When do CSVs become available for download for all exchanges? I'm download ticker order book ric

Jwan622 · 2025-02-25T16:30:34+00:00

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Hi I'm making requests to download TickHistoryMarketDepth data.

"ExtractionRequest": {    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",    "IdentifierList": {        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",        "InstrumentIdentifiers": [{            "Identifier": f"{ticker}",            "IdentifierType": "Ric",        }],

When does this data become available for all exchanges? I'm making a post request to post_url = URL_BASE + "/Extractions/ExtractRaw".

The exchanges I'm trying to download ticker data from are suffixes = [".NYO", ".ARC", ".ITC", ".DEX", ".BAT"]I notice if I download too early, the csvs aren't there or are empty. If I'm trying to download data for 2025-02-24… when should I start the download process?

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Gurpreet

Hello @Jwan622

There is an embargo for every exchange. Tickhistory can not release data for that exchange, until the exchange mandated embargo time has passed; which is typically few minutes or hours after trading end.

You can see some of the embargo information for an instrument in the IntraDayPricingExtraction request.

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
    "ContentFieldNames": [
      "Exchange Code",
      "File Code",
      "PE Code",
      "Real Time Permitted",
      "Exchange Requiring Embargo",
      "Embargo Times",
      "Embargo Window",
      "Current Embargo Delay",
      "Maximum Embargo Delay",
      "Instrument Snap Time",
      "Last Update Time"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [
      	{ "Identifier": "VOD.L", "IdentifierType": "Ric" }
      ]
    },
    "Condition": { "ScalableCurrency": true }
  }
}

Jwan622

that doesn't seem to work. Could you take a look at this code?

# Base API URL (Update with the correct endpoint)URL_BASE = "https://selectapi.datascope.refinitiv.com/RestApi/v1"REFINITIV_AUTH_TOKEN = get_cached_refinitiv_auth_token() # Replace with valid authentication tokendef get_embargo_info(ticker="VOD.L"): logger.info(f"Fetching embargo information for {ticker}...") # Construct request payload json_blob = { "ExtractionRequest": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest", "ContentFieldNames": [ "Exchange Code", "File Code", "PE Code", "Real Time Permitted", "Exchange Requiring Embargo", "Embargo Times", "Embargo Window", "Current Embargo Delay", "Maximum Embargo Delay", "Instrument Snap Time", "Last Update Time" ], "IdentifierList": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [{"Identifier": ticker, "IdentifierType": "Ric"}] }, "Condition": {"ScalableCurrency": True} } } # API endpoint for extraction request post_url = f"{URL_BASE}/Extractions/ExtractRaw" # Send the request response = requests.post( post_url, headers={"Authorization": f"Token {REFINITIV_AUTH_TOKEN}", "Content-Type": "application/json"}, json=json_blob ) # Check if request was successful if response.status_code == 200: embargo_data = response.json() logger.info(f"Embargo info retrieved successfully for {ticker}.") return embargo_data else: logger.error(f"Failed to fetch embargo data. Status Code: {response.status_code}, Response: {response.text}") return None# Example callif __name__ == "__main__": embargo_info = get_embargo_info("VOD.L") if embargo_info: print(json.dumps(embargo_info, indent=4))

I am getting thsi error:
Failed to fetch embargo data. Status Code: 400, Response: {"error":{"message":"Malformed request payload: Unexpected @odata.type 'DataScope.Select.Api.Extractions.ExtractionRequests.ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest' in payload"}}

