Question on DSS Time Series Extraction API

soyarlagadda

Hi We are trying to use timeSeries DSS API to get previous days high and close.

In the document it has

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.put("Condition",

new JSONObject().put("LastPriceOnly", false)

.put("StartDate", "2015-10-28T00:00:00.000Z")

.put("EndDate", "2015-11-04T00:00:00.000Z").put("LookBackPeriod", "EOD-4M")));

Questions:

1. Start and End date are in EST ?

2. If we want to get high/low between previous day Open and Close market what dates should we specify.

3. What is EOD-4M mean?

veerapath.rungruengrayubkul

Hi @soyarlagadda,

I think EOD Pricing is more suitable than Timeseries. The EOD Pricing provides initial and validated end of day prices. It normally provides end of day prices for the previous trading day. You can use the "High Price" and "Low Price" fields to get high and low for the previous trading day. For more information, please see REST API Tutorial 2: On Demand End of Day Extraction

With regard to your questions:

The Start and End date should be date in instrument's exchange.

According to the LookBackPeriod description, the Lookback is added to the Price date. That means if you selected January 2, 2016 as your Price Date and 4 months as your Lookback, DataScope Select would look back as far as September 2, 2015 if null prices were reported for the instruments on January 2, 2016

soyarlagadda

Thanks for the help. What is the time zone, EST ?

veerapath.rungruengrayubkul

https://community.developers.refinitiv.com/discussion/comment/31904#Comment_31904

The Start and End date are just dates. These fields are used for specifying range of which trading day, the historical prices are extracted for, so they do not depend on time zone.

soyarlagadda

Thank you for the help.

Today we have extracted EOD Extraction and found this discrepancy.

For AUD, it looks like AUD -> USD rate

However, for CAD it is USD - > CAD rate

How do we identify which is inverse?

{"IdentifierType":"Ric","Identifier":"AUD=","Ask Price":0.7185,"Asset Category":"SPO","Asset Category Description":"Spot","Asset Status":"ISS","Asset Status Description":"Issued","Bid Price":0.718,"Common Code":null,"CUSIP":null,"Exchange Code":"RCT","Exchange Description":"SOURCE IS A THOMSON REUTERS CONTRIBUTOR","Expiration Date":null,"High Price":0.7196,"ISIN":null,"Issuer OrgID":null,"Low Price":0.7139,"Mid Price":0.71825,"Official Close Price":null,"Open Price":0.7149,"Previous Close Price":null,"RIC":"AUD=","Ticker":null,"Trade Date":"2018-09-17","Trading Symbol":null,"Universal Close Price":0.718,"Volume":null}

{"IdentifierType":"Ric","Identifier":"CAD=","Ask Price":1.3046,"Asset Category":"SPO","Asset Category Description":"Spot","Asset Status":"ISS","Asset Status Description":"Issued","Bid Price":1.3042,"Common Code":null,"CUSIP":null,"Exchange Code":"RCT","Exchange Description":"SOURCE IS A THOMSON REUTERS CONTRIBUTOR","Expiration Date":null,"High Price":1.3048,"ISIN":null,"Issuer OrgID":null,"Low Price":1.2997,"Mid Price":1.3044,"Official Close Price":null,"Open Price":1.3034,"Previous Close Price":null,"RIC":"CAD=","Ticker":null,"Trade Date":"2018-09-17","Trading Symbol":null,"Universal Close Price":1.3042,"Volume":null}

veerapath.rungruengrayubkul

@soyarlagadda

I'm not sure if I understand your question correctly. If you want to identify currency pair of the RICs, you can use the "Base Currency Code" and "Currency Code" fields.

If you want other RICs providing inverse currency pair, you can use <USDAUD=R> for USD->AUD cross rate and <CADUSD=R> for CAD->USD cross rate.

You can also search for RICs using the RIC Search Tool.

Hope this helps.