Universal Close Price of -9999401in TimeSeriesExtractionRequest for exchange holidays using REST API

michaeljbutton
michaeljbutton
in DSS

When requesting Universal Close Price for some futures contracts on exchange holidays, the price is returned as -9999401 or -9999402. I get this when using the REST API. The prices are invalid, is there a way I can determine from the API that the day in question is an exchange holiday?

Here's some Postman code:

{

"ExtractionRequest": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TimeSeriesExtractionRequest",
"ContentFieldNames": [
"Universal Close Price",
"Trade Date",
"Asset Status",
"Trading Status",
"Official Close Price"
],
"IdentifierList": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{"Identifier": "CCc1", "IdentifierType": "Ric"}
]
},
"Condition": {

"StartDate": "2019-05-09T00:00:00.000-05:00",
"EndDate": "2019-05-12T00:00:00.000-05:00"
}
}
}

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Answers

  • Christiaan Meihsl
    Christiaan Meihsl

    michaeljbutton,

    Official Close Price:

    I just ran your query in Postman, it returns 2 records (9th and 10th May):

        "Contents": [
            {
                "IdentifierType": "Ric",
                "Identifier": "CCc1",
                "Universal Close Price": 2330,
                "Trade Date": "2019-05-10",
                "Asset Status": "ISS",
                "Trading Status": 1,
                "Official Close Price": null
            },
            {
                "IdentifierType": "Ric",
                "Identifier": "CCc1",
                "Universal Close Price": null,
                "Trade Date": "2019-05-09",
                "Asset Status": "ISS",
                "Trading Status": 1,
                "Official Close Price": null
            }
        ],

    Strangely, I cannot reproduce the negative value for the UCP field you mention, I get either a positive or a null value. I get exactly the same output if I replace the Timeseries call with a PriceHistory call (as per the note below).

    Can you still reproduce the issue in Postman ? If yes, can you post the complete output here please ?

    Important side note:

    Please note that the legacy TimeSeries Pricing extraction will be removed end February 2020, the more powerful PriceHistory extraction replaces it. Our tutorials, and the Postman collection, were updated in May 2019 to reflect this. If you are using the TimeSeries call, you must plan to modify your code. As part of the migration process, it is important to understand that, in some instances, field content extracted from the TimeSeries report will be available under different field names in the PriceHistory report. It is also possible that some previously populated values in the TimeSeries report will be blank in the PriceHistory report. This is due to data mapping changes. For more information, please refer to the Product Change Notification PCN 10897.

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul
    @michaeljbutton

    I am able to replicate the same value, -9999401. If I uncheck the "Return Null Code Values in Extraction Pricing Fields" in the User Preferences, the "Universal Close Price" field will return null instead.

    Please directly contact DSS support team via MyRefinitiv.
    In the product field, select "Reuters DataScope Select".

  • Christiaan Meihsl
    Christiaan Meihsl

    The preference setting is interesting, and might be the key to a solution.

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul

    Hi @michaeljbutton,

    I have done some research and found that the value is NULL codes providing reason of null value. Please refer to this link. You may be able to use the code to verify whether the null value is due to holiday or not.

    image

  • michaeljbutton
    michaeljbutton

    Thank you both for your replies. Useful to know that TimeSeriesExtractionRequest is being removed, and VERY useful to understand about the "Return Null Code Values in Extraction Pricing Fields" user preference, I didn't know that existed and now it makes sense. And also where the documentation was.

    I am interested to see how Price History handles values for which negatives are acceptable e.g. spreads? I will look through the docs though once I have been given access.

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