TRTH problem with downloading history

s61670

Using an API example to access Tick History

For example: RIC ESH1 (raw market-by-price)

2.PNG

This RIC is downloaded from 2019-12-08T18:15:05.276094674Z to 2020-06-22T01:31:19.090208460Z

I do not understand why RIC is not downloaded on the current date, since RIC is valid, traded on the exchange.

Why can't I download until 2021.03.05?

Help me with this, please.

code:

using System;
using System.Linq;
using System.Diagnostics;
using System.IO;
using ThomsonReuters.Dss.Api.StandardExtractions;
using ThomsonReuters.Dss.Api;
using ThomsonReuters.Dss.Api.Content;
using ThomsonReuters.Dss.Api.Extractions;
using ThomsonReuters.Dss.Api.Extractions.ExtractionRequests;
using ThomsonReuters.Dss.Api.Extractions.ReportExtractions;
using ThomsonReuters.Dss.Api.Extractions.ReportTemplates;
using ThomsonReuters.Dss.Api.Extractions.Schedules;
using ThomsonReuters.Dss.Api.Extractions.SubjectLists;
using ThomsonReuters.Dss.Api.Search;
using ThomsonReuters.Dss.Core.RestApi;

namespace RefinitivHistoryTesting
{
    class Program
    {
        static void Main(string[] args)
        {
            //-----------------------------------------------------------------
            //Connect and authenticate to the DSS server:
            //-----------------------------------------------------------------
            Uri dssUri = new Uri("https://hosted.datascopeapi.reuters.com/RestApi/v1/");
            string dssUserName = "*****";
            string dssUserPassword = "******";

            var out_dir = @.\Storage\;
            var SearchContext = new SearchContext(dssUri, dssUserName, dssUserPassword);
            var ExtractionsContext = new ExtractionsContext(dssUri, dssUserName, dssUserPassword);
            var availableMbPFields = ExtractionsContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistoryRaw);
            var availableTnSFields = ExtractionsContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistoryTimeAndSales);


            ExtractionsContext.Options.AutomaticDecompression = true;

            var dateRange = DateTimeRange.Create(
                new DateTimeOffset(2008, 01, 01, 0, 0, 0, TimeSpan.Zero),
                new DateTimeOffset(2020, 12, 22, 0, 0, 0, TimeSpan.Zero));

            var request = new HistoricalChainResolutionRequest
            {
                ChainRics = new[] { "0#ESH1" },//{ "0#1URO:" },
                Range = dateRange
            };

            var chain_results = SearchContext.HistoricalChainResolution(request);
            foreach (var chain in chain_results)
            {
                Console.WriteLine("Chain Identifier: {0} {1}, Constituents: {2}", chain.IdentifierType, chain.Identifier, chain.Constituents.Count());
                foreach (var constituent in chain.Constituents)
                {
                    var searchResults = SearchContext.HistoricalSearch(
                        HistoricalSearchRequest.Create(
                            constituent.Identifier, constituent.IdentifierType, dateRange, HistoricalResultsBy.Ric, null));

                    foreach (var result in from pos in searchResults where pos.DomainCode == "8" select pos)
                    //foreach (var result in searchResults)

                    //var result = searchResults.FirstOrDefault(pos => pos.Identifier.Contains("UROH1"));
                    //if (result != null)
                    {
                        var startDate = result.FirstDate;
                        var lastDate = result.LastDate;
                        Console.WriteLine("{0},\t {1},\t {2},\t {3},\t {4}", result.Identifier, result.IdentifierType, startDate, lastDate, result.DomainCode);
                        
                        var extractionResult = ExtractionsContext.ExtractRaw(

                                //!!!--- Это должно соответствовать модели данных Real Time API MarketByPrice---!!!
                                new TickHistoryRawExtractionRequest
                                {
                                    Condition = new TickHistoryRawCondition
                                    {
                                        ReportDateRangeType = ReportDateRangeType.Range,
                                        QueryStartDate = startDate, //new DateTimeOffset(2016, 07, 25, 20, 0, 0, TimeSpan.Zero),
                                        QueryEndDate = lastDate, //new DateTimeOffset(2016, 08, 02, 19, 59, 59, TimeSpan.Zero),
                                        ExtractBy = TickHistoryExtractByMode.Ric,
                                        MessageTimeStampIn = TickHistoryTimeOptions.GmtUtc,
                                        SortBy = TickHistorySort.SingleByRic,
                                        DomainCode = TickHistoryRawDomain.MarketByPrice,
                                        DisplaySourceRIC = true
                                    },
                                    IdentifierList = new InstrumentIdentifierList
                                    {
                                        InstrumentIdentifiers = new[]
                                        {
                                            InstrumentIdentifier.Create(result.IdentifierType, result.Identifier)
                                        }
                                    },

                                });

                        using (var response = ExtractionsContext.RawExtractionResultOperations.GetReadStream(extractionResult))
                        using (var reader = new StreamReader(response.Stream))
                        {
                            var fileName = out_dir + "_" + result.Identifier + "_" + startDate.DateTime.ToString("dd.MM.yyyy") + "_" + lastDate.DateTime.ToString("dd.MM.yyyy") + "_MarketByPrice.txt";
                            using (var fileStream = File.Create(fileName))
                                response.Stream.CopyTo(fileStream);
                        }
                        
                    }
                }
            }

            Console.WriteLine("Press Enter to exit");
            Console.ReadLine();
        }
    }

}

zoya faberov

Hello @s61670,

I have run a quick sanity check request on my side- TickHistoryRaw for this instrument, domain MarketByPrice, for the last three days - the result came back as expected. And three days worth of this content, while still zipped, was over 1G.

There could be different factors in play with over a year worth of data being requested. However, given very extensive, multiple MarketByPrice results that were retrieved as part of a chain expansion, I would suspect this may have to do with service's safeguards being triggered.

Would suggest, if you are looking to design to similar requirements for production use, in order to avoid safeguards and potential user Quota over-run, to review BEST PRACTICES & FAIR USAGE POLICY , "Prioritizing Extractions to Ensure Resource Availability for All Users" and "Limits: RIC-days in Concurrent Tick History Requests " may be relevant. From the extraction notes of the run, you may be able to learn more.