Jwan622

that doesn't seem to work. Could you take a look at this code?# Base API URL (Update with the correct endpoint)URL_BASE = "https://selectapi.datascope.refinitiv.com/RestApi/v1"REFINITIV_AUTH_TOKEN = get_cached_refinitiv_auth_token() # Replace with valid authentication tokendef get_embargo_info(ticker="VOD.L"): logger.info(f"Fetching embargo information for {ticker}...") # Construct request payload json_blob = { "ExtractionRequest": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest", "ContentFieldNames": [ "Exchange Code", "File Code", "PE Code", "Real Time Permitted", "Exchange Requiring Embargo", "Embargo Times", "Embargo Window", "Current Embargo Delay", "Maximum Embargo Delay", "Instrument Snap Time", "Last Update Time" ], "IdentifierList": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [{"Identifier": ticker, "IdentifierType": "Ric"}] }, "Condition": {"ScalableCurrency": True} } } # API endpoint for extraction request post_url = f"{URL_BASE}/Extractions/ExtractRaw" # Send the request response = requests.post( post_url, headers={"Authorization": f"Token {REFINITIV_AUTH_TOKEN}", "Content-Type": "application/json"}, json=json_blob ) # Check if request was successful if response.status_code == 200: embargo_data = response.json() logger.info(f"Embargo info retrieved successfully for {ticker}.") return embargo_data else: logger.error(f"Failed to fetch embargo data. Status Code: {response.status_code}, Response: {response.text}") return None# Example callif __name__ == "__main__": embargo_info = get_embargo_info("VOD.L") if embargo_info: print(json.dumps(embargo_info, indent=4))

I am getting this error:

Failed to fetch embargo data. Status Code: 400, Response: {"error":{"message":"Malformed request payload: Unexpected @odata.type 'DataScope.Select.Api.Extractions.ExtractionRequests.ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest' in payload"}}

Jwan622

@Gurpreet that doesn't seem to work. Could you take a look at this code?

import requests


URL_BASE = "https://selectapi.datascope.refinitiv.com/RestApi/v1"
REFINITIV_AUTH_TOKEN = get_cached_refinitiv_auth_token()





def get_embargo_info(ticker="VOD.L"):
logger.info(f"Fetching embargo information for {ticker}...")


# Construct request payload
json_blob = {
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
        "ContentFieldNames": [
            "Exchange Code",
            "File Code",
            "PE Code",
            "Real Time Permitted",
            "Exchange Requiring Embargo",
            "Embargo Times",
            "Embargo Window",
            "Current Embargo Delay",
            "Maximum Embargo Delay",
            "Instrument Snap Time",
            "Last Update Time"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [{"Identifier": ticker, "IdentifierType": "Ric"}]
        },
        "Condition": {"ScalableCurrency": True}
    }
}

# API endpoint for extraction request
post_url = f"{URL_BASE}/Extractions/ExtractRaw"

# Send the request
response = requests.post(
    post_url,
    headers={"Authorization": f"Token {REFINITIV_AUTH_TOKEN}", "Content-Type": "application/json"},
    json=json_blob
)

# Check if request was successful
if response.status_code == 200:
    embargo_data = response.json()
    logger.info(f"Embargo info retrieved successfully for {ticker}.")
    return embargo_data
else:
    logger.error(f"Failed to fetch embargo data. Status Code: {response.status_code}, Response: {response.text}")
    return None



if name == "main":
embargo_info = get_embargo_info("VOD.L")
if embargo_info:
print(json.dumps(embargo_info, indent=4))

Gurpreet

Request:

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
    "ContentFieldNames": [
      "Exchange Code",
      "File Code",
      "PE Code",
      "Real Time Permitted",
      "Exchange Requiring Embargo",
      "Embargo Times",
      "Embargo Window",
      "Current Embargo Delay",
      "Maximum Embargo Delay",
      "Instrument Snap Time",
      "Last Update Time"
    ],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [{
          "Identifier": "VOD.L",
          "IdentifierType": "Ric"
        }
      ]
    },
    "Condition": {
      "ScalableCurrency": "true"
    }
  }
}

Response:

