help, fid, footprint
Help me, please.
For a long time I can not get an answer in the support service, so I write here in the hope of getting a faster answer.
I can't understand how three FIDs interact
FID14 parameters "# DE #" and "FE," FID270 "# 20DE" and "20FE," FID12770 AGGRS_SID1 "ASK" and AGGRS_SID1 "BID"
1. Different situations:
1.1 FID14"# DE #"; FID270 "# 20DE"; FID12770 AGGRS_SID1 "ASK"
1.2 FID14"# DE #"; FID270 "# 20DE"; FID12770 AGGRS_SID1 "BID"
1.3 FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "ASK"
1.4 FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "BID"
I want to do my FOOTPRINT and I need to deal with this FID to understand how to consider volumes.
ESH1,Market Price,2020-12-03T18:07:16.647219834-06,Raw,UPDATE,TRADE,,,,5058,,37006,,31
,,,FID,178,,TRDVOL_1,1,
,,,FID,32482,,ELG_ACVOL,88,
,,,FID,1021,,SEQNUM,28807021,
,,,FID,379,,SALTIM,00:07:16.000000000,
,,,FID,3854,,SALTIM_MS,436640,
,,,FID,14266,,SALTIM_NS,00:07:16.640000000,
,,,FID,1704,,ACVOL_TIM,00:07:16.000000000,
,,,FID,14256,,ACVOLTM_MS,00:07:16.640000000,
,,,FID,4756,,LSTSALCOND,2,
,,,FID,5,,TIMACT,00:07:16.000000000,
,,,FID,18,,TRDTIM_1,00:07:16.000000000,
,,,FID,11,,NETCHNG_1,6.75,
,,,FID,56,,PCTCHNG,0.18,
,,,FID,16,,TRADE_DATE,2020-12-04,
,,,FID,17,,ACTIV_DATE,2020-12-04,
,,,FID,77,,NUM_MOVES,71,
,,,FID,99,,LIMIT_IND,0," "
,,,FID,8936,,LIMIT_IND2,0," "
,,,FID,3404,,VWAP,3662.46875,
,,,FID,3430,,NO_ORD,2,
,,,FID,32,,ACVOL_1,104,
,,,FID,32743,,ACVOL_UNS,104,
,,,FID,3900,,TRADE_ID,271209597,
,,,FID,6,,TRDPRC_1,3663.5,
,,,FID,14,,PRCTCK_1,2,#FE#
,,,FID,53,,TRD_UNITS,1,"1DP "
,,,FID,393,,PRIMACT_1,3663.5,
,,,FID,270,,ACT_TP_1,3,#20FE#
,,,FID,275,,SEC_ACT_1,6.75,
,,,FID,280,,SC_ACT_TP1,1," +"
,,,FID,12770,,AGGRS_SID1,2,"ASK "
I am building Trade BID * ASK statistics in FOOTPRINT.
In the example FID14"# FE #"; FID270 "# 20FE"; FID12770 AGGRS_SID1 "ASK"
I don't understand what shows FID12770 AGGRS_SID1 "ASK"
What do you mean AGGRS_SID1 ASK?
Help understand how to properly account for trading volumes to correctly count FOOTPRINT.
Best Answer
-
Those fields are enumeration fields. The definitions of those fields are:
PRCTCK_1 "TICK:UP/DOWN" 14 NULL ENUMERATED 2 ( 1 ) ENUM 1
!
! The direction of price movement from the previous trade or "Last" price.
!
...
ACT_TP_1 "ACT TYPE 1" 270 ACT_TP_2 ENUMERATED 3 ( 2 ) ENUM 1
...
!
! Indicates the nature of the activity in associated primary activity fields PRIMACT_1
! to PRIMACT_5
!
...
AGGRS_SID1 "AGGRESSIVE ORD1" 12770 AGGRS_SID2 ENUMERATED 3 ( 5 ) ENUM 1
...
!
! An indicator to show the aggressive order condition for last trade
!The meanings of the fields' values are:
!
! ACRONYM FID
! ------- ---
!
PRCTCK_1 14
...
!
! VALUE DISPLAY MEANING
! ----- ------- -------
0 " " no tick
1 #DE# up tick or zero uptick
2 #FE# down tick or zero downtick
...
!
! ACRONYM FID
! ------- ---
!
ACT_TP_1 270
...
!
! VALUE DISPLAY MEANING
! ----- ------- -------
0 " " undefined or unknown
1 " " trade price, no tick
2 #20DE# trade price, up tick or zero up tick
3 #20FE# trade price, down tick or zero down tick
...
!
! ACRONYM FID
! ------- ---
!
AGGRS_SID1 12770
...
!
! VALUE DISPLAY MEANING
! ----- ------- -------
0 " " Undefined
1 "BID " Aggressive order initiated from BID side
2 "ASK " Aggressive order initiated from ASK sideFID14 (PRCTCK_1) relates to FID6 (TRDPRC_1) indicating uptick or downtick.
FID270 (ACT_TP_1) relates to FID393 (PRIMACT_1) indicating uptick or downtick.
You can refer to the Data Discovery Model or directly contact the content team via MyRefinitiv for more information.
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