How to get RIC reference data as of some date

dwilson
dwilson Newcomer
in TRTH

I am sending this request:

{
"ExtractionRequest" : {
"@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
"Condition" : {
"EndDate" : "2017-07-24T23:59:59.999Z",
"StartDate" : "2017-07-24T00:00:00.000Z"
},
"ContentFieldNames" : [
"RIC",
"Security Description",
"Currency Code",
"Expiration Date",
"PE Code",
"Underlying RIC"
],
"IdentifierList" : {
"@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers" : [
{
"Identifier" : "YBAH0",
"IdentifierType" : "Ric"
},
{
"Identifier" : "YBAH1",
"IdentifierType" : "Ric"
},
{
"Identifier" : "YBAH2",
"IdentifierType" : "Ric"
}
],
"UseUserPreferencesForValidationOptions" : false,
"ValidationOptions" : {
"AllowHistoricalInstruments" : false
}
}
}
}

Part of the result I get is:

{
"Currency Code" : "AUD",
"Expiration Date" : "2020-03-12",
"Identifier" : "YBAH0",
"IdentifierType" : "Ric",
"PE Code" : "6571",
"RIC" : "YBAH0",
"Security Description" : "BANK BILL MAR0",
"Underlying RIC" : "AU3MEBBR="
},
{
"Currency Code" : "AUD",
"Expiration Date" : "2010-03-11",
"Identifier" : "YBAH0",
"IdentifierType" : "Ric",
"PE Code" : "3963",
"RIC" : "YBAH0^1",
"Security Description" : "BANK BILLS MAR0",
"Underlying RIC" : "AU3MEBBR="
},

I just want the RICs asof the day I requested...why do I get (and what is) Ric "YBAH0^1" (and others with "^1" on the end)?

If I change the date to several years in the past, I get all null fields...how do I get past data?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭
    Answer ✓

    YBAH0^1 is the RIC for the Bank Bills future contract expired on 2010-03-11. Futures contracts RICs are recycled. As of today the RIC YBAH0 refers to the contract expiring on 2020-03-12. However prior to 2010-03-11 that same RIC YBAH0 referred to the contract expiring on 2010-03-11. After expiration futures RICs are renamed by adding "^" + single digit corresponding to the decade of the contract expiration year. So, the RIC for expired future is constructed as: RIC root + the letter identifying expiration month + the last digit of the expiration year + caret symbol + the second to last digit of the expiration year. E.g. the RIC for YBA future that expired in December 2015 is YBAZ5^1.
    I hope this helps.

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