Why does RawMarketByView return data for other LV_DATES than requested?
Jwan622
Newcomer
I am using the RawMarketByPrice view and this API request:
def get_market_depth_using_rics(rics: list[str], query_start_date: str, query_end_date: str, identifier_type: str = "Ric"):
logger.info(f"Fetching tick history for {len(rics)} symbol + exchange combinations from {query_start_date} to {query_end_date}...")
instrument_identifiers = []
for ric in rics:
instrument_identifiers.append({
"Identifier": f"{ric}",
"IdentifierType": identifier_type,
})
logger.debug(f"Instrument identifiers length: {len(instrument_identifiers)}")
json_blob = {
"ExtractionRequest": {
"@odata .type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
"IdentifierList": {
"@odata .type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": instrument_identifiers,
"ValidationOptions": {"AllowHistoricalInstruments": "true"},
"UseUserPreferencesForValidationOptions": "false",
},
"Condition": {
"View": "RawMarketByPrice",
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"DisplaySourceRIC": True,
"DateRangeTimeZone": "UTC",
"QueryStartDate": query_start_date,
"QueryEndDate": query_end_date,
},
}
}
post_url = URL_BASE + "/Extractions/ExtractRaw"
request_response = post_request_with_auth(post_url, get_cached_refinitiv_auth_token(), json_blob)
this is the json_blob in full:
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "GOOG.ARC",
"IdentifierType": "Ric"
},
{
"Identifier": "GOOG.BAT",
"IdentifierType": "Ric"
},
{
"Identifier": "GOOG.DEX",
"IdentifierType": "Ric"
},
{
"Identifier": "GOOG.ITC",
"IdentifierType": "Ric"
},
{
"Identifier": "GOOG.NYO",
"IdentifierType": "Ric"
}
],
"ValidationOptions": {
"AllowHistoricalInstruments": "true"
},
"UseUserPreferencesForValidationOptions": "false"
},
"Condition": {
"View": "RawMarketByPrice",
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"DisplaySourceRIC": true,
"DateRangeTimeZone": "UTC",
"QueryStartDate": "2025-06-10T00:00:00Z",
"QueryEndDate": "2025-06-10T23:59:59.999999Z"
}
}
}
but notice the QueryStartDate and QueryEndDate… that gives me for some reason data that looks like this:
#RIC,Domain,Date-Time,GMT Offset,Type,MsgClass/FID number,UpdateType/Action,FID Name,FID Value,FID Enum String,PE Code,Template Number,Key/Msg Sequence Number,Alias Underlying RIC,Number of FIDs
GOOG.NYO,Market By Price,2025-06-10T00:00:00.000000000Z,-4,Raw,REFRESH,,,,,2508,0,0,,0
,,,,Summary,,,,,,,,,,29
,,,,FID,1,,PROD_PERM,2508,
,,,,FID,3,,DSPLY_NAME,ALPHABET INC C,
,,,,FID,15,,CURRENCY,840,USD
,,,,FID,17,,ACTIV_DATE,2025-06-09,
,,,,FID,198,,LOT_SIZE_A,100,
,,,,FID,259,,RECORDTYPE,113,
,,,,FID,1021,,SEQNUM,18194339,
,,,,FID,1709,,RDN_EXCHD2,518,NY2
,,,,FID,3183,,LIST_MKT,Q,
,,,,FID,3422,,PROV_SYMB,GOOG,
,,,,FID,3423,,PR_RNK_RUL,1,NOR
,,,,FID,3425,,OR_RNK_RUL,2,PTS
,,,,FID,3694,,MNEMONIC,GOOG,
,,,,FID,3984,,TRD_TYPE,C,
,,,,FID,4148,,TIMACT_MS,72000011,
,,,,FID,5357,,CONTEXT_ID,5484,
,,,,FID,6401,,DDS_DSO_ID,8410,
,,,,FID,6480,,SPS_SP_RIC,.[SPSOBKULT01L2,
,,,,FID,6516,,BOOK_STATE,1,N
,,,,FID,6518,,ORD_ENT_ST,2,I
,,,,FID,6519,,MKT_OR_RUL,0,
,,,,FID,6614,,TRD_STATUS,3,S
,,,,FID,6835,,DELBY_DT,,
,,,,FID,8300,,SEE_RIC,,
,,,,FID,9050,,L2_REPR,2,MBP-N,,,,FID,12843,,OR_PRC_BAS,1,PRC
,,,,FID,13490,,ORDBK_DEPH,1,FB,,,,FID,13548,,QTECOND_1,0,,,,,FID,14269,,TIMACT_NS,20:00:00.011002000,
,,,,MapEntry,,ADD,,,,,,167.040000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,13:29:59.619991000,
,,,,FID,6527,,LV_TIM_MS,48599619,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,167.04,
,,,,MapEntry,,ADD,,,,,,184.800000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,13:29:59.619998000,
,,,,FID,6527,,LV_TIM_MS,48599619,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,184.8,
,,,,MapEntry,,ADD,,,,,,160.000000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,10,
,,,,FID,14268,,LV_TIM_NS,13:30:00.030936000,
