Timing of using get_timeseries to collect tick data
I am using get_timeseries to collect current trading day's tick around market close. In order to collect the complete list of trade data, I need to wait until Reuters saving all tick data published by exchanges into database. Assuming I would like to collect the tick data published between 3:50 PM and 4:00 PM for US equities, what is the earliest time I can make the API call to request the data? Can I request immediately after 4:00 PM, or shall I wait for some time, e.g., 10 minutes, to request the data at 4:10 PM?
Best Answer
-
There's no defined time you can rely on that guarantees that all trades have been made available in the timeseries. Ordinarily the trades become available shortly after they are reported by the exchange, but if it's not critical, I would recommend waiting 10 minutes or so. What I would also recommend to ensure you do get all the pre-close trades is to set the end of your time range to 4:05 PM New York time and filter out the trades timestamped after 4:00 PM. If the timeseries you retrieve contain any trades timestamped after 4:00 PM, then you know all the previous trades are available too. And as long as the trades have already made their way into timeseries, I believe for US stocks the timeseries should always contain at least one trade timestamped after 4 PM due to the closing auction.
0
Categories
- All Categories
- 6 AHS
- 39 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 370 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 60 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