Retrieving ticks for expired contracts using DSS API
I am trying to pull ticks for expired contracts using DSS REST API.
Extraction URL:
https://selectapi.datascope.refinitiv.com/RestApi/v1/Extractions/ExtractRaw
Payload:
{"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": ["Trade - Bid Price",
"Trade - Bid Size",
"Trade - Ask Price",
"Trade - Ask Size",
"Trade - Price",
"Trade - Volume"],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{"Identifier": "CLK0^2", "IdentifierType": "Ric"}]
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ApplyCorrectionsAndCancellations": False,
"DisplaySourceRIC": True,
"ReportDateRangeType": "Range",
"TimeRangeMode": "Inclusive",
"DateRangeTimeZone": "UTC",
"QueryStartDate": "2020-04-20T00:00:00",
"QueryEndDate": "2020-04-22T00:00:00"
}
}
}
I get this response:
Instrument <RIC,CLK0^2> expanded to 0 RICS.
Which is not true, since there was a K contract at the time. I also tried ``CLK0``, which errored with "All identifiers were invalid" (expected behavior). This happens only when extracting expired contracts, and works fine for active contracts.
Is this an issue with ``TickHistoryTimeAndSales`` report template? Since I am able to retrieve end of day prices for ``CLK0^2`` fine using ``ElektronTimeseries`` template.
Jack
Tagged:
0
Best Answer
-
Hi @jacktan ,
Can you put the below in the request to allow historical instruments
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
"UseUserPreferencesForValidationOptions": falseand use CLK0 as a RIC, I've tried the request below
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Trade - Bid Price",
"Trade - Bid Size",
"Trade - Ask Price",
"Trade - Ask Size",
"Trade - Price",
"Trade - Volume"
],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "CLK0",
"IdentifierType": "Ric"
}
],
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ApplyCorrectionsAndCancellations": false,
"DisplaySourceRIC": true,
"ReportDateRangeType": "Range",
"TimeRangeMode": "Inclusive",
"DateRangeTimeZone": "UTC",
"QueryStartDate": "2020-04-20T00:00:00",
"QueryEndDate": "2020-04-22T00:00:00"
}
}
}And the report is processed successfully
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