How to get data at tick level?

memam
memam
in TRTH

Which parameter should be set to get data at exactly "tick" level, and not at the intervals mentioned in

TickHistorySummaryInterval

?


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Best Answer

  • Gurpreet
    Gurpreet
    Answer ✓

    Hi @memam,

    If you are interested in getting all the tick data, then please use the Raw extraction request -

    DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest

    and not the Intraday summary extraction request.

Answers

  • memam
    memam

    Thanks. When I use TickHistoryRawExtractionRequest, I get too much redundant information as opposed to TickHistoryIntradaySummariesExtractionRequest.

    Is there any way to get the resulting csv file from TickHistoryRawExtractionRequest, automatically organised with only the following fields (columns)?

    "#RIC",
    "Alias Underlying RIC",
    "Domain",
    "GMT Offset",
    "Type",
    "Bid Price",
    "Ask Price",
    "Exch Time",
    "Date"
  • Gurpreet
    Gurpreet
    No, its not possible to specify the filter in request, but is easy to post-process this data in your application. Tickhistory Raw request will provide you with all the tick level data as was disseminated by the listing venue.
  • zoya faberov
    zoya faberov

    Hello @memam ,

    You may filter the fields that you require in TickHistoryRawExtractionRequest:

    {
      "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
        "IdentifierList": {
          "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [{
            "Identifier": "IBM.N",
            "IdentifierType": "Ric"
          }]
        },
        "Condition": {
          "MessageTimeStampIn": "GmtUtc",
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2021-09-28T12:00:00.000Z",
          "QueryEndDate": "2021-09-29T12:10:00.000Z",
          "ExtractBy": "Ric",
          "SortBy": "SingleByRic",
          "DomainCode": "MarketPrice",
          "DisplaySourceRIC": true,
    "FidListOperator": "OR",
           "Fids": "2,3,22,25"
        }
      }
    }

    FID is field ID, the number that uniquely identifies the field.

    If you have had a chance to run the extraction request suggested by @Gurpreet , and you see the FIDs of the fields that are of interest to you in the extraction result, these are the FIDs to be specified into the Fids filter.

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