Requesting multiple instruments of historical data at once is only returning the top data point?

arek.majka
arek.majka
in Refinitiv Data Platform

I am trying to figure out the best way in the C# Workspace Data API to pull out historical OHLC data for multiple markets at once to increase the speed instead of doing one by one.


Using this sample project: 2.1.01-HistoricalPricing-Summaries


My issue is that if I have a list of symbols... in response1, where i pass a single symbol it indeed gives me back 20 days of data. However in response2 if I pass more than 1 symbol, it only returns me the last day for each symbol.


An additional issue, is when I run this on September 11, it only gives me data until September 10. Does the historical data request not include the most bar data as well?


var response1 = Summaries.Definition(symbols.Take(1)).Interval(Summaries.Interval.P1D)

.Fields("DATE", "TRDPRC_1", "MKT_OPEN", "VWAP", "LOW_1", "HIGH_1")

.Count(20)

.GetData();


var response2 = Summaries.Definition(symbols.Take(2)).Interval(Summaries.Interval.P1D)

.Fields("DATE", "TRDPRC_1", "MKT_OPEN", "VWAP", "LOW_1", "HIGH_1")

.Count(20)

.GetData();




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Answers

  • arek.majka
    arek.majka

    I have a similar query with streaming multiple


        // Create a Historical Pricing stream - specifying the desired 'interday' interval

        var stream = Summaries.Definition(symbols.Take(10).ToList())

            .Fields("BID", "ASK", "HIGH_1", "LOW_1", "OPEN_PRC", "TRDPRC_1", "ACVOL_UNS")

                                                  .Interval(Summaries.Interval.P1D)

                                                  .Count(5)

                                                  .GetStream();



        // Specify the TSI lambda expressions to capture 'Insert' and 'Update' events

        stream.OnInsert((data, stream) => Common.DisplayTable($"INSERT: {DateTime.Now}", data.Table)

              .OnUpdate((data, stream) => Common.DisplayTable($"UPDATE: {DateTime.Now}", data.Table))

              .OnStatus((status, stream) => Console.WriteLine($"Status: {status}"))

              .OnError((error, stream) => Console.WriteLine($"Error: {error}"))

              .Open();



    If I use the above... all of my symbols give me the first "OnInsert", however all the following OnUpdate are only for the FIRST symbol in the list.


    All in all- how do I stream daily & intraday bars for multiple symbols at once?


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