Re Tick History: more than one query start/end date

robin.braun
robin.braun
in DSS

Hello,

Apologies if this has been asked already. I'm using the REST API via Python in order to pull 1 minute intraday summary data. Goal of my analysis is to study a set of (~400) historical events going back to 1996. Specifically, I want to construct intraday surprises in a narrow window around these events, for a variety of RICs.

Instead of one big query of intraday data going back to 1996, I though it would be more efficient if instead I download only data for the dates I'm interested in.

As a beginner, I see two ways of doing so:

1) I use Python to loop over each date where I have an event, effectively sending 400 different on-demand extraction requests

2) There is some clever way to provide multiple QueryStartDate/QueryEndDate in the JSON file of the

on demand extraction request:

"Condition": {

"MessageTimeStampIn": "GmtUtc",

"ReportDateRangeType": "Range",

"QueryStartDate": QueryStartDate ,

"QueryEndDate": QueryEndDate ,

"SummaryInterval": "OneMinute",

"DisplaySourceRIC":"true"

}

Could anyone advice me if 2) is possible. If not, would 1) go against the best practice? Yet an alternative way might be to use Google Cloud integration of Tick History, altough not sure I need it.

Thanks for any help,

Robin

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  • zoya faberov
    zoya faberov

    Hello @robin.braun ,

    Additionally, please see Google Big Query Tutorials to gain better understanding of this approach.

    Google Big Query approach allows to process very large quantities of data, very fast, and to only download the result of the query, however- you are using GCP console to drive the workflow and not HTTP REST request, so you should see if this approach aligns with your organization's integration requirements.

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