Filter tick history by Type

brian.collins
Newcomer
in TRTH
I'm using the rest API to pull tick history using python. This pulls Quote and trades. Is there a way to only pull records where Type=Trade?
{
"ExtractionRequest": {
"@odata.type":
"#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
"ContentFieldNames": [
],
"IdentifierList": {
"@odata.type":
"#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "SPXA192420000.U",
"IdentifierType": "Ric"
}
],
"ValidationOptions": null,
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"QueryStartDate": "2021-08-02T17:00:00.000Z",
"QueryEndDate": "2021-08-02T19:59:59.000Z",
"DisplaySourceRIC": true
}
}
}
0
Best Answer
-
Thanks for reaching out to us.
I checked and found that the TickHistoryRawExtractionRequest extraction doesn't have a condition to filter the data by the update type.
You may need to use different report templates, such as TickHistoryTimeAndSalesExtractionRequest. You can specify trade-related fields in the content fields of this report template.
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Trade - Exchange/Contributor ID",
"Trade - Price",
"Trade - Volume",
"Trade - Market VWAP",
"Trade - Block Trade",
...You can refer to the REST API Reference Tree for more information.
I hope that this information is of help.
0
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