How do you change timestep of best limit quote to minute in API REST extraction?

e.va
e.va
in DSS

Hello,

I am using API rest in python to extract best bid/offer quote. Could you please tell me if it is possible to change the time step of the extraction? Because I want to get only the first quote of each minute. If so, what field should I add in my body request?

Thanks for your support!

Eric


PS : I am not sure if I posted on the right forum, my apologize

PS: Here is my body code using json:


import json

import datetime


body = json.dumps({

"ExtractionRequest": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",

"ContentFieldNames": ['Ask Price',

'Ask Size',

'Bid Price',

'Bid Size',

'Number of Buyers',

'Number of Sellers'],

"IdentifierList": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",

"InstrumentIdentifiers": [{'Identifier': 'FR0013516549=MY', 'IdentifierType': 'Ric'}],

"ValidationOptions": {

"AllowHistoricalInstruments": True,

"AllowInactiveInstruments": True,

"AllowOpenAccessInstruments": False

},

"UseUserPreferencesForValidationOptions": False

},

"Condition": {

"ReportDateRangeType" : "Range",

"QueryStartDate": datetime.strptime('07/10/2020', "%d/%m/%Y").date().strftime("%Y-%m-%d")+"T00:00:00.000Z",

"QueryEndDate": datetime.strptime('07/10/2020', "%d/%m/%Y").date().strftime("%Y-%m-%d")+"T23:00:00.000Z",

"View": "NormalizedLL2",

"NumberOfLevels": 1,

"SortBy": "SingleByRic",

"MessageTimeStampIn": "GmtUtc"

}

}

})

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Best Answer

  • zoya faberov
    zoya faberov
    Answer ✓

    Hello @e.va,

    I do not think you can to get one per minute with TickHistoryTimeAndSalesExtractionRequest. Please see the complete parameter spec of the request in reference REST API Reference Tree -> Extraction -> ExtractWithNotes -> Select TickHistoryTimeAndSalesExtractionRequest from the dropdown to review the complete parameter specification.

    It seems to me, that you may be better off with TickHistoryIntradaySummariesExtractionRequest that allows to apply interval OneMinute, try:

    {
      "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
        "ContentFieldNames": [
          "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": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [{
            "Identifier": "CARR.PA",
            "IdentifierType": "Ric"
          }],
          "ValidationOptions": null,
          "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "MessageTimeStampIn": "GmtUtc",
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2016-09-29T00:00:00.000Z",
          "QueryEndDate": "2016-09-30T00:00:00.000Z",
          "SummaryInterval": "OneMinute",
          "TimebarPersistence": true,
          "DisplaySourceRIC": true
        }
      }
    }


    Should yield something like

    ...
    CARR.PA,,Market Price,2016-09-29T06:39:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:40:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:41:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:42:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:43:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,1
    CARR.PA,,Market Price,2016-09-29T06:44:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:45:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:46:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    CARR.PA,,Market Price,2016-09-29T06:47:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
    ...

    Does this help?

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