historical bond prices via DSS Python (REST) API

lhougaard1
lhougaard1 Newcomer
in DSS

I want to extract historical bond prices (clean, and dirty), yields and bpv for US treasury bonds, (example RIC='9128286H8=') via the DSS Python API - using the Elektron Time Series template:

"https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/GetValidContentFieldTypes(ReportTemplateType=ThomsonReuters.Dss.Api.Extractions.ReportTemplates.ReportTemplateTypes'ElektronTimeseries')

I have browsed through the different fields, and tried: "Ask", "Bid", "Universal Ask", "Universal Bid", "Yield", "Close Yield", "Last". But all these fields returns None.

Question 1: Is it possible to extract historical bond prices (clean, and dirty), yields and bpv for US treasury bonds via DSS Python API?

Question 2: If yes, which fields do I need to request?

Question 3:If no, can I use another DSS template to obtain these data?

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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello @lhougaard1,

    I have tested ElektronTimeSeries via on-demand request via Postman (quickest to test, but should yield exact same result in Python):

    {
       "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
        "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
          "InstrumentIdentifiers": [
            { "Identifier": "9128286H8=", "IdentifierType": "Ric" }
          ]
        },
       "Condition": {
                "ReportDateRangeType": "Range",
                "QueryStartDate": "2020-10-01T00:00:00.000Z",
                "QueryEndDate": "2020-12-02T00:00:00.000Z"
            }
      }
    }

    My response contained valid data points:

    ...
    {
        "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult",
        "Contents": [
            {
                "IdentifierType": "Ric",
                "Identifier": "9128286H8=",
                "RIC": "9128286H8=",
                "Ask": 103.26953125,
                "Bid": 103.24609375,
                "Trade Date": "2020-10-01"
            },
            {
                "IdentifierType": "Ric",
                "Identifier": "9128286H8=",
                "RIC": "9128286H8=",
                "Ask": 103.24609375,
                "Bid": 103.22265625,
                "Trade Date": "2020-10-02"
            },
    ...

    Yes, using Python you should get the exact same result, if your user id is permissioned to request this template. Please try the above on-demand request, you can download RTH Python Code Examples and replace the request in OnDemand example with this request or your required request.

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