How to get Treasury Order Book History data? TY not working, neither is ZN

Jwan622

Hi! I'm using DAtascope and this API for chainrics:

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

 # Example usage:
if __name__ == "__main__":

    start_date = "2025-03-27T09:30:00Z"
    end_date = "2025-03-28T09:30:00Z"
    tick_data_chain_ric = get_chain_ric_market_depth("0#TY:", start_date, end_date)
    preview_response(tick_data_chain_ric)

I want order book data for ZN, ZB, ZT, ZF. What can I do? What am I doing wrong? Is this right?

ZB	us treasures bond	0#US:
ZF	us treasuries 5 year t notes	0#FV:
ZN	us treasuries 10 year t notes	0#TY:
ZT	us treasuries 2 year t note	0#TU:

Why do none of them return data?

Jirapongse

@Jwan622

Thank you for reaching out to us.

Not all RICs can provide RawMarketByPrice. I checked that the TYM25 which is a RIC in 0#TY: doesn't support the raw market by price data.

You need to use other views instead.

Jwan622

@Jirapongse So I found it. It works with 0#1TY:. Can you explain why I need the 1?

Jirapongse

@Jwan622

1TYM25 in 0#1TY: supports Market Price and Market By Price data.

Please contact the content support team directly via MyAccount to verify how they are different.