Schedules vs API extract

vivek.arkalgud

I have the following 2 questions.

1. Everyday we run schedule for international pricing at 8.30 am. The file generated is then sent to us through FTP.

We are now trying to extract international pricing using API. The universal closing price, ask price and bid price are different for few assets between file received through FTP and the API extracted data (may be about 10-20 assets out of 1600 assets). Even if I run API extract around 8.35-8.45 still I see difference for a few assets. If I go to datascope and check the price, it is same as what is in the file received through FTP. However if I run API process after 9 am, the prices match. Is there a reason for that?

1. Also can you please let me know what is the difference between the following 2 API calls?

var extractionRequest = new EndOfDayPricingExtractionRequest

{

IdentifierList = SubjectIdentifierList.CreateInstrumentIdentifierList(instrumentIdentifiers, null, false),

ContentFieldNames = new[] { "RIC", "User Defined Identifier", "User Defined Identifier2", "User Defined Identifier3", "Exchange Code", "Exchange Description", "Asset SubType Description", "Asset Type Description", "Ask Price", "Bid Price", "Close Price", "Instrument ID Type", "Instrument ID", "Security Description", "Ticker", "Currency Code", "Currency Code Description", "Currency Code Scaled", "Currency Code Scaled Description", "Asset Status", "Trading Status", "Universal Close Price", "Universal Close Price Date", "Domicile", "Domicile Description" }

};

var extractionRequest = new PremiumEndOfDayPricingExtractionRequest

{

IdentifierList = SubjectIdentifierList.CreateInstrumentIdentifierList(instrumentIdentifiers, null, false),

ContentFieldNames = new[] { "RIC", "User Defined Identifier", "User Defined Identifier2", "User Defined Identifier3", "Exchange Code", "Exchange Description", "Asset SubType Description", "Asset Type Description", "Ask Price", "Bid Price", "Close Price", "Instrument ID Type", "Instrument ID", "Security Description", "Ticker", "Currency Code", "Currency Code Description", "Currency Code Scaled", "Currency Code Scaled Description", "Asset Status", "Trading Status", "Universal Close Price", "Universal Close Price Date", "Domicile", "Domicile Description" }

};

Please note that in the first one I am using EndOfDayPricingExtractionRequest, API call and in the second one I am using PremiumEndOfDayPricingExtractionRequest API call.

Christiaan Meihsl

@vivek.arkalgud,

1. Price match issue

I posted a comment beneath your original query to request additional information.

2. Difference between EoD and premium EoD pricing requests

End of Day Pricing:

Retrieves initial and validated end of day prices for all exchange-traded instruments from the Thomson Reuters real-time network. Non-exchange-traded instruments are sourced from TRPS, as well as from various contributors.

Premium End of Day Pricing:

Retrieves Thomson Reuters validated premium end of day prices. Validated Premium EOD Prices are snapshot at optimal retrieve times to ensure the delivery of the “best” official close prices for global equity, futures & options, money/foreign exchange and fixed income instruments. Premium EOD Pricing extractions can be scheduled to execute at a scheduled time or as a result of data availability.

As can be seen from these 2 definitions, and the highlighted sections, the validation rules for the End of Day pricing differ between the 2 extraction types. The extraction time for Premium EoD prices might also be different, depending on how the schedule was set up (scheduled time or data availability). This implies that the prices can differ slightly.

veerapath.rungruengrayubkul

Hi @vivek.arkalgud

Could you provide more details about the issue, so I can replicate the issue? What is the timezone when you extract data? Can you provide sample of difference, and the request body for on demand extraction request?

vivek.arkalgud

Today (31-Jan-2020) I extracted data at 8.30 am (AEST)

The difference is for the following instrument

sedol=BLZGSL6

Using on demand extraction, I got the following result as shown in row 2.

Using FTP, I got the result as shown in row 3.

However when I run on demand extraction at 10 AM (AEST), I got result as shown in row 3. So for on demand extraction, is there any time delay for obtaining prices?

RICUser Defined IdentifierUser Defined Identifier2User Defined Identifier3Exchange CodeExchange DescriptionAsset SubType DescriptionAsset Type DescriptionAsk PriceAsk Price DateBid PriceBid Price DateClose PriceClose Price DateInstrument ID TypeInstrument IDSecurity DescriptionTickerCurrency CodeCurrency Code DescriptionCurrency Code ScaledCurrency Code Scaled DescriptionAsset StatusTrading StatusUniversal Close PriceUniversal Close Price DateDomicileDomicile DescriptionBLZGSL62439SEDBLZGSL6

RICBLZGSL6

BDMS.BK2439SEDBLZGSL6SETThe Stock Exchange of ThailandOrdinary sharesEquities25.2530012020253001202025.2530012020RICBDMS.BKBANGKOK DUSIT ORDBDMSTHBThai BahtTHBThai BahtISS125.2530012020THThailand

vivek.arkalgud

Sorry. Results are not clear in my previous post.
Basically using on demand at 8.30 am, I did not get any result for sedol=BLZGSL6. However when I ran the same ondemand process at 10.02 am, I got correct result similar to the file we got through FTP from Reuters. So is there any delay in obtaining pricing through on demand?

Christiaan Meihsl

@vivek.arkalgud

For us to investigate your 2 calls, we would need:

• The entire API On Demand request (endpoint and full body of the request). Is it one of the 2 you posted ? If yes, which one are you using: EoD pricing or Premium EoD pricing ?
• The details of the scheduled request (template and schedule); these can be exported to XML files using the GUI.

Please post these, and we can try to find the reason for the difference you observe.