXNTNV=,Market Price,2018-06-10T22:00:00.000000000Z,2018-06-11T21:55:00.000000000Z,Active,287

Despite some of instruments seemed to be inactive, we retrieved end-of-day and market depth data for them and within the same time interval.

Taking the symbol ALFAA.MX as an example:

End-of-day prices

RIC,Open,High,Low,Volume,Universal Close Price,Trade Date,Trading Status
ALFAA.MX,20.88,21.28,20.47,7708645,21.14,11/06/2018,1
CREAL.MX,22.9,23.49,22.7,622590,23.28,11/06/2018,1
EUR2WV=,1.178546,1.183065,1.178145,,1.179357,11/06/2018,1
EUR3WV=,1.179549,1.184066,1.179147,,1.180333,11/06/2018,1
EURMXN=,23.9783,24.274,23.9399,,24.266,11/06/2018,1
EURMXNTNV=,23.972242,24.26712,23.937714,,24.245119,11/06/2018,1
EURTNV=,1.17732,1.181823,1.176915,,1.178126,11/06/2018,1
FHIPO14.MX,15.79,16.19,15.73,753436,16.01,11/06/2018,1
FUNO11.MX,27.9,27.97,27.82,17177658,27.95,11/06/2018,1
LABB.MX,16.67,16.9,16.51,3172784,16.61,11/06/2018,1
MEGACPO.MX,84.89,86.43,84.75,177882,85.77,11/06/2018,1
MXN2MV=,20.5238,20.8064,20.4736,,20.7901,11/06/2018,1
MXN2WV=,20.3639,20.6471,20.3159,,20.6283,11/06/2018,1
MXN3MV=,20.6245,20.9126,20.5676,,20.8962,11/06/2018,1
MXN3WV=,20.39,20.6744,20.3422,,20.65,11/06/2018,1
MXN=,20.3175,20.599,20.2678,,20.588,11/06/2018,1
MXNONV=,20.2984,20.5907,20.261,,20.5742,11/06/2018,1
MXNSNV=,20.3348,20.6021,20.2716,,20.5846,11/06/2018,1
MXNSWV=,20.341,20.6231,20.2928,,20.6065,11/06/2018,1
MXNTNV=,20.3132,20.5948,20.2649,,20.5783,11/06/2018,1

Market-depth prices

#RIC,Domain,Date-Time,GMT Offset,Type,L1-BidPrice,L1-BidSize,L1-AskPrice,L1-AskSize
ALFAA.MX,Market Price,2018-06-11T08:45:31.350936961Z,-5,Normalized LL2,,,,
ALFAA.MX,Market Price,2018-06-11T10:32:45.651010060Z,-5,Normalized LL2,20.2,2200,,
ALFAA.MX,Market Price,2018-06-11T10:32:45.651113484Z,-5,Normalized LL2,20.2,2200,20.97,3057
ALFAA.MX,Market Price,2018-06-11T13:00:00.456208155Z,-5,Normalized LL2,20.2,2200,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:00:02.780010152Z,-5,Normalized LL2,20.25,8000,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:00:03.512449553Z,-5,Normalized LL2,20.6,57,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:03:00.119452016Z,-5,Normalized LL2,20.7,150,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:03:20.971553487Z,-5,Normalized LL2,20.73,483,20.95,3000
ALFAA.MX,Market Price,2018-06-11T13:22:28.678681430Z,-5,Normalized LL2,20.74,1500,20.95,3000

Any idea about what is happening?

Thanks,

Regards,

Ricardo



Tagged:

Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul
    Answer ✓

    @ricardo.siguero

    I have found the same result. However, if the date has been changed to 2018-06-18, the data is generated properly so this likely is not API issue. Raw tick data generated from the TickHistoryRaw report template also indicates that there was data provided that day and the timestamp was the same as the Market Depth report template. This could be TRTH content issue.

    Please contacting the TRTH support team directly at https://my.thomsonreuters.com/ContactUsNew .

Answers

Categories