,,,,FID,6527,,LV_TIM_MS,48600030,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,160,
,,,,MapEntry,,ADD,,,,,,167.010000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,13:30:00.085976000,
,,,,FID,6527,,LV_TIM_MS,48600085,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,167.01,
,,,,MapEntry,,ADD,,,,,,167.140000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,13:30:00.411346000,
,,,,FID,6527,,LV_TIM_MS,48600411,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,167.14,
,,,,MapEntry,,ADD,,,,,,155.000000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,C,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,19:59:48.241106000,
,,,,FID,6527,,LV_TIM_MS,71988241,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,155,
,,,,MapEntry,,ADD,,,,,,165.000000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,13:30:02.160954000,
,,,,FID,6527,,LV_TIM_MS,48602160,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,165,
,,,,MapEntry,,ADD,,,,,,180.000000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,C,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,200,
,,,,FID,14268,,LV_TIM_NS,19:59:52.027757000,
,,,,FID,6527,,LV_TIM_MS,71992027,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,180,
,,,,MapEntry,,ADD,,,,,,166.000000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,200,
,,,,FID,14268,,LV_TIM_NS,13:30:02.189755000,
,,,,FID,6527,,LV_TIM_MS,48602189,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,166,
,,,,MapEntry,,ADD,,,,,,158.890000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,10,
,,,,FID,14268,,LV_TIM_NS,13:30:07.022043000,
,,,,FID,6527,,LV_TIM_MS,48607022,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,158.89,
,,,,MapEntry,,ADD,,,,,,178.000000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,C,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,7,
,,,,FID,14268,,LV_TIM_NS,19:59:49.894664000,
,,,,FID,6527,,LV_TIM_MS,71989894,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,178,
,,,,MapEntry,,ADD,,,,,,186.500000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,14:09:46.570243000,
,,,,FID,6527,,LV_TIM_MS,50986570,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,186.5,
,,,,MapEntry,,ADD,,,,,,186.510000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,14:09:46.571494000,
,,,,FID,6527,,LV_TIM_MS,50986571,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,186.51,
,,,,MapEntry,,ADD,,,,,,178.880000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,500,
,,,,FID,14268,,LV_TIM_NS,14:55:22.064345000,
,,,,FID,6527,,LV_TIM_MS,53722064,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,178.88,
,,,,MapEntry,,ADD,,,,,,179.000000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,300,
,,,,FID,14268,,LV_TIM_NS,15:43:18.137624000,
,,,,FID,6527,,LV_TIM_MS,56598137,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,179,
,,,,MapEntry,,ADD,,,,,,177.920000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,C,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,7,
,,,,FID,14268,,LV_TIM_NS,19:59:59.001038000,
,,,,FID,6527,,LV_TIM_MS,71999001,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,177.92,
,,,,MapEntry,,ADD,,,,,,178.610000A,,8
,,,,FID,3428,,ORDER_SIDE,2,ASK
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,300,
,,,,FID,14268,,LV_TIM_NS,19:55:01.812225000,
,,,,FID,6527,,LV_TIM_MS,71701812,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,178.61,
,,,,MapEntry,,ADD,,,,,,170.000000B,,8
,,,,FID,3428,,ORDER_SIDE,1,BID
,,,,FID,11692,,OR_UDT_RSN,O,
,,,,FID,3430,,NO_ORD,1,
,,,,FID,4356,,ACC_SIZE,100,
,,,,FID,14268,,LV_TIM_NS,19:57:37.134278000,
,,,,FID,6527,,LV_TIM_MS,71857134,
,,,,FID,6529,,LV_DATE,2025-06-09,
,,,,FID,3427,,ORDER_PRC,170,
,,,,MapEntry,,ADD,,,,,,176.900000B,,8
How do I query this endpoint to just get data from the 10th? The LV_DATE is what says when that data (an ADD, DELETE, or UPDATE) occurred right?
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