How to retrieve historical FX spot rates and forward rates using DataScope Select Rest API in Python

ravi_ranjan
ravi_ranjan
in DSS

I am using the following to get FX rates but I believe it gives spot rates, How can I get historical forward rates for currency exchanges ?

  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [ "RIC", "Ask Price", "Bid Price", "Trade Date" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
      "InstrumentIdentifiers": [
        { "Identifier": "EUR=", "IdentifierType": "Ric" },
        { "Identifier": "GBP=", "IdentifierType": "Ric" }
      ]
    },
    "Condition": { "ScalableCurrency": true }
  }
}
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Best Answer

  • zoya faberov
    zoya faberov
    Answer ✓

    Hello @ravi_ranjan,

    Forward RICs end with F, for example "EURF=",

    They are not quote rics, but chains, try this:

    {
       "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
        "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
          "InstrumentIdentifiers": [
            { "Identifier": "EURF=", "IdentifierType": "ChainRIC" },
            { "Identifier": "GBPF=", "IdentifierType": "ChainRIC" }
          ]
        },
       "Condition": {
                "ReportDateRangeType": "Range",
                "QueryStartDate": "2015-12-01T00:00:00.000Z",
                "QueryEndDate": "2015-12-02T00:00:00.000Z"
            }
      }
    }

Answers

  • ravi_ranjan
    ravi_ranjan

    Hello @zoya.farberov thank you for the help I tried the above ChainRIC and it gives all the forward rates but I am looking specifically at 1 month Forward rates. How can I identify it ?

  • zoya faberov
    zoya faberov

    Hello @ravi_ranjan,

    Please inspect the output from the chainRic request. It includes all the rics within the chain. Once you identify the ric you are looking for, next you can request it separately, for instance:

    {
       "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
        "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
          "InstrumentIdentifiers": [
            { "Identifier": "EUR1M=", "IdentifierType": "Ric" },
            { "Identifier": "GBP1M=", "IdentifierType": "Ric" }
          ]
        },
       "Condition": {
                "ReportDateRangeType": "Range",
                "QueryStartDate": "2015-12-01T00:00:00.000Z",
                "QueryEndDate": "2015-12-02T00:00:00.000Z"
            }
      }
    }
  • ravi_ranjan
    ravi_ranjan

    Thanks @zoya.farberov EUR1M= gives the forward swap whereas EUR1MV= gives the forward outright.

    The solution worked.

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