How can you schedule an Elektron Timeseries Report to always run for previous day?

I need to schedule daily reports that given an option chain RIC, expand it and retrieve EOD Data for each RIC. Afterwards I would retrieve the extracted files via API.

Previously, with TRTHv1 I would have "EOD" or "EOD (from Real Time)" fields in my reports. In TRTH v2 this format is not supported so I should use Elektron Timeseries to get EOD data (that's what they say in the "THTR v1 vs. v2 comparison" doc).

However when trying to set up my report with the fields I want in TRTHv2 I'm only given the option of specifying a "Timeseries Date Range" not a "Schedule Delta Query" that allows you to specify from "x days ago" instead of a range (from date x to date y).

How can you configure the schedule (Elektron Timseries report) so it runs daily to obtain the previous EOD data?

If not possible, is there any other report you can use with EOD and EOD(from RT), instead of Elektron Timeseries?

Thanks

Find more posts tagged with

elektron

derivatives

pricing

elektron-sdk

refinitiv-realtime

Accepted answers

zoya faberov

The new Query
Time Zone and Relative Query capabilities
are available for Tick History Time and Sales, Market Depth, Intraday
Summaries, and Raw extractions,

Thus, you will not be able to schedule a relative query for EOD template, you are correct.

One way I can see to proceed with EOD template, is to schedule 7 weekly extraction schedules, repeating, for every day of the week.

All comments

zoya faberov

The new Query
Time Zone and Relative Query capabilities
are available for Tick History Time and Sales, Market Depth, Intraday
Summaries, and Raw extractions,

Thus, you will not be able to schedule a relative query for EOD template, you are correct.

One way I can see to proceed with EOD template, is to schedule 7 weekly extraction schedules, repeating, for every day of the week.

alvaro.canencia

Thanks @zoya.farberov

With your way I'd need to set the dates in those schedules manually and change them every week, wouldn't I?

Right now I'm trying with on demand schedules but it takes much longer (send request with right dates, wait for extraction to be completed and download files) than having the report scheduled through the GUI and retrieving them later.

Since it was available before, do you have any insight of why the relative query capability was removed? Any plans to add it again on the near future?

alvaro.canencia

@zoya.farbero,

Would it be possible to create the Elektron Time Series schedule in the GUI:

Using a far end date (e.g. 31-Dec-2018) and start date a couple of days ago. If the end date is in the future in the extraction file you don't get rows with future dates and empty data (you don't get any row for this dates). Thus without modifying the schedule I'd be obtaining daily a file that would become progressively larger (because start date remains fixed) but always provides yesterday's EOD prices. An once in a while I could modify the start date to a more recent one to avoid retrieving unnecessary data (or files that are too large)
When you create a schedule in the GUI, how can I modify it programatically via the API? Is it possible?

zoya faberov

Hello @alvaro.canencia,

1. Yes, not efficient, as you correctly note, but you may be able to proceed this way by supplying a wider range.

2. Yes, you can update your schedule via API request, please see in reference

Extractions/Schedules - Update

alvaro.canencia

Hi @zoya.farberov, I've used the docs for an ElektronTimeSeries template. I can't get the put request right, I keep getting this error in the response:

Error ID: [72bb5a89-042e-4d8a-b46c-6f14930c14b6]

The request url is easy but I can't get the req body right... Firstly because if I just specify what I want to change (i.e. "Condition": {"EndDate":"2017-10-20T10:48:32.706Z", "StartDate": "2017-10-10T10:48:32.706Z",}) it gives me an error asking for the "name" of the template. If I include the name I get the error.

And in the GUI it is a post (not put) request for this same action, why?

zoya faberov

Hello @alvaro.canencia,

Are you seeing this error on report template creation,

or when you schedule your extraction?

If on creation, please paste the complete creation request, for example:

  {
  "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ReportTemplates.TickHistoryTimeAndSalesReportTemplate",
  "ShowColumnHeaders": false,
  "Name": "myTandSTemplateName",
  "Headers": [],
  "Trailers": [],
  "ContentFields": [
    {
      "FieldName": "Quote - Ask Price"
    },
    {
      "FieldName": "Quote - Ask Size"
    },
    {
      "FieldName": "Quote - Bid Price"
    },
    {
      "FieldName": "Quote - Bid Size"
    },
    {
      "FieldName": "Quote - Exchange Time"
    }
  ],
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ApplyCorrectionsAndCancellations": false,
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2016-09-29T15:15:00.000Z",
      "QueryEndDate": "2016-09-29T15:45:00.000Z"
    }

alvaro.canencia

Hi @zoya.farverov

No, I'm trying to update (end and start dates) for an Elektron Time Series template that I already created in the GUI

with the following url, headers and body for a put request

https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ElektronTimeseriesReportTemplates('0x05e757e700cb2f86')
{'Authorization': 'token _Ff25nnC7zx4Jru9F5w87qTzCB6jzxeNnC51RPUuMdVVO8KJ9lKiZdLN--JKA3sdqRowUEUn1dgFhx9WRkXRlnVtF38SjL03ieWwUERVdY6irR4D6zsHi8VEP-Dh9DSu9_oWp0AB8_8imcSLYy61QThiL0jbAwYQBB11tLURXwf3X04Ft_-vkDCEd8os9jmv6jaQqfCZvCPs0ubs8o0MOuHOtZDwkFtKNr3ujTWtVMv-3Re_A6ToVus2AFnVvASkHcol3yIBJyZ8OIBUTe8n3LE5r_dT0HjIIiswI_GNrUcw', 'Prefer': 'respond-async', 'Content-Type': 'application/json'}
{'Name': '1st_week_oct', 'Condition': {'EndDate': '2017-10-20T10:48:32.706Z', 'StartDate': '2017-10-10T10:48:32.706Z'}}

zoya faberov

Hi @alvaro.canencia,

I think the issue is that ContentFields are required.

This PUT request works for me:

  {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ReportTemplates.ElektronTimeseriesReportTemplate",
    "Name": "MyReportTemplate",
    "ContentFields": [
        {
            "FieldName": "Ask",
            "Format": null
        }
      ],
    "Condition": {
        "StartDate": "2016-12-01T13:00:00.000Z",
        "EndDate": "2016-12-01T13:05:00.000Z"
    }
}

but without ContentFields it results in an error

EXPLORE OUR SITES