LSEG data format
Table of Contents
1. Summary
LSEG, known before as Reuters and Refinitiv, identifies an instrument by a RIC and a value by a field name. We store the RIC and the field exactly as LSEG writes them. The provider code is lseg.
2. Detail
2.1. The id scheme
The scheme code is ric. A RIC is a short code with per asset class conventions. An equity RIC ends with an exchange suffix such as .OQ. An index RIC starts with a dot, such as .SPX. An FX spot RIC ends with an equals sign, such as EUR=. A rates RIC can carry a broker suffix. No public grammar exists. The characters = and . must be encoded before they go into a NATS token.
2.2. The fields
A field is the name that LSEG gives a value in a real-time update. We use these:
| Field | Meaning |
|---|---|
BID, ASK |
The bid and ask price |
TRDPRC_1 |
The last trade price |
An update message from the feed can carry only the fields that changed. The adapter turns each changed field into one tick.
2.3. On the wire
An adapter of this provider sends the tick fields below. See The adapter subjects for the subject.
| Tick field | Example |
|---|---|
| id scheme | ric |
| external id | EUR= |
| field | BID |
| value | 1.0841 (decimal text) |
The ingress subject token for the id is EUR%3D. The service never decodes the token. It reads the id from the payload.
2.4. The mapping
ric / EUR= / BID maps to oresmd://fx/EUR?type=quote&instrument=fx_spot"e=rate&ccy=USD. The Bloomberg instrument EURUSD Curncy maps to the same item. A mapping that uses BID and one that uses ASK can feed two different items, such as a bid series and an ask series. The mapping inventory decides which.
2.5. Minted ids
A RIC is minted when a curve point has no RIC of its own. The minted RIC keeps the form of a RIC for the same asset class and the deviation note says why.
2.6. What the simulator does
The source lseg-a is the simulated LSEG source. It publishes ticks with ric, the RIC and the field. It does not speak the LSEG real-time protocols.
2.7. External references
- LSEG Developer Portal — the Real-Time SDK, the Data Library and their guides. Part of it needs a login.
- LSEG Data Library guide, chapter 3 — shows the structure of LSEG data and field lists such as
BIDandASK. - Reuters Instrument Code — a general summary. It is not authoritative.
3. See also
- Market Data Architecture — the structure note that orders this cluster.
- A vendor instrument is an id scheme, an id and a field — completes: the three parts this page fills in.
- The mapping belongs to the provider and not to the source — completes: how these ids reach an oresmd item.
- External market data identifiers — completes: the survey of the notations.
- Bloomberg data format — contradicts: another notation for the same EUR/USD spot.
- Financial Information eXchange (FIX) Protocol — completes: FIX names
RIC_CODEas one of its id sources.