Extract the adjusted tick price with TickHistoryTimeAndSalesExtractionRequest

lideng

Hello guys,

I am using the DSS API to extract the tick price of stocks, but given the stock split, is it possible to extract the split ratio adjusted price? Below I pasted my sample JSON.

Thanks for your time and support!

{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
        "ContentFieldNames": [
            "Trade - Price","Trade - Volume"],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {"Identifier": "AAPL.OQ", "IdentifierType": "Ric"}

            ],
            "ValidationOptions": {"AllowHistoricalInstruments": "True"},
            "UseUserPreferencesForValidationOptions" : "False"
        },
        "Condition": {
            "MessageTimeStampIn": "LocalExchangeTime",
            "DateRangeTimeZone": "Local Exchange Time Zone",
            "ReportDateRangeType": "Range",
            "QueryStartDate": "2020-03-09T09:30:00.000Z",
            "QueryEndDate":   "2020-03-09T16:00:00.000Z",
            "DisplaySourceRIC": "True",
            "TimeRangeMode": "Window"
        }
    }
}

Jirapongse

@lideng

You can use the CorporateActionsStandardExtractionRequest to extract stock split description. For example, send the following request to the Extractions/ExtractWithNotes endpoint.

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.CorporateActionsStandardExtractionRequest",
    "ContentFieldNames": [
      "Corporate Actions Type",
      "Capital Change Event Type",
      "Capital Change Event Type Description",
      "Actual Adjustment Type",
      "Actual Adjustment Type Description",
      "Adjustment Factor",
      "Currency Code",
      "Exchange Code",
      "Effective Date",
      "Dividend Pay Date",
      "Dividend Rate",
      "Nominal Value",
      "Nominal Value Currency",
      "Nominal Value Date"
    ],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [
      
        { "Identifier": "AAPL.O", "IdentifierType": "Ric" }
      ]
    },
    "Condition": {
      "ReportDateRangeType": "Last",
      "PreviousDays": 30,
      "ExcludeDeletedEvents": true,
      "IncludeCapitalChangeEvents": true,
      "IncludeDividendEvents": true,
      "IncludeEarningsEvents": true,
      "IncludeMergersAndAcquisitionsEvents": true,
      "IncludeNominalValueEvents": true,
      "IncludePublicEquityOfferingsEvents": true,
      "IncludeSharesOutstandingEvents": true,
      "IncludeVotingRightsEvents": true,
      "CorporateActionsCapitalChangeType": "CapitalChangeExDate",
      "CorporateActionsDividendsType": "DividendPayDate",
      "CorporateActionsEarningsType": "PeriodEndDate",
      "ShareAmountTypes": [
      ]
    }
  }
}

The output contains:

    "Contents": [
        {
            "IdentifierType": "Ric",
            "Identifier": "AAPL.O",
            "Corporate Actions Type": "CAP",
            "Capital Change Event Type": 21,
            "Capital Change Event Type Description": "Stock split",
            "Actual Adjustment Type": "CCH",
            "Actual Adjustment Type Description": "Capital Change - Adjusts Dividend and Earnings per Share, Pricing and Volume",
            "Adjustment Factor": 0.25,
            "Currency Code": "USD",
            "Exchange Code": "NSQ",
            "Effective Date": "2020-08-28",
            "Dividend Pay Date": null,
            "Dividend Rate": null,
            "Nominal Value": null,
            "Nominal Value Currency": null,
            "Nominal Value Date": null
        },

For more information, please refer to the REST API Tutorial 9: On Demand corporate actions extraction tutorial.

You can also refer to the REST API Reference Tree for all available parameters.