HistoricalReferenceExtractionRequest very slow (C# API)

florentin.randazzo

Hello,

I'm requesting static data on several options chain RIC on a range of 10 days.

It takes at least 1 hour to have a result. I will need the static data on the whole history (many years), what is the most efficient way to request the data ?

Example of the code on 10 days:

        var extractionRequestStatic = new HistoricalReferenceExtractionRequest()

        {

            IdentifierList = SubjectIdentifierList.CreateInstrumentIdentifierList(new []{ "0#TY+", "0#WYW+", "0#TYW+", "0#1VYW+" }.Select(tkr => SubjectIdentifier.CreateInstrumentIdentifier(tkr, IdentifierType.ChainRIC)).ToArray(), new InstrumentValidationOptions()

            {

                AllowHistoricalInstruments = true,

                AllowInactiveInstruments = true,

            }, false),


            Condition = new HistoricalReferenceCondition()

            {

                ReportDateRangeType = ReportDateRangeType.Range,

                QueryStartDate = new DateTimeOffset(DateTime.Today.AddDays(-11)),

                QueryEndDate = new DateTimeOffset(DateTime.Today.AddDays(-1))

            },

            ContentFieldNames = new[] { "RIC", "Put Call Flag", "Underlying RIC", "Expiration Date", "Strike Price", "Currency Code", "Exercise Style", "Lot Size", "Security Description" }

        };


        var extractionResultStatic = ExtractionsContext.ExtractWithNotesAsync(extractionRequestStatic).Result;

        var extractedRowsStatic = extractionResultStatic.Contents;

Thanks,

Florentin

Jirapongse

@florentin.randazzo

Thank you for reaching out to us.

I checked and found that there are around 5,500 RICs expanded from those chain RICs.

You can print the extractionResultStatic.Notes to verify the extraction information.

You may refer to the Best Practices & Fair Usage Policy for LSEG DataScope Select and LSEG Tick History guide that describes recognized techniques for using LSEG Tick History more quickly and effectively.

You can try to use other report templates to extract the required information. Please refer to the Data Dictionary - LSEG Tick History Custom Reporting. Otherwise, you can contact the Tick History support team directly via MyAccount to verify if there are other templates which can provide the same information.