How do I pull HistoricTickData from a company that moved from NYSE to NASDAQ?

jori88

Both EXC.O and HON.O are RICS from companies that recently (in 2019 and 2021 respectively) moved from NYSE (NYQ feed) to NASDAQ (NSQ feed). Now when I pull minutebars for them using those RICS, the history stops when they moved (so no history from when they were on NYSE).

How do I get the older databars from when they were listed on NYSE?

Can I get that consolidated data in one pull using a different type of identifier or does it require a different RIC?

zoya faberov

Hello @jori88 ,

Intraday data may not necessarily be available for an instrument, for the whole duration when Price History at end of day is captured.

DSS/RTH API is able to retrieve the data set that is available for the time that it is available.

A couple of things you can do to learn more of the availability of the content:

1. The quickest and most straightforward programmatically is to run a HistoricalSearch.

For example:

{{protocol}}{{host}}{{api}}Search/HistoricalSearch
{
  "Request": {
    "Identifier": "HON.O",
    "IdentifierType": "Ric",
    "Range": {
      "Start": "1996-01-01T00:00:00.000Z",
      "End": "2021-10-11T00:00:00.000Z"
    }
  }
}

Resulting in:

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#Collection(DataScope.Select.Api.Search.HistoricalSearchResult)",
    "value": [
        {
            "Identifier": "HON.O",
            "IdentifierType": "Ric",
            "Source": "",
            "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxIT04uT3w",
            "Description": "Historical Instrument",
            "InstrumentType": "Unknown",
            "Status": "Valid",
            "DomainCode": "6",
            "FirstDate": "2021-05-11T00:00:00.000Z",
            "LastDate": "2021-11-09T00:00:00.000Z",
            "History": []
        },
        {
            "Identifier": "HON.O",
            "IdentifierType": "Ric",
            "Source": "",
            "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxIT04uT3w",
            "Description": "Historical Instrument",
            "InstrumentType": "Unknown",
            "Status": "Valid",
            "DomainCode": "9",
            "FirstDate": "2015-05-02T00:00:00.000Z",
            "LastDate": "2021-11-09T00:00:00.000Z",
            "History": []
        }
    ]
}

Domain = 6 is MarketPrice domain. So it would not make sense to request it prior to 2021.05.11 as it is not available.

2. HistoricalReferenceExtractionRequest will give you more details. In some cases not straightforward to understand in my opinion, and may require an expert to interpret, but if I really wish to know the whole story behind the changes, I run a HistoricalReferenceExtractionRequest. For example:

{{protocol}}{{host}}{{api}}Extractions/ExtractWithNotes
  {
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
"ContentFieldNames": [
    "RIC",
    "Start date",
    "Change Date",
    "Expiration Date",
    "Exchange Code"
],
"IdentifierList": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
    {"Identifier": "HON.O", "IdentifierType": "Ric" }
],
    "ValidationOptions": {
        "AllowHistoricalInstruments": true
    },
    "UseUserPreferencesForValidationOptions": false
    },
    "Condition": {
        "StartDate": "2000-01-01T00:00:00.000Z",
        "EndDate": "2021-11-10T00:00:00.000Z"
    }

}

}

And these results:

...
        {
            "IdentifierType": "Ric",
            "Identifier": "HON.O",
            "RIC": "HON",
            "Start date": null,
            "Change Date": "2020-10-03",
            "Expiration Date": null,
            "Exchange Code": "NYQ"
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "HON.O",
            "RIC": "HON",
            "Start date": null,
            "Change Date": "2020-12-05",
            "Expiration Date": null,
            "Exchange Code": "NYQ"
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "HON.O",
            "RIC": "HON",
            "Start date": null,
            "Change Date": "2021-03-31",
            "Expiration Date": null,
            "Exchange Code": "NYQ"
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "HON.O",
            "RIC": "HON.O",
            "Start date": null,
            "Change Date": "2021-05-11",
            "Expiration Date": null,
            "Exchange Code": "NSQ"
        }
    ...

in this case, hold a clue on the Exchange move.

3. By contacting Refinitiv content experts via Refinitiv Helpdesk Online -> Content -> DSS, as a customer, you can obtain an authoritative answer to content-related questions, suspected issues, in other words, in-depth expertise.

zoya faberov

Hello @jori88 ,

You can request PriceHistory before and after the change, in one pull, for example:

{{protocol}}{{host}}{{api}}Extractions/ExtractWithNotes
{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
    "ContentFieldNames": [
      "File Code",
      "RIC",
      "Trade Date",
      "Last Trade Price",
      "Universal Close Price",
      "Alternate Close Price",
      "High Price",
      "Low Price",
      "Open Price",
      "Volume Weighted Average Price",
      "Turnover",
      "Volume",
      "Accumulated Volume Unscaled",
      "Bid Price",
      "Asset Type",
      "Quote ID",
      "Bid Yield",
      "Exchange Code",
      "Currency Code"          
    ],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [
      { "Identifier": "EXC.O", "IdentifierType": "Ric" }
      ],
   "ValidationOptions": { "AllowHistoricalInstruments": true },
      "UseUserPreferencesForValidationOptions": false
    },
    "Condition": {
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2014-01-24T00:00:00.000Z",
      "QueryEndDate": "2021-08-31T00:00:00.000Z"

    }
  }
}

Resulting in full available history.

ValidationOptions -> AllowHistoricalInstruments and UserPreferences = False options specified

should allow the request to look for the history on these instruments beyond historical changes.

jori88

https://community.developers.refinitiv.com/discussion/comment/87064#Comment_87064

Thank you,

Above indeed seems the correct solution for a PriceHistoryExtractionRequest.

I'm trying to do a TickHistoryIntradaySummariesExtractionRequest and also when I add "ValidationOptions": { "AllowHistoricalInstruments": true }, I still don't get anything on "HON.O" before 2021-05-11.

"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
"ContentFieldNames": [
    "Open", "High", "Low", "Last", "Volume",
    "Close Ask",
    "Close Bid",
    "High Ask",
    "High Bid",
    "Low Ask",
    "Low Bid",
    "No. Asks",
    "No. Bids",
    "No. Trades",
    "Open Ask",
    "Open Bid",
],
"IdentifierList": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
    "InstrumentIdentifiers": [{"Identifier": ric, "IdentifierType": "Ric"} for ric in rics],
    "ValidationOptions": {"AllowHistoricalInstruments": True, "AllowInactiveInstruments": True},
    "UseUserPreferencesForValidationOptions": False
},