For schedule extraction, is it possible to create a template (or is there a standard template ?) ...

For schedule extraction, is it possible to create a template (or is there a standard template ?) which will generate the data file in exact same format as the VBD files?

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tick-history-rest-api

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Accepted answers

Jirapongse

I think it is possible. For example, for NORMALIZEDLL2 file type, you can use the Market Depth report (TickHistoryMarketDepthExtractionRequest) with Extractions/ExtractRaw.

The following is a result from the extraction.

#RIC,Domain,Date-Time,Type,L1-BidPrice,L1-BidSize,L1-BuyNo,L1-AskPrice,L1-AskSize,L1-SellNo,L2-BidPrice,L2-BidSize,L2-BuyNo,L2-AskPrice,L2-AskSize,L2-SellNo,L3-BidPrice,L3-BidSize,L3-BuyNo,L3-AskPrice,L3-AskSize,L3-SellNo,L4-BidPrice,L4-BidSize,L4-BuyNo,L4-AskPrice,L4-AskSize,L4-SellNo,L5-BidPrice,L5-BidSize,L5-BuyNo,L5-AskPrice,L5-AskSize,L5-SellNo,L6-BidPrice,L6-BidSize,L6-BuyNo,L6-AskPrice,L6-AskSize,L6-SellNo,L7-BidPrice,L7-BidSize,L7-BuyNo,L7-AskPrice,L7-AskSize,L7-SellNo,L8-BidPrice,L8-BidSize,L8-BuyNo,L8-AskPrice,L8-AskSize,L8-SellNo,L9-BidPrice,L9-BidSize,L9-BuyNo,L9-AskPrice,L9-AskSize,L9-SellNo,L10-BidPrice,L10-BidSize,L10-BuyNo,L10-AskPrice,L10-AskSize,L10-SellNo
CARR.PA,Market Price,2016-09-29T09:00:00.080654948Z,Normalized LL2,23.36,445,2,23.37,736,2,23.355,1632,7,23.375,1549,4,23.35,3416,8,23.38,1924,7,23.345,2933,8,23.385,1741,5,23.34,2601,7,23.39,2878,8,23.335,1167,4,23.395,5519,10,23.33,9804,2,23.4,2818,8,23.325,6437,3,23.405,2900,7,23.32,177,1,23.41,2945,7,23.315,884,4,23.415,3142,9

All comments

Jirapongse

I think it is possible. For example, for NORMALIZEDLL2 file type, you can use the Market Depth report (TickHistoryMarketDepthExtractionRequest) with Extractions/ExtractRaw.

The following is a result from the extraction.

#RIC,Domain,Date-Time,Type,L1-BidPrice,L1-BidSize,L1-BuyNo,L1-AskPrice,L1-AskSize,L1-SellNo,L2-BidPrice,L2-BidSize,L2-BuyNo,L2-AskPrice,L2-AskSize,L2-SellNo,L3-BidPrice,L3-BidSize,L3-BuyNo,L3-AskPrice,L3-AskSize,L3-SellNo,L4-BidPrice,L4-BidSize,L4-BuyNo,L4-AskPrice,L4-AskSize,L4-SellNo,L5-BidPrice,L5-BidSize,L5-BuyNo,L5-AskPrice,L5-AskSize,L5-SellNo,L6-BidPrice,L6-BidSize,L6-BuyNo,L6-AskPrice,L6-AskSize,L6-SellNo,L7-BidPrice,L7-BidSize,L7-BuyNo,L7-AskPrice,L7-AskSize,L7-SellNo,L8-BidPrice,L8-BidSize,L8-BuyNo,L8-AskPrice,L8-AskSize,L8-SellNo,L9-BidPrice,L9-BidSize,L9-BuyNo,L9-AskPrice,L9-AskSize,L9-SellNo,L10-BidPrice,L10-BidSize,L10-BuyNo,L10-AskPrice,L10-AskSize,L10-SellNo
CARR.PA,Market Price,2016-09-29T09:00:00.080654948Z,Normalized LL2,23.36,445,2,23.37,736,2,23.355,1632,7,23.375,1549,4,23.35,3416,8,23.38,1924,7,23.345,2933,8,23.385,1741,5,23.34,2601,7,23.39,2878,8,23.335,1167,4,23.395,5519,10,23.33,9804,2,23.4,2818,8,23.325,6437,3,23.405,2900,7,23.32,177,1,23.41,2945,7,23.315,884,4,23.415,3142,9

mritunjay.sharma

Thank you for your response. Could you please tell me the same about the NORMALIZEDMP file type? Appreciate your help.

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