How to get DSS EndOfDayPricingExtractionRequest historical data

rahul.deshmukh
rahul.deshmukh
in DSS

Dear All,

We are using below DSS EndOfDayPricingExtractionRequest which is working fine.

{
   "ExtractionRequest":{
      "@odata.type":"#DataScope.Select.Api.Extractions.ExtractionRequests.EndOfDayPricingExtractionRequest",
      "ContentFieldNames":[
         "RIC",
         "Security Description",
         "Universal Close Price Date",
         "Universal Close Price",
         "Base Currency Code"
      ],
      "IdentifierList":{
         "@odata.type":"#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
         "InstrumentIdentifiers":[
            { "Identifier":"USF=", "IdentifierType":"Ric" },
            { "Identifier":"USFFTARGET=", "IdentifierType":"Ric" },
            { "Identifier":"ECBDF=ECBF", "IdentifierType":"Ric" },
            { "Identifier":"SARON.S", "IdentifierType":"Ric" },
            { "Identifier":"SONIAOSR=", "IdentifierType":"Ric" },
            { "Identifier":"EUROND=", "IdentifierType":"Ric" },
            { "Identifier":"CORRA=", "IdentifierType":"Ric" },
            { "Identifier":"AUDOND=", "IdentifierType":"Ric" },
            { "Identifier":"JPONMU=RR", "IdentifierType":"Ric" }
         ],
         "ValidationOptions":null,
         "UseUserPreferencesForValidationOptions":false
      },
      "Condition":null
   }
}


But now the requirement is to load the historical data starting from 01.01.2023 till today(Initial Load). Can you please tell us how to get historical data from the above request ? Can we put start and end date filter in the above request ?


Thanks and regards,

Rahul D

Tagged:

Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @rahul.deshmukh

    Thank you for reaching out to us.

    The EndOfDayPricingExtractionRequest extraction doesn't support the start date and end date fields.

    You can try the PriceHistoryExtractionRequest extraction. 

    {
      "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
        "ContentFieldNames":[
             "RIC",
             "Security Description",
             "Trade Date",
             "Universal Close Price",
             "Base Currency Code"
          ],
        "IdentifierList": {
          "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [
                { "Identifier":"USF=", "IdentifierType":"Ric" },
                { "Identifier":"USFFTARGET=", "IdentifierType":"Ric" },
                { "Identifier":"ECBDF=ECBF", "IdentifierType":"Ric" },
                { "Identifier":"SARON.S", "IdentifierType":"Ric" },
                { "Identifier":"SONIAOSR=", "IdentifierType":"Ric" },
                { "Identifier":"EUROND=", "IdentifierType":"Ric" },
                { "Identifier":"CORRA=", "IdentifierType":"Ric" },
                { "Identifier":"AUDOND=", "IdentifierType":"Ric" },
                { "Identifier":"JPONMU=RR", "IdentifierType":"Ric" }
             ],
          "ValidationOptions": { "AllowHistoricalInstruments": true },
          "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "AdjustedPrices": true,
          "QueryStartDate": "2023-05-24",
          "QueryEndDate": "2023-05-31"
        }
      }
    }

    To see the list of all avaible for each extraction request, please refer to the REST API Reference Tree.

Answers

  • rahul.deshmukh
    rahul.deshmukh

    Thanks for the reply. Its working. Does EndOfDayPricingExtractionRequest and PriceHistoryExtractionRequest are same ? Also the does the field Trade Date are same as Universal Close Price Date ?

  • Jirapongse
    Jirapongse

    @rahul.deshmukh

    They are different templates so they are not the same.

    • EOD Pricing reports provide initial and validated end of day prices for all exchange‐traded instruments from the real‐time network. Non‐exchange‐traded instruments are sourced from our Evaluated Pricing Service, as well as from various contributors
    • Price History & Single Price History reports provide historical pricing from as far back as 1980

    The PriceHistoryExtractionRequest extraction doesn't have the "Universal Close Price Date" field so I used the "Trade Date" field instead. You can contact the DataScope Select support team directly via MyRefinitiv for more information.

  • rahul.deshmukh
    rahul.deshmukh
    ok thanks for the information
    @Jirapongse

Categories