How to get expiry detail for future spreads using DSS REST API

I can get futures expiries for RIC chain "0#CL:" using

https://selectapi.datascope.refinitiv.com/RestApi/v1/Search/FuturesAndOptionsSearch

with payload like

payload = "{
  "SearchRequest": {
  "FileCodes": null,
  "CurrencyCodes": null,
  "ExchangeCodes": ["NYM"],
  "AssetStatus": "Active",
  "StrikePrice": null,
  "ExpirationDate": null,
  "IdentifierType": "RICRoot",
  "Identifier": "CL",
  "FuturesAndOptionsType": "Futures"
  }
}"

How do I get expiries for future spreads like "0#CL-1M:"?

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spread

dss-rest-api

datascope-select

Accepted answers

zoya faberov

Hello @una.keller ,

Test TermsAndConditions request:

{{protocol}}{{host}}{{api}}Extractions/ExtractWithNotes
{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TermsAndConditionsExtractionRequest",
        "ContentFieldNames": [
           "RIC", "CUSIP", "ISIN", "SEDOL", "Issuer OrgID", "Currency Code","Expiration Date"
        ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [

                 { "Identifier": "0#CL-1M:", "IdentifierType": "ChainRIC" }

            ]
        }
    }
}

results on my side:

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Extractions.ExtractionRequests.ExtractionResult",
    "Contents": [
        {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLH2-J2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-02-22"
        },
    {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLJ2-K2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-03-22"
        },
        {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLK2-M2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-04-20"
        },
...

If this is what you are looking for(?), you can find more information on T&C by reviewing REST API Tutorial 7: On Demand T&C extraction and tune request fully toward your requirements.

All comments

zoya faberov

Hello @una.keller ,

Try specifying ExpirationDate:

{
    "SearchRequest": {
"FileCodes": null,
"CurrencyCodes": null,
"ExchangeCodes": ["NYM"],
"AssetStatus": "Active",
"StrikePrice": null,
        "ExpirationDate": {
            "@odata.type": "#DataScope.Select.Api.Search.DateValueComparison",
            "ComparisonOperator": "GreaterThanEquals",
            "Value": "2016-12-31T00:00:00.000Z"
        },
"IdentifierType": "RICRoot",
"Identifier": "CL",
"FuturesAndOptionsType": "Futures"

}
}

is the result :

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#Collection(DataScope.Select.Api.Search.FuturesAndOptionsSearchResult)",
    "value": [
        {
            "Identifier": "CLM2",
            "IdentifierType": "Ric",
            "Source": "NYM",
            "Key": "VjF8MHgwMDEwMGIwMDI5MTZhMWFifDB4MDAxMDBiMDAwOWEzZGY0M3xOWU18RFZRVXxERVJWfEZVVHxEfHxDTE0yfDUwMzQ",
            "Description": "LIGHT CRUDE JUN2",
            "InstrumentType": "DerivativeQuote",
            "Status": "Valid",
            "ExchangeCode": "NYM",
            "CurrencyCode": "USD",
            "FuturesAndOptionsType": "Futures",
            "PutCallCode": "",
            "ExpirationDate": "2022-05-20T00:00:00.000Z",
            "AssetStatus": "Active"
        },
...

what you are looking for?

una.keller

@zoya faberov I'm looking for the output to include Futures Spread. Example chain RIC is "0#CL-1M:". The RICs will look like the following

CLZ2-F3

CLK2-V2

CLX1-F2

Your output is showing the standard Futures contracts. I am able to return the standard Future contracts with the payload I added in the original question.

zoya faberov

Hello @una.keller ,

Test TermsAndConditions request:

{{protocol}}{{host}}{{api}}Extractions/ExtractWithNotes
{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TermsAndConditionsExtractionRequest",
        "ContentFieldNames": [
           "RIC", "CUSIP", "ISIN", "SEDOL", "Issuer OrgID", "Currency Code","Expiration Date"
        ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [

                 { "Identifier": "0#CL-1M:", "IdentifierType": "ChainRIC" }

            ]
        }
    }
}

results on my side:

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#DataScope.Select.Api.Extractions.ExtractionRequests.ExtractionResult",
    "Contents": [
        {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLH2-J2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-02-22"
        },
    {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLJ2-K2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-03-22"
        },
        {
            "IdentifierType": "ChainRIC",
            "Identifier": "0#CL-1M:",
            "RIC": "CLK2-M2",
            "CUSIP": null,
            "ISIN": null,
            "SEDOL": null,
            "Issuer OrgID": null,
            "Currency Code": "USD",
            "Expiration Date": "2022-04-20"
        },
...

If this is what you are looking for(?), you can find more information on T&C by reviewing REST API Tutorial 7: On Demand T&C extraction and tune request fully toward your requirements.

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