Filter tick history by Type

brian.collins
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
 }
 }
}

1682102948980.png


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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @brian.collins

    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.

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