ACVOL_1 drifts away from cumulative TRDVOL
Hi,
I was observing the TRDVOL_1 / ACVOL_1 fields for ANHJ.J on 2021-03-29 and saw that at a few times during the day, trades came in that never seemed to be reflected in ACVOL_1. I was keeping a running tally of total TRDVOL_1 and comparing to ACVOL_1. Naturally, they deviate as trades are reported, but, usually ACVOL_1 catches up quickly. However, at 08:16:20 (CDT), a trade of size 230 comes through and we never see ACVOL_1 catch up after that. It is off by 230 until another similar event at 08:58:04 (CDT) which further adds to the discrepancy.
Did I miss a correction event or is something else going on?
Best Answer
-
I have verified the historical data of ANHJ.J and found those two trade volumes at 2021-03-29T13:16:20 GMT and 2021-03-29T13:58:03 GMT.
ANHJ.J,Market Price,2021-03-29T13:16:20.633226978Z,+2,Raw,UPDATE,TRADE,,,,92,,23790,,37
,,,,FID,3426,,ORDER_ID,,
,,,,FID,1667,,GN_TX20_3,,
,,,,FID,13432,,TR_TRD_FLG,5,"RX "
,,,,FID,12840,,ELIGBL_TRD,2,"N "
,,,,FID,5,,TIMACT,13:16:00.000000000,
,,,,FID,6,,TRDPRC_1,95260,
,,,,FID,178,,TRDVOL_1,230,
...
...
ANHJ.J,Market Price,2021-03-29T13:58:03.769904160Z,+2,Raw,UPDATE,TRADE,,,,92,,7150,,37
,,,,FID,3426,,ORDER_ID,,
,,,,FID,1667,,GN_TX20_3,,
,,,,FID,13432,,TR_TRD_FLG,5,"RX "
,,,,FID,12840,,ELIGBL_TRD,2,"N "
,,,,FID,5,,TIMACT,13:58:00.000000000,
,,,,FID,6,,TRDPRC_1,95926.5,
,,,,FID,178,,TRDVOL_1,197,
,,,,FID,975,,ACT_FLAG1,X,I have compared the data with other trade volumes that reflect the ACVOL_1 field.
ANHJ.J,Market Price,2021-03-29T13:17:18.966073252Z,+2,Raw,UPDATE,TRADE,,,,92,,23902,,26
,,,,FID,13432,,TR_TRD_FLG,1,"OB "
,,,,FID,12840,,ELIGBL_TRD,1,"Y "
,,,,FID,5,,TIMACT,13:17:00.000000000,
,,,,FID,3885,,ORDBK_TRD,95254,
,,,,FID,14676,,OB_TRD_NS,13:17:18.835000000,
,,,,FID,1031,,GEN_VAL7,95254,
,,,,FID,11,,NETCHNG_1,1354,
,,,,FID,56,,PCTCHNG,1.44,
,,,,FID,6,,TRDPRC_1,95254,
,,,,FID,178,,TRDVOL_1,69,I found that the values of TR_TRD_FLG and ELIGBL_TRD fields are different.
The values of those fields of the reported trades are:
,,,,FID,13432,,TR_TRD_FLG,5,"RX "
,,,,FID,12840,,ELIGBL_TRD,2,"N "However, the values of those fields of the normal trades are:
,,,,FID,13432,,TR_TRD_FLG,1,"OB "
,,,,FID,12840,,ELIGBL_TRD,1,"Y "The definitions of those fields are:
TR_TRD_FLG "TR TRADE FLAG" 13432 NULL ENUMERATED 5 ( 5 ) ENUM 2
!
! Enumerated Normalised Categorisation of trades for any trade price
! field(e.g.TRDPRC_1 IRGPRC, OFFBKPRC, PDTRDPRC etc.)
!
...
ELIGBL_TRD "ELIGIBLE TRD FLAG" 12840 NULL ENUMERATED 3 ( 3 ) ENUM 1
!
! Defines whether the last trade update to any trade price field (e.g.TRDPRC_1 IRGPRC,
! OFFBKPRC, INSPRC etc.) is last eligible i.e. can populate the open, high, low or
! close.
!The meanings of those values are:
!
! ACRONYM FID
! ------- ---
!
ELIGBL_TRD 12840
!
! VALUE DISPLAY MEANING
! ----- ------- -------
0 " " undefined
1 "Y " Last Trade is eligible
2 "N " Last Trade is ineligible
...
!
! ACRONYM FID
! ------- ---
!
TR_TRD_FLG 13432
CAN_TRTFLG 13489
!
! VALUE DISPLAY MEANING
! ----- ------- -------
0 " " undefined
1 "OB " Order Book
2 "OH " Order Book - Hidden
3 "AU " Auction Trades
4 "DK " Dark order book trades
5 "RX " Real time On exchange reported trades
6 "DX " Delayed On exchange reported tradesI assume that I may relate to the values in these fields. To confirm it, please directly contact the content support team via MyRefinitv.
0
Categories
- All Categories
- 6 AHS
- 37 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 367 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 59 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