TickHistoryIntradaySummariesExtractionRequest usage to get the latest tick data

memam
memam Newcomer
in Datastream

I'm trying to use

TickHistoryIntradaySummariesExtractionRequest

to submit requests to get the latest snapshot of the tick data (with one second SummaryInterval) for a set of currencies, by setting

QueryEndDate

as close as possible to the current time (I'm submitting HTTP requests from Python). However, the downloaded data ends several hours before the requested time (current time). For example, the downloaded data ends at 5:59:59, while I requested the QueryEndDate to be 11:20:17. I can see that the time zone of the downloaded data is in UTC. I am based in GMT, so there shouldn't be a time zone difference. Could anyone please explain: (1) why

TickHistoryIntradaySummariesExtractionRequest

doesn't give the latest available tick data?
And (2) if

TickHistoryIntradaySummariesExtractionRequest

cannot be used for this purpose, what is the correct approach to obtain the latest tick data?


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Best Answer

  • gteage
    gteage LSEG
    Answer ✓

    Hi @memam

    Tick History data is released in cycles. This is mentioned Refinitiv Tick History User Guide in the current guide page 80.

    "Data Availability Tick History data is made available in a near real-time framework with data for most instruments available for download a few hours after a market has closed. In Tick History v2, the service automatically releases data across both fixed release cycles by timezone and dynamic release times for specific venues."

    This should also be reflected in the information provided in the Notes; this should be returned in the response when monitoring the Location URL and getting a 200 OK, eg. I ran a request VOD.L for today's dates:

    {
        "@odata.context": "https://selectapi.datascope.refinitiv.com/restapi/v1/$metadata#RawExtractionResults/$entity",
        "JobId": "0x07e47ae9de4d8c88",
        "Notes": [
            "Extraction Services Version 15.3.43202 (21e54a94d777), Built Jan 26 2022 18:27:24\nUser ID: <removed>\nExtraction ID: 2000000361946303\nCorrelation ID: CiD/9004676/AAAAAA.07e47ae9de3d8c88/RA\nSchedule: 0x07e47ae9de4d8c88 (ID = 0x0000000000000000)\nInput List (1 items):  (ID = 0x07e47ae9de4d8c88) Created: 07/02/2022 114840 Last Modified: 07/02/2022 114840\nReport Template (29 fields): _OnD_0x07e47ae9de4d8c88 (ID = 0x07e47ae9de5d8c88) Created: 07/02/2022 114550 Last Modified: 07/02/2022 114550\nSchedule dispatched via message queue (0x07e47ae9de4d8c88)\nSchedule Time: 07/02/2022 114551\nProcessing started at 07/02/2022 114551\nProcessing completed successfully at 07/02/2022 114840\nExtraction finished at 07/02/2022 114840 UTC, with servers: x01q13\nInstrument <RIC,VOD.L> expanded to 1 RIC: VOD.L.\nTotal instruments after instrument expansion = 1\n\nRange Query from 2022-02-07T00:00:00.000 to 2022-02-07T23:59:59.000 (Exchange Local Time)\nQuery window is 00:00:00.000 to 23:59:59.000 (Exchange Local Time)\n(RIC,VOD.L,LSE) All data suppressed for release cycle(s) C2, C3, PE 5625.  Request occurred during embargo.  Data currently available through 06/02/2022 220000.  See Release Cycle schedule in the user documentation for details.\nReport suppressed because no instruments are permitted\n"
        ]
    }

    In the Refinitiv Tick History Data Coverage Guide there is also a worksheet: Data Release Times which covers specific timings per venue.

    I hope this helps answer the question but please let me know if it does not, and provide more information such as the request body with Notes (the user id can be removed as my example above).

    Best regards,

    Gareth

    *Product Page for Tick History on MyRefinitiv portal: https://my.refinitiv.com/content/mytr/en/product/tick-history.html

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