Help with a problem on downloading historical data.

manuchar_chagiashvili
manuchar_chagiashvili
in TRTH

Help me to solve the problem.

I talked to the support team, they can't help as they don't understand my needs.

I have 100% working code for downloading historical data.

I use Refinitiv Real-Time SDK (RTSDK)

I am interested in the domains: MarketPrice, Legacy2.

Using the code downloaded historical data 03.07.2008-18.12.2023 for chainRICs: ES, NQ, URO, AD, JY and others.


The problem occurred with:

1YM (1YMH3, 1YMH3m, 1YMM3, 1YMM3, 1YMM3, 1YMM3m, 1YMU3, 1YMU3m, 1YMZ3, 1YMZ3)

MQN (MQNH3, MQNH3m, MQNM3, MQNM3m, MQNU3, MQNU3m, MQNZ3, MQNZ3)

MED (MEDH3, MEDH3m, MEDM3, MEDM3m, MEDU3, MEDU3, MEDU3m, MEDZ3, MEDZ3)


Up to 2023 chainRIC data (1YM, MQN, MED) are downloaded, but 2023 data are not.


Communication with support ends with the fact that they write me that they have the domain NormalizedLL2 available for chainRICs data, which I do not need.


Please look at the code:

Legacy 2

 new TickHistoryMarketDepthExtractionRequest
 {
 Condition = new TickHistoryMarketDepthCondition
 {
 ReportDateRangeType = ReportDateRangeType.Range,
 QueryStartDate = startDate, //new DateTimeOffset(2016, 07, 25, 20, 0, 0, TimeSpan.Zero),
 QueryEndDate = lastDate, //new DateTimeOffset(2016, 08, 02, 19, 59, 59, TimeSpan.Zero),
 ExtractBy = TickHistoryExtractByMode.Ric,
 MessageTimeStampIn = TickHistoryTimeOptions.LocalExchangeTime,
 SortBy = TickHistorySort.SingleByRic,
 View = TickHistoryMarketDepthViewOptions.LegacyLevel2,
 DisplaySourceRIC = true

},
 IdentifierList = new InstrumentIdentifierList
 {
 InstrumentIdentifiers = new[]
 {
 InstrumentIdentifier.Create(result. IdentifierType, result. Identifier)
 },
 ValidationOptions = new InstrumentValidationOptions
 {
 AllowHistoricalInstruments = true
 } 
 },

MarketPrice

 new TickHistoryRawExtractionRequest
 {
 Condition = new TickHistoryRawCondition
 {
 ReportDateRangeType = ReportDateRangeType.Range,
 QueryStartDate = startDate, //new DateTimeOffset(2016, 07, 25, 20, 0, 0, TimeSpan.Zero),
 QueryEndDate = lastDate, //new DateTimeOffset(2016, 08, 02, 19, 59, 59, TimeSpan.Zero),
 ExtractBy = TickHistoryExtractByMode.Ric,
 MessageTimeStampIn = TickHistoryTimeOptions.LocalExchangeTime,
 SortBy = TickHistorySort.SingleByRic,
 DomainCode = TickHistoryRawDomain.MarketPrice,
 DisplaySourceRIC = true
 },
 IdentifierList = new InstrumentIdentifierList
 {
 InstrumentIdentifiers = new[]
 {
 InstrumentIdentifier.Create(result. IdentifierType, result. Identifier)
 },
 ValidationOptions = new InstrumentValidationOptions
 {
 AllowHistoricalInstruments = true
 },
 UseUserPreferencesForValidationOptions = false
 },

What could be the problem?

Why exactly on

1YM (1YMH3, 1YMH3m, 1YMM3, 1YMM3, 1YMM3m, 1YMU3, 1YMU3m, 1YMZ3, 1YMZ3)

MQN (MQNH3, MQNH3m, MQNM3, MQNM3m, MQNU3, MQNU3m, MQNZ3, MQNZ3)

MED (MEDH3, MEDH3m, MEDM3, MEDM3m, MEDU3, MEDU3, MEDU3m, MEDZ3, MEDZ3)

I can't find the files I need using the code?


I don't understand why on other RICs (ES, NQ and so on) the code works and download history for 2023 for the domains I need without problems, but in case of 1YM, MQN, MED nothing is downloaded.


I can use the code to download MEDH3, MEDH3m, MQNH3, MQNH3m but cannot download the following RICs (monthly contracts M, U, Z). They are not available on the server for the domains I need.

Support doesn't understand my problem.

Tagged:

Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @manuchar_chagiashvili

    Thank you for reachiing out to us.

    You can check the notes of the extraction. The notes contains useful information about the extraction.

    To get the notes, please refer to the Retrieving and analyzing the extraction notes, writing them to file topic in the .Net SDK Tutorial 5: On Demand extraction, file IO tutorial.

    I tested some RICs by extracting data from 2023-01-01 to 2023-12-18 and could get historical data.

    ...
    Manifest: 1YMH3,Market Price,2023-01-01T16:23:01.293508527Z,2023-03-25T19:57:07.069672090Z,Active,159059262
    Manifest: 1YMH3m,Market Price,2023-01-01T17:00:01.459141787Z,2023-04-17T08:02:31.427205890Z,Active,204151604
    Manifest: 1YMM3,Market Price,2023-01-01T16:23:01.294331714Z,2023-06-24T19:53:24.743399802Z,Active,172142828
    Manifest: 1YMU3,Market Price,2023-01-01T16:23:01.307097712Z,2023-09-23T19:54:19.902377699Z,Active,153319617
    Manifest: 1YMU3m,Market Price,2023-01-01T17:00:01.462485921Z,2023-09-24T00:27:28.614014824Z,Active,192749654
    Manifest: 1YMZ3,Market Price,2023-01-01T16:23:01.295104334Z,2023-12-18T23:56:22.762468588Z,Active,193612445

    You can send the full notes to the support team to verify what the problem is.

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