How to Identify Field Resets During Day Rollover

Question

Hi Team,

We are using RFA API version 8.2.5 to consume market data and would like to understand how field resets are communicated during a day rollover for the Level 1 Market Price domain.

for fields such as:

* FID 19 – OPEN_PRC
* FID 12 – HIGH_1
* FID 13 – LOW_1
* FID 32 – ACVOL_1

how does a consumer application determine that these fields have been reset for the new trading day?

Are reset fields published with a specific value or indicated through any other mechanism in the Market Price stream?

Any guidance or documentation references would be greatly appreciated.

Thank you in advance!

Jirapongse · Answer

@mktdata

It could be blank data. However, please contact the content support team via LSEG Support for confirmation.

I have attached the sample CLOSING_RUN update message extracted from Tick History.

closing_run.txt

mktdata · Answer

Hi @Jirapongse

Thank you for your response. Although I’m unable to access the first link, I was able to find the relevant details in the API documentation.

My understanding is that the INSTRUMENT_UPDATE_CLOSING_RUN respTypeNum is intended to reinitialize content between trading days or trading sessions.

I have one follow-up question: What value is published for fields that are reset during this process?

Or Is it like if we receive this INSTRUMENT_UPDATE_CLOSING_RUN along with list of fields, we need to clear all those fields?

Jirapongse · Answer

@mktdata

Thank you for reaching out to us.

It could be Closing Run which is a house keeping exercise performed by Refinitiv that prepares the display template for the next trading session. You can refer to these discussions.

* Hi Support, do we have a documentation regarding closing run message type?
* RFAJ8.1.0.e2 respTypeNum: 6 (CLOSING_RUN)

For more information, please contact the content support team directly via LSEG Support.

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