What function is used to retrieve all ticks within a window with no lag?

Hi, I'm using the Python API with real-time access credentials (no problems connecting). I would like to retrieve, for a specific RIC, the complete set of bid/ask quotes for a specific time window. For example, let's say that at 1101 Tokyo time, I'd like to retrieve all ticks for JPYOIS=TKFX, all tenors, from 1040 to 1100. I don't simply want the latest values (get_snapshot), I'd like to see all of the actual activity during the window.

I do NOT want to open a streaming connection at 1040 and collect values up to 1100, because then I'd have to rely on a glitch-free connection for however many minutes the window might be. I'd like to do a single, synchronous call at 1101, and simply get all the ticks that posted in the time window of interest.

Is this possible, and if so, how would I go about it?

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Accepted answers

umer.nalla

Hi @jeff.kenyon0

Sorry - did not notice you were an internal user.

I have discussed with the engineering team behind the above APIs and they advised:

For the (above) API – it should be near-instantaneous, but realistically 250-500ms. The API is designed to enable historical and real-time blending in desktop applications (chart, T&S), so it has to be pretty close behind real-time so that the desktop can render quickly.

So to your example, they shouldn’t have to wait a minute… any trade from the previous second or so should be immediately available.

Please go ahead and confirm the content returned by the above API fulfils your requirements.

All comments

umer.nalla

Hi @jeff.kenyon0

When using a real-time interface the price points can only be received in real-time - as it is a streaming feed.

From my reading of your question, I would say a historical pricing product/interface would be better suited.

We have various standalone historical pricing products e.g. TRTH. However, you can also consume historical data from RDP using RDP historical APIs e.g. https://api.refinitiv.com/data/historical-pricing/v1/views/events - which you can discuss with your Refintiv account team.

The following tutorial provides example usage of the RDP historical-pricing APIs:
Historical Pricing: Time Series Summary (bar), Events (T&S)

You will need to be licenced to access the API - so as mentioned above, please discuss with your Refinitiv Account team.

jeff.kenyon0

Hi @umer.nalla,

Thank you for your response. As I'm a Refinitiv employee, I don't have (to my knowledge) a Refinitiv Account team.

I'm happy to use the historical pricing, but as I said, I'm worried about lag: in the example I gave, at 1101, would the 1040-1100 ticks be available in history? I don't know where to find out (beyond experimentation) exactly what the lag as, and since this is being used to create a new benchmark, knowing the lag is kind of critical.

umer.nalla

Hi @jeff.kenyon0

Sorry - did not notice you were an internal user.

I have discussed with the engineering team behind the above APIs and they advised:

So to your example, they shouldn’t have to wait a minute… any trade from the previous second or so should be immediately available.

Please go ahead and confirm the content returned by the above API fulfils your requirements.

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