How to Access Average Daily Volume and Minimum Order Size Data via the Historic Pricing API

I am trying to access Average Daily Volume and Minimum Order Size data via the Historical Interday API call. I have tried using the fields VMA_30D and MIN_ORD_SZ, but I get back the message

"The universe does not support the following fields: [VMA_30D, MIN_ORD_SZ]."

The exact url with field parameters I am using for the REST API is

https://api.refinitiv.com/data/historical-pricing/v1/views/interday-summaries/8439.T?fields=VMA_30D,MIN_ORD_SZ&end=2023-08-04T15:26:40.638893Z&adjustments=exchangeCorrection,manualCorrection,CCH,CRE,RPO,RTS&interval=P1D

MIN_ORD_Z and VMA_30D are listed as valid interday fields in the RPD Historical Pricing API Data Guide, so I'm left wondering why they are not supported. Can you clue me in to what I may be doing wrong, or am I perhaps using the wrong API call? Thanks in advance.

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Accepted answers

Jirapongse

@peter13

Thank you for reaching out to us.

If you don't specify fields in the URL, the response will contain all available fieds.

https://api.refinitiv.com/data/historical-pricing/v1/views/interday-summaries/8439.T?end=2023-08-04T15:26:40.638893Z&adjustments=exchangeCorrection,manualCorrection,CCH,CRE,RPO,RTS&interval=P1D

If the response doesn't contain the VMA_30D and MIN_ORD_SZ fields, it means that this endpoint doesn't support those fields for 8439.T.

I can get the Average Daily Volume - 30 Days via the DataGrid endpoint but it doesn't provide timeseries data.

You may contact the Eikon support team directly via MyRefinitiv to verify if we can retrieve the historical data of "Minimum Order Size" and "30 days moving average volume" via Eikon Excel. If the data is available in Eikon Excel, we may be able to get it via RDP.

All comments

Jirapongse

@peter13

Thank you for reaching out to us.

If you don't specify fields in the URL, the response will contain all available fieds.

https://api.refinitiv.com/data/historical-pricing/v1/views/interday-summaries/8439.T?end=2023-08-04T15:26:40.638893Z&adjustments=exchangeCorrection,manualCorrection,CCH,CRE,RPO,RTS&interval=P1D

If the response doesn't contain the VMA_30D and MIN_ORD_SZ fields, it means that this endpoint doesn't support those fields for 8439.T.

I can get the Average Daily Volume - 30 Days via the DataGrid endpoint but it doesn't provide timeseries data.

peter13

Thank you for your response. I tried issuing the API call with the exact same body as you did, but received the following error JSON (please see also attached Postman screenshot). Perhaps my credentials do not have access to the Data Grid API? Also, is this a beta API?

{
    "error": {
        "id": "b9030707-dcd8-4c0b-8442-fe5114153a19",
        "code": "insufficient_scope",
        "message": "access denied. Scopes required to access the resource: [trapi.data.get.data.read]. Missing scopes: [trapi.data.get.data.read]",
        "status": "Forbidden"
    }
}

Screenshot 2023-08-10 at 8.10.34.png

Jirapongse

@peter13

Yes, you are correct.

The message indicates that the credentials don't have permission to access this endpoint. Please contact your Refinitiv account team or sales team regarding permission.

The endpoint is in beta but currently it is the only endpoint that can provide TR fields and it is used by our Refinitiv Data Libraries.

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