Can TRTHv2 API perform multiple extraction request based on Input parameter?

we have two users who have a unique requirement :

  • They have a dynamic list of instruments (instruments covers globally) along placement/execution date and time, each instrument will have different date and time and would be for a different market.
  • They just want to extract just the quote BID/ASK/MID or Trade price for that given instrument for that specific trade date and time.


SM_SEC_TYPE
EXECUTION_TIME
TRD_TRADE_DATE
DESC_INSTMT
SEC_DESC1
RED_CODE
SEC_DESC2
CUSIP
SEDOL
ISIN


TBILL
08:19.0
01/08/2018
TREASURY BILL
TREASURY BILL
NULL
NULL
912796NV7
BD5YGX2
US912796NV77


TBILL
55:04.0
11/09/2018
TREASURY BILL
TREASURY BILL
NULL
NULL
912796NV7
BD5YGX2
US912796NV77


TBILL
44:51.0
11/09/2018
TREASURY BILL
TREASURY BILL
NULL
NULL
912796NV7
BD5YGX2
US912796NV77


TBILL
08:21.0
01/08/2018
TREASURY BILL
TREASURY BILL
NULL
NULL
912796PU7
BFX74C2
US912796PU76

Can this be extracted using Rest API ?

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    @vinaya,

    In a nutshell

    As I see, what you seek is 2 things:

    • A multi instrument request, but not all instruments in the same time range. This is possible.
    • A request for a point in time. This does not exist.

    In more detail

    There is no API call in TRTH for extracting a single price for a specific point in time, be it for one or more instruments.

    It is possible to make a query (for this use case it would be a Tick History Time and Sales) for multiple instruments, each with its own date/time range. It is not possible to specify a point in time; it must be a range (i.e. use a start and end time). This is described on page 6 of the TRTH 12.1 Release notes.

    Here is a sample query illustrating the required syntax:

    {
    "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
    "ContentFieldNames": [ "Quote - Bid Size", "Quote - Bid Price", "Quote - Ask Size", "Quote - Ask Price" ],
    "IdentifierList": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
    "InstrumentIdentifiers": [
    { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
    "Identifier": "VOD.L", "IdentifierType": "Ric",
    "RangeStart": "2018-10-25T10:08:53.000Z", "RangeEnd": "2018-10-25T10:08:54.000Z" },
    { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
    "Identifier": "CARR.PA", "IdentifierType": "Ric",
    "RangeStart": "2018-10-26T10:09:52.000Z", "RangeEnd": "2018-10-26T10:09:55.000Z" },
    { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
    "Identifier": "ALVG.DE", "IdentifierType": "Ric",
    "RangeStart": "2018-10-24T14:21:56.000Z", "RangeEnd": "2018-10-24T14:21:57.000Z" }
    ],
    "ValidationOptions": { "AllowHistoricalInstruments": true },
    "UseUserPreferencesForValidationOptions" : false
    },
    "Condition": {
    "MessageTimeStampIn": "LocalExchangeTime",
    "TimeRangeMode": "Inclusive",
    "ApplyCorrectionsAndCancellations": false,
    "ReportDateRangeType": "PerIdentifier",
    "DisplaySourceRIC": true
    }
    }
    }

    Response:

    #RIC,Alias Underlying RIC,Domain,Date-Time,Type,Bid Price,Bid Size,Ask Price,Ask Size
    ALVG.DE,,Market Price,2018-10-24T16:21:56.875440171+02,Quote,184.42,75,184.48,333
    ALVG.DE,,Market Price,2018-10-24T16:21:56.875440171+02,Quote,184.42,176,184.48,333
    ALVG.DE,,Market Price,2018-10-24T16:21:56.999746071+02,Quote,184.42,226,184.48,333
    VOD.L,,Market Price,2018-10-25T11:08:53.208974278+01,Quote,145.9,8122,145.94,2143

    Note: the extraction will only return the data available in the specified range. If the range is very short or the instrument illiquid, the result set might be empty (as is the case for CARR.PA in the above example). A trade off must therefore be found between the range size (the larger, the greater the probability of receiving a result) and the volume of data you must treat after retrieval, taking instrument volatility into account.

    Consequence: you must make your own algorithm and code to select from the results the data closest to the point in time you are interested in.

    Important caveat: this feature is currently in EAP (Early Access Program). If you are not entitled to it, you will receive an error message: "Not authorized to perform extraction with ReportDateRangeType set to PerIdentifer.". If you are interested in this feature, contact your account manager.