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Using a Real-Time NAV Ticker When ETF iNAV Is Not Streamed

Article Quant Q&A · Author: Max
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Summary

The document explains why a Bloomberg API subscription to the ETF_INAV_VALUE field may return a value in a reference data request but fail to deliver updates through a real-time market data subscription. The accepted answer says the field is not real time, so subscribing to it will not provide change notifications. It suggests checking Bloomberg help for a possible workaround.

As an alternative, the answer proposes querying EXCHANGE_TRADED_FUNDS_NAV_TKR_RT to obtain a ticker associated with the fund’s NAV, then subscribing to that ticker’s last price. This offers a possible event-driven path to NAV updates without repeatedly polling the original reference field. The suggestion is explicitly untested by the respondent, and the document does not establish whether the alternate ticker is available for every ETF or data entitlement. Users should confirm the field’s behavior and ticker mapping for their instrument and service setup.

Key ideas

  • A reference data field can return a value without supporting real-time subscription updates.
  • The answer identifies ETF_INAV_VALUE as a non-real-time field.
  • An alternate field may provide a NAV-related ticker that can be subscribed to for last-price updates.
  • The proposed ticker subscription is untested in the source and may require verification for a specific fund.

Tags

EquitiesExecutionMarket microstructure
Full text
# Subscribe to iNav changes via ETF_INAV_VALUE key


# Subscribe to iNav changes via ETF_INAV_VALUE key












I'm using the Bloomberg API to subscribe to market data changes. While I manage to retrieve fields such as `OPT_GAMMA_MID_RT` or `OPT_DELTA_ASK_RT`, it seems I cannot retrieve the iNav for a given ETF (the code would be `ETF_INAV_VALUE`).

I can send a `ReferenceDataRequest` directly (using the ticker and the code `ETF_INAV_VALUE`) and correctly get the value, but I don't receive any feed regarding changes to the iNav value. I would like to avoid polling with `ReferenceDataRequest`...

The field is updated in my terminal but I am not made aware of it in my code even though I did subscribe.

Does this field need special handling compared to regular `ASK` / `BID` fields?

## Answer by assylias (score 1, accepted)

https://quant.stackexchange.com/a/24457

`ETF_INAV_VALUE` is not a real time field so it won't work (HELP HELP may have a workaround on this).

Alternatively, you can query the `EXCHANGE_TRADED_FUNDS_NAV_TKR_RT` field which will give you a ticker for the NAV. Then subscribing to the last price on that ticker should give you what you want (note that I haven't tried).

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.