How to get data at tick level?

Which parameter should be set to get data at exactly "tick" level, and not at the intervals mentioned in

TickHistorySummaryInterval

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tick-history-rest-api

tick-data

Accepted answers

Gurpreet

Hi @memam,

If you are interested in getting all the tick data, then please use the Raw extraction request -

DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest

and not the Intraday summary extraction request.

All comments

Gurpreet

Hi @memam,

If you are interested in getting all the tick data, then please use the Raw extraction request -

DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest

and not the Intraday summary extraction request.

memam

Thanks. When I use TickHistoryRawExtractionRequest, I get too much redundant information as opposed to TickHistoryIntradaySummariesExtractionRequest.

Is there any way to get the resulting csv file from TickHistoryRawExtractionRequest, automatically organised with only the following fields (columns)?

"#RIC",
"Alias Underlying RIC",
"Domain",
"GMT Offset",
"Type",
"Bid Price",
"Ask Price",
"Exch Time",
"Date"

Gurpreet

No, its not possible to specify the filter in request, but is easy to post-process this data in your application. Tickhistory Raw request will provide you with all the tick level data as was disseminated by the listing venue.

zoya faberov

Hello @memam ,

You may filter the fields that you require in TickHistoryRawExtractionRequest:

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "IBM.N",
        "IdentifierType": "Ric"
      }]
    },
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2021-09-28T12:00:00.000Z",
      "QueryEndDate": "2021-09-29T12:10:00.000Z",
      "ExtractBy": "Ric",
      "SortBy": "SingleByRic",
      "DomainCode": "MarketPrice",
      "DisplaySourceRIC": true,
"FidListOperator": "OR",
       "Fids": "2,3,22,25"
    }
  }
}

FID is field ID, the number that uniquely identifies the field.

If you have had a chance to run the extraction request suggested by @Gurpreet , and you see the FIDs of the fields that are of interest to you in the extraction result, these are the FIDs to be specified into the Fids filter.

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