Treasury futures level 2 historical nanosecond data access on-demand via Python API

matt.fernandes@fmr.com

Hello,

I am looking trying to find the specification for pulling the level 2 data for treasury futures contracts, i.e. TYU24, for all best bid and best ask as well as each of the respective volumes for each of the levels. I would like to receive a response with the most granular intraday timing for a specified date (I believe nanoseconds). How can I adapt my request body and condition to retrieve such data? I have tried various Best Bid/Best Ask calls and spellings and nothing seems to be working.

Thank you so much!

requestBody={
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
    "ContentFieldNames": [
      "BEST BID 1", "BEST BID 2",
      "Close Ask",
      "Close Bid",
      "High",
      "High Ask",
      "High Bid",
      "Last",
      "Low",
      "Low Ask",
      "Low Bid",
      "No. Asks",
      "No. Bids",
      "No. Trades",
      "Open",
      "Open Ask",
      "Open Bid",
      "Volume"
    ],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "TYU24",
        "IdentifierType": "Ric"
      }

      ],
      "UseUserPreferencesForValidationOptions":"false"
    },    
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2024-08-22T00:00:00.000Z",
      "QueryEndDate": "2024-08-22T01:00:00.000Z",
      "SummaryInterval": "OneHour",
      "TimebarPersistence":"true",
      "DisplaySourceRIC":"true"
    }
  }
}

Gurpreet

Hello @matt.fernandes@fmr.com,

The moderators of these forums have technical expertise. For content questions such as this, it is best to raise a service ticket via MyAccount and speak with a content expert.

Thanks.