Is there a way to determine expiration data for a historical future contract using DSS or TRTH REST

ekhosid
ekhosid
in TRTH

I'm looking to get expiration dates for contracts that are resolved from futures chain RIC using HistoricalChainResolutionRequest call.


Thank you.

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Best Answer

  • zoya faberov
    zoya faberov
    Answer ✓

    Hello @ekhosid,

    My understanding is that once you have resolved the chain you should have RICs of the future contracts. Next, you can run a search, either by specific RIC or by root RIC and a wild card, something like:

    {{protocol}}{{host}}{{api}}Search/FuturesAndOptionsSearch 
    {
        "SearchRequest": {
            "FileCodes": null,
            "CurrencyCodes": null,
            "ExchangeCodes": null,
            "ExpirationDate": {
                "@odata.type": "#ThomsonReuters.Dss.Api.Search.DateValueComparison",
                "ComparisonOperator": "LessThanEquals",
                "Value": "2016-12-31T00:00:00.000Z"
            },
            "IdentifierType": "Ric",
            "Identifier": "ED*",
            "PreferredIdentifierType": "Ric"
        }
    }

    resulting in:

    {
        "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#Collection(ThomsonReuters.Dss.Api.Search.FuturesAndOptionsSearchResult)",
        "value": [
            {
                "Identifier": "ED1tmH2^1",
                "IdentifierType": "Ric",
                "Source": "TIM",
                "Key": "VjF8MHgwMDAzZjgwNTEzOGM0ODI5fDB4MDAwM2Y4MDUxMzhjOWJmYXxUSU18RFZRVXxERVJWfEZVVHxEfHxFRDF0bUgyXjF8NTIyNQ",
                "Description": "ED1 MAR2",
                "InstrumentType": "DerivativeQuote",
                "Status": "Valid",
                "ExchangeCode": "TIM",
                "CurrencyCode": "TWD",
                "FuturesAndOptionsType": "Futures",
                "PutCallCode": "",
                "ExpirationDate": "2012-03-21T00:00:00.000Z",
                "AssetStatus": "Inactive"
            },
    ...

    Does this work for your use case?




Answers

  • ekhosid
    ekhosid

    Thank you. That's exactly what I was looking for. Let me try it.

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