{
  "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Extractions.ExtractionRequests.ExtractionResult",
  "Contents": [{
      "IdentifierType": "Ric",
      "Identifier": "VOD.L",
      "Exchange Code": "LSE",
      "File Code": "691",
      "PE Code": "5625",
      "Real Time Permitted": "N",
      "Exchange Requiring Embargo": "LDI (LSE LEVEL 1 DOMESTIC AND INTERNATIONAL - PDA ONLY), LSE1D (LONDON SE UK MARKET L1), LSE2D (LONDON SE DOMESTIC L1 L2)",
      "Embargo Times": "Monday-Friday 03:00:00 AM-11:30:00 AM",
      "Embargo Window": null,
      "Current Embargo Delay": 0,
      "Maximum Embargo Delay": 15,
      "Instrument Snap Time": "25/02/2025 05:50:30 PM",
      "Last Update Time": "25/02/2025 03:10:37 PM"
    }
  ],
  "Notes": [...]
}

Jirapongse

The code should handle response.status_code == 202 which indicates the the extraction is still in-progress.

Please refer to the REST API Tutorial 3: On Demand intraday extraction, embargo tutorial in the Embargo section.

Jwan622

It's a post request right?

URL_BASE = "https://selectapi.datascope.refinitiv.com/RestApi/v1"
REFINITIV_AUTH_TOKEN = get_cached_refinitiv_auth_token()


def get_intraday_data(ticker: str):
"""
Fetch intraday pricing data for a given ticker.
Logs when request is accepted (202) but does not poll.
Matches the exact request format from the Refinitiv Customer Service Engineer.
"""
logger.info(f"Fetching intraday data for {ticker}...")


# API endpoint (matches Customer Service Engineer's request)
post_url = f"{URL_BASE}/Extractions/ExtractWithNotes"

# Construct request payload
json_blob = {
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.IntradayPricingExtractionRequest",
        "ContentFieldNames": [
            "Exchange Code",
            "File Code",
            "PE Code",
            "Real Time Permitted",
            "Exchange Requiring Embargo",
            "Embargo Times",
            "Embargo Window",
            "Current Embargo Delay",
            "Maximum Embargo Delay",
            "Instrument Snap Time",
            "Last Update Time"
            ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
                "InstrumentIdentifiers": [{
                  "Identifier": "VOD.L",
                  "IdentifierType": "Ric"
                }
            ]
        },
        "Condition": {
            "ScalableCurrency": "true"
        }
    }
}


# Send request
response = requests.post(
    post_url,
    headers={
        "Authorization": f"Token {REFINITIV_AUTH_TOKEN}",
        "Content-Type": "application/json",
        "Prefer": "respond-async"
    },
    json=json_blob
)

# If successful, return the extracted data
if response.status_code == 200:
    intraday_data = response.json()
    logger.info(f"Intraday data retrieved successfully for {ticker}.")
    return intraday_data

# If request is still processing, log and return None
elif response.status_code == 202:
    logger.info(f"Request for {ticker} is being processed (202 Accepted). Data is not yet available.")
    return None

# Log other errors
else:
    logger.error(f"Failed to fetch intraday data for {ticker}. Status Code: {response.status_code}, Response: {response.text}")
    return None


# Example usage:
if __name__ == "__main__":
    intraday_data = get_intraday_data("SPX500")
    if intraday_data:
        print(json.dumps(intraday_data, indent=4))

My response is this:

INFO:main:Fetching intraday data for SPX500...
ERROR:main:Failed to fetch intraday data for SPX500. Status Code: 403, Response: {"error":{"message":"No permission for template "IntradayPricingReportTemplate"."}}

does that mean I have to upgrade my API key?

the whole point of this is to see if I can download the market order book right? Is there a general time of day when the books are all ready for download? Around 6pm EST right? My api key needs to be upgraded to see if I can download the order book it seems right?

Jwan622

I get this resopnse

INFO:main:Fetching intraday data for SPX500...
ERROR:main:Failed to fetch intraday data for SPX500. Status Code: 403, Response: {"error":{"message":"No permission for template "IntradayPricingReportTemplate"."}}

Gurpreet

{"error":{"message":"No permission for template "IntradayPricingReportTemplate"."}}

You will need to speak with your LSEG account manager to get entitlements for these report templates.

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