How to download the historical tick data of CBOE VIX Index?

atsmus900
atsmus900
in DSS

Hi,

I will appreciate assistance on how to download historical data of CBOE VIX index via Data Scope rest api and UI.


I tried several options via Data Scope UI with the ric ".VIX" but nothing received.


Thank you.

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @atsmus900

    To get the historical Tick data, you need to have permission to access Tick History templates.

    For example, I can use TickHistoryTimeAndSalesExtractionRequest to retrieve historical data.

    The request looks like this.

    {
      "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
        "ContentFieldNames": [
            "Trade - Price",
            "Trade - Volume",
            "Trade - Exchange Time"
        ],
        "IdentifierList": {
          "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [{
            "Identifier": ".VIX",
            "IdentifierType": "Ric"
          }]
        },
        "Condition": {
          "MessageTimeStampIn": "GmtUtc",
          "ApplyCorrectionsAndCancellations": false,
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2022-03-01T00:00:00.000Z",
          "QueryEndDate": "2022-03-02T12:00:00.000Z",
          "DisplaySourceRIC": true
        }
      }
    }

    The output is:

    1650857360411.png

    Please let me know the template that you are using.


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