Guidance on Retrieving Tick-by-Tick Data for Each DAX Futures Contract Since 2010
Dear Team !
I am trying to retrieve tick-by-tick data for each individual DAX Futures contract since 2010 using my Tick History subscription. My goal is to extract the data for each contract (e.g., March, June, September, December expirations for each year). Then I will handle the rollovers manually.
I have encountered some challenges with RIC identification and API endpoints, and I would appreciate your guidance.
- What is the correct RIC format for individual DAX Futures contracts (standard, not Mini) in Tick History? How can I differentiate between contracts with the same RIC (e.g., FDXM8 for 2008 vs. 2018)?
- Can I use the chain RIC <0#FDX:> to list all historical DAX Futures contracts since 2010? If so, how can I retrieve the specific RICs and their expiration dates?
- Could you provide a sample API request (or Python code snippet) to extract tick-by-tick data for a specific DAX Futures contract, such as the June 2018 contract?
Thanks a lot, and have a nice week-end !
Best Answer
-
Thank you for reaching out to us.
What is the correct RIC format for individual DAX Futures contracts (standard, not Mini) in Tick History? How can I differentiate between contracts with the same RIC (e.g., FDXM8 for 2008 vs. 2018)?
As far as I know, FDXM8 can be used for both 2008-06-20 and 2018-06-15.
You can use the HistoricalReferenceExtractionRequest with the Extractions/ExtractWithNotes to verify it.
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
"ContentFieldNames": [
"RIC",
"Expiration Date"
],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "FDXM8",
"IdentifierType": "Ric"
}
],
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"ReportDateRangeType": "Range",
"QueryStartDate": "2008-01-01",
"QueryEndDate": "2020-05-31"
}
}
}The output is:
{
"IdentifierType": "Ric",
"Identifier": "FDXM8",
"RIC": "FDXM8^0",
"Expiration Date": "2008-06-20"
},
{
"IdentifierType": "Ric",
"Identifier": "FDXM8",
"RIC": "FDXM8^0",
"Expiration Date": "2008-06-20"
},
{
"IdentifierType": "Ric",
"Identifier": "FDXM8",
"RIC": "FDXM8^0",
"Expiration Date": "2008-06-20"
},
{
"IdentifierType": "Ric",
"Identifier": "FDXM8",
"RIC": "FDXM8^1",
"Expiration Date": "2018-06-15"
}Can I use the chain RIC <0#FDX:> to list all historical DAX Futures contracts since 2010? If so, how can I retrieve the specific RICs and their expiration dates?
You can use the Search/HistoricalChainResolution endpoint to resolve this chain RIC in the specified period. For exam
{
"Request": {
"ChainRics": [
"0#FDX:"
],
"Range": {
"Start": "2010-01-01T00:00:00.000Z",
"End": "2025-01-01T00:00:00.000Z"
}
}
}Could you provide a sample API request (or Python code snippet) to extract tick-by-tick data for a specific DAX Futures contract, such as the June 2018 contract?
Typically, you can specify the QueryStartDate and QueryEndDate properties in the extraction request. For example:
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Trade - Price",
"Trade - Volume",
"Trade - Exchange Time"
],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "FDXM8",
"IdentifierType": "Ric"
}
],
"ValidationOptions": {
"AllowHistoricalInstruments": true
}
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ApplyCorrectionsAndCancellations": false,
"ReportDateRangeType": "Range",
"QueryStartDate": "2008-01-01T00:00:00.000Z",
"QueryEndDate": "2008-08-29T12:00:00.000Z",
"DisplaySourceRIC": true
}
}
}As this forum is more for programming type queries, rather than content queries - I would recommend you raise a 'I need help understanding content within the product' ticket with our helpdesk. That way a Content specialist can work closely with you and verify the assumption.
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