ACVOL_UNS time period

b
b
in Elektron

The ACVOL_UNS field is described as

Unscaled accumulated number of shares, lots or contracts traded according to the market convention


Over what time period are the shares accumulated? Market open->open? UTC date boundary?

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Best Answer

  • tim.andrew.smith
    tim.andrew.smith
    Answer ✓

    Hi...it can vary per source. But in general the accumulated volume field will be based on that days trading for an exchange/venue and then cleared out and stored in our timeseries database at the end of the market day. So its typically accumulated over a trading day and not dependent on a calendar day if the trading day happens to cross over the UTC date boundary.


Answers

  • b
    b

    Thanks for your quick answer

    Is any message sent over Elektron which reliably indicates the end of the trading day? Or e.g. is a 0 ACVOL_UNS message sent at the start of the trading day? Generally, given an Elektron stream is there a way to know that the accumulation period has ended?

    Also, how are trade busts represented? Is ACVOL_UNS not necessarily monotonically increasing?

  • b
    b

    Thanks for your quick answer

    Is any message sent over Elektron which reliably indicates the end of the trading day? Or e.g. is a 0 ACVOL_UNS message sent at the start of the trading day? Generally, given an Elektron stream is there a way to know that the accumulation period has ended?

    Also, how are trade busts represented? Is ACVOL_UNS not necessarily monotonically increasing?

  • tim.andrew.smith
    tim.andrew.smith

    In general terms (Im caveating that this can vary per exchange) we will have what we call a closing run update which will prepare the fields presented for the next trading day. So fid 21 (HST_CLOSE) will be updated and the trade prices (TRDPRC_1) will be cleared out as well as ACVOL_UNS etc. This typically happens a couple of hours before the market opens again. The closing run update is a specific message (eg example below in the header update)

    VOD.LMarket Price2021-06-03T02:55:00.729220163Z+1RawUPDATECLOSING_RUN)


    There are other markers that can tell you the end of a trading day (eg the field INST_PHASE se to "C" to indicate close) and other options too depending.


    In terms of updates. The ACVOL_UNS field again varies. We tend to try to take the values from exchange feeds - and often we find these types of summary info fields do update in intervals rather than constantly. However that isnt always the case. There are plenty of venues that dont provide us with this info so we calculate it ourselves, and in those cases it will update constantly. So it varies but is more often than not a constantly updating figure.


  • b
    b

    Is there documentation for this sans caveats? I need to write code against this for the general case, so therefore need to know the situations where the behaviour is different so they can be handled.


    wrt ACVOL_UNS I was interested in whether it is ever negative in the case of trade busts - do you know if this is to be expected?
  • b
    b

    In addition to @tim.andrew.smith's answer above, exhaustive (and exhausting) documentation for which exchanges have the ACVOL_UNS field cleared when a closing run update is sent can be found by traversing documentation at https://refinitiv.fixspec.com/stack/specs/elektron

    e.g. for ASX futures https://refinitiv.fixspec.com/stack/specs/elektron/apac/australia-asx/7-0-4/1672-asx-futures-refinitiv-real-timefutures

    FWIW, the behaviour was clearing on closing run update for all of the many exchanges I was interested in.

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