How to get time and sales data for inactive instrument

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sdelalay
sdelalay Newcomer
in TRTH

I'm trying to get data for ESZ6^1. I managed to validate the ticker using Extractions/InstrumentListValidateIdentifiersWithOptions and passing true to AllowHistoricalInstruments and AllowInactiveInstruments. Note that if false is passed to AllowInactiveInstruments, the ticker is not validated.

I then submit the following payload to https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw from Python (hence the True/False format):

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{

"ExtractionRequest": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",

"ContentFieldNames": [

"Trade - Price",

"Trade - Volume",

"Trade - Exchange Time",

],

"IdentifierList": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",

"InstrumentIdentifiers": [{

"Identifier": "ESZ6^1",

"IdentifierType": "Ric"

}],

"ValidationOptions":{

"AllowHistoricalInstruments":True

}

},

"Condition": {

"MessageTimeStampIn": "GmtUtc",

"ApplyCorrectionsAndCancellations":False,

"ReportDateRangeType": "Range",

"QueryStartDate": "2016-11-09T15:00:00.000Z",

"QueryEndDate": "2016-11-09T15:10:00.000Z",

"DisplaySourceRIC":True

}

}

}

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Extraction Services Version 11.1.37014 (36b953b5a32e), Built Jul 5 2017 20:14:02

User ID: xxxxxxx

Extraction ID: 2000000001422222

Schedule: 0x05d279ffc43b2f96 (ID = 0x0000000000000000)

Input List (1 items): (ID = 0x05d279ffc43b2f96) Created: 2017-08-05 17:59:21 Last Modified: 2017-08-05 17:59:21

Report Template (3 fields): _OnD_0x05d279ffc43b2f96 (ID = 0x05d27a00039b2f96) Created: 2017-08-05 17:59:16 Last Modified: 2017-08-05 17:59:16

Schedule dispatched via message queue (0x05d279ffc43b2f96)

Schedule Time: 2017-08-05 17:59:18

Processing started at 2017-08-05 17:59:19

Processing completed successfully at 2017-08-05 17:59:21

Extraction finished at 2017-08-05 17:59:21 UTC, with servers: x04q13

Instrument <RIC,ESZ6^1> expanded to 0 RICS.

Report suppressed because there are no instruments

@odata.context : https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#RawExtractionResults/$entity

JobId : 0x05d279ffc43b2f96

When I do it with an active instrument, say ESU7, I get the location of the results in the response's headers. But with ESZ6^1 no location is returned. How should I proceed to get the data for ESZ6^1?

Thanks

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Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    @sdelalay

    The ESZ6^1 is a delisted RIC where "^" is added after an original RIC once a RIC is delisted from exchange. The delisted syntax makes it easier to spot
    delisted RICs as well as make the original RIC available for reuse.

    To get historical data, the original RIC, ESZ6, needs to be used for extraction request instead.

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