Is there a way to determine expiration data for a historical future contract using DSS or TRTH RE...
...ST API
I'm looking to get expiration dates for contracts that are resolved from futures chain RIC using HistoricalChainResolutionRequest call.
Thank you.
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0
Best Answer
-
Hello @ekhosid,
My understanding is that once you have resolved the chain you should have RICs of the future contracts. Next, you can run a search, either by specific RIC or by root RIC and a wild card, something like:
{{protocol}}{{host}}{{api}}Search/FuturesAndOptionsSearch
{
"SearchRequest": {
"FileCodes": null,
"CurrencyCodes": null,
"ExchangeCodes": null,
"ExpirationDate": {
"@odata.type": "#ThomsonReuters.Dss.Api.Search.DateValueComparison",
"ComparisonOperator": "LessThanEquals",
"Value": "2016-12-31T00:00:00.000Z"
},
"IdentifierType": "Ric",
"Identifier": "ED*",
"PreferredIdentifierType": "Ric"
}
}resulting in:
{
"@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#Collection(ThomsonReuters.Dss.Api.Search.FuturesAndOptionsSearchResult)",
"value": [
{
"Identifier": "ED1tmH2^1",
"IdentifierType": "Ric",
"Source": "TIM",
"Key": "VjF8MHgwMDAzZjgwNTEzOGM0ODI5fDB4MDAwM2Y4MDUxMzhjOWJmYXxUSU18RFZRVXxERVJWfEZVVHxEfHxFRDF0bUgyXjF8NTIyNQ",
"Description": "ED1 MAR2",
"InstrumentType": "DerivativeQuote",
"Status": "Valid",
"ExchangeCode": "TIM",
"CurrencyCode": "TWD",
"FuturesAndOptionsType": "Futures",
"PutCallCode": "",
"ExpirationDate": "2012-03-21T00:00:00.000Z",
"AssetStatus": "Inactive"
},
...Does this work for your use case?
0
Answers
-
Thank you. That's exactly what I was looking for. Let me try it.
0
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