Requesting multiple instruments of historical data at once is only returning the top data point?

arek.majka

I am trying to figure out the best way in the C# Workspace Data API to pull out historical OHLC data for multiple markets at once to increase the speed instead of doing one by one.

Using this sample project: 2.1.01-HistoricalPricing-Summaries

My issue is that if I have a list of symbols... in response1, where i pass a single symbol it indeed gives me back 20 days of data. However in response2 if I pass more than 1 symbol, it only returns me the last day for each symbol.

An additional issue, is when I run this on September 11, it only gives me data until September 10. Does the historical data request not include the most bar data as well?

var response1 = Summaries.Definition(symbols.Take(1)).Interval(Summaries.Interval.P1D)

.Fields("DATE", "TRDPRC_1", "MKT_OPEN", "VWAP", "LOW_1", "HIGH_1")

.Count(20)

.GetData();

var response2 = Summaries.Definition(symbols.Take(2)).Interval(Summaries.Interval.P1D)

.Fields("DATE", "TRDPRC_1", "MKT_OPEN", "VWAP", "LOW_1", "HIGH_1")

.Count(20)

.GetData();

cristian.baciuwahl

@arek.majka

When requesting for historical pricing data you should use a Summaries Definition. There are 2 different endpoints depending on the interval.

For intraday intervals, there is a GET endpoint that only accepts one instrument at a time. You can also specify the number of rows you wish to retrieve.

For interday intervals, there is a POST endpoint, that accepts multiple instruments, but it can only retrieve summary containing 1 row for each instrument from the backend. Retrieving multiple rows for an instrument is done similarly to intraday intervals, via a GET point.

I have provided an example bellow:

internal static class DataRetrievalMultipleCases
{
    public static async Task Run()
    {
        Log.Level = LogLevel.Warn;
        Common.Prompt = false;

        using (ISession session = Sessions.GetSession("desktop"))
        {
            session.Open();

            string[] symbols = { "AAPL.O", "TSLA.O", "MSFT.O", "NVDA.O", "AMZN.O", "AMD.O", };

            var tasks = new List<Task>();

            // Case 1 : Intraday 
            System.Diagnostics.Stopwatch watch = System.Diagnostics.Stopwatch.StartNew();
            foreach (var symbol in symbols)
            {
                tasks.Add(GetIntradaySummaryData(symbol));
            }
            await Task.WhenAll(tasks);
            watch.Stop();
            Console.WriteLine($"Time to complete INTRADAY requests: {watch.Elapsed}");

            // Case 2 : Interday 
            System.Diagnostics.Stopwatch watch2 = System.Diagnostics.Stopwatch.StartNew();
            await GetInterdaySummaryData(symbols);
            watch2.Stop();
            Console.WriteLine($"Time to complete INTERDAY requests: {watch2.Elapsed}");

            Console.ReadLine();
        }
    }

    private static async Task GetIntradaySummaryData(string symbol)
    {
        // Intraday - GET - 1 instrument per request - multiple rows can be retrieved
        var data = await Summaries.Definition(symbol)
                                  .Fields("HIGH_1", "LOW_1")
                                  .Interval(Summaries.Interval.PT5M)
                                  .Count(5)
                                  .GetDataAsync();

        Common.DisplayTable(data);
    }

    private static async Task<IDataSetResponse> GetInterdaySummaryData(string[] symbols)
    {
        // Interday - POST - multiple instruments per request - 1 row per instrument retrieved
        var data = await Summaries.Definition(symbols)
                              .Fields("HIGH_1", "LOW_1")
                              .Interval(Summaries.Interval.P1D)
                              .Count(5) //ignored for multiple instruments
                              .GetDataAsync();

        Common.DisplayTable(data);
        return data;
    }
}

Best regards,

Cristian