How to get futures market depth data for DJIA, SP500, and NASDAQ?

Jwan622

This works for 0#1YM: but not for 0#1ES: or 0#1NQ or 0#ES or 0#NQ or 0#.ES

def get_chain_ric_market_depth(futures_ric, query_start_date, query_end_date):
"""
Example futures ric: 0#1YM:
"""
json_blob = {
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": futures_ric,
"IdentifierType": "ChainRIC"
}
]
},
"Condition": {
"View": "RawMarketByPrice",
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"QueryStartDate": query_start_date,
"QueryEndDate": query_end_date,
"DisplaySourceRIC": True
}
}
}
post_url = URL_BASE + "/Extractions/ExtractRaw"
response = requests.post(post_url, headers = {
    "Authorization": f"Token {REFINITIV_AUTH_TOKEN}",
    "Content-Type": "application/json"
}, json = json_blob)




if response.status_code != 200:
    raise ValueError(f"Failed to fetch tick data: {response.status_code} - {response.text}")




job_id = response.json().get("JobId")
if not job_id:
    raise ValueError("No JobId returned. Check request parameters.")




# Fetch extracted data
data_url = f"{URL_BASE}/Extractions/RawExtractionResults('{job_id}')/$value"




data_response = requests.get(data_url, headers = {
    "Authorization": f"Token {REFINITIV_AUTH_TOKEN}"
}, stream = True)




data_response.raise_for_status()




return data_response

How do I get futures market depth data for Nasdaq and S&P?

Jirapongse

@Jwan622

Thank you for reaching out to us.

I checked and found that those chain RICs are invalid.

However, please contact the Tick History support team directly via MyAccount to confirm it and ask for the RICs that can provide the futures market depth data for Nasdaq and S&P.