How to get expiry detail for future spreads using DSS REST API
I can get futures expiries for RIC chain "0#CL:" using
https://selectapi.datascope.refinitiv.com/RestApi/v1/Search/FuturesAndOptionsSearch
with payload like
payload = "{
"SearchRequest": {
"FileCodes": null,
"CurrencyCodes": null,
"ExchangeCodes": ["NYM"],
"AssetStatus": "Active",
"StrikePrice": null,
"ExpirationDate": null,
"IdentifierType": "RICRoot",
"Identifier": "CL",
"FuturesAndOptionsType": "Futures"
}
}"
How do I get expiries for future spreads like "0#CL-1M:"?
Best Answer
-
Hello @una.keller ,
Test TermsAndConditions request:
{{protocol}}{{host}}{{api}}Extractions/ExtractWithNotes
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TermsAndConditionsExtractionRequest",
"ContentFieldNames": [
"RIC", "CUSIP", "ISIN", "SEDOL", "Issuer OrgID", "Currency Code","Expiration Date"
],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{ "Identifier": "0#CL-1M:", "IdentifierType": "ChainRIC" }
]
}
}
}results on my side:
{
"@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Extractions.ExtractionRequests.ExtractionResult",
"Contents": [
{
"IdentifierType": "ChainRIC",
"Identifier": "0#CL-1M:",
"RIC": "CLH2-J2",
"CUSIP": null,
"ISIN": null,
"SEDOL": null,
"Issuer OrgID": null,
"Currency Code": "USD",
"Expiration Date": "2022-02-22"
},
{
"IdentifierType": "ChainRIC",
"Identifier": "0#CL-1M:",
"RIC": "CLJ2-K2",
"CUSIP": null,
"ISIN": null,
"SEDOL": null,
"Issuer OrgID": null,
"Currency Code": "USD",
"Expiration Date": "2022-03-22"
},
{
"IdentifierType": "ChainRIC",
"Identifier": "0#CL-1M:",
"RIC": "CLK2-M2",
"CUSIP": null,
"ISIN": null,
"SEDOL": null,
"Issuer OrgID": null,
"Currency Code": "USD",
"Expiration Date": "2022-04-20"
},
...If this is what you are looking for(?), you can find more information on T&C by reviewing REST API Tutorial 7: On Demand T&C extraction and tune request fully toward your requirements.
0
Answers
-
Hello @una.keller ,
Try specifying ExpirationDate:
{
"SearchRequest": {
"FileCodes": null,
"CurrencyCodes": null,
"ExchangeCodes": ["NYM"],
"AssetStatus": "Active",
"StrikePrice": null,
"ExpirationDate": {
"@odata.type": "#DataScope.Select.Api.Search.DateValueComparison",
"ComparisonOperator": "GreaterThanEquals",
"Value": "2016-12-31T00:00:00.000Z"
},
"IdentifierType": "RICRoot",
"Identifier": "CL",
"FuturesAndOptionsType": "Futures"
}
}is the result :
{
"@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#Collection(DataScope.Select.Api.Search.FuturesAndOptionsSearchResult)",
"value": [
{
"Identifier": "CLM2",
"IdentifierType": "Ric",
"Source": "NYM",
"Key": "VjF8MHgwMDEwMGIwMDI5MTZhMWFifDB4MDAxMDBiMDAwOWEzZGY0M3xOWU18RFZRVXxERVJWfEZVVHxEfHxDTE0yfDUwMzQ",
"Description": "LIGHT CRUDE JUN2",
"InstrumentType": "DerivativeQuote",
"Status": "Valid",
"ExchangeCode": "NYM",
"CurrencyCode": "USD",
"FuturesAndOptionsType": "Futures",
"PutCallCode": "",
"ExpirationDate": "2022-05-20T00:00:00.000Z",
"AssetStatus": "Active"
},
...what you are looking for?
0 -
@zoya faberov I'm looking for the output to include Futures Spread. Example chain RIC is "0#CL-1M:". The RICs will look like the following
CLZ2-F3
CLK2-V2
CLX1-F2
Your output is showing the standard Futures contracts. I am able to return the standard Future contracts with the payload I added in the original question.
0
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