[REST API TickHistoryMarketDepthExtractionRequest returning nothing for RawMarketMaker/RawMarketB...

kyle.moon

...yOrder/RawMarketByPrice Views]

Hi, I have successfully extracted & downloaded Market Depth tick history with views (Either "NormalizedLL2" / "LegacyLevel2")

However, I am having trouble downloading the same tick history with RawMarketMaker/RawMarketByOrder/RawMarketByPrice views.

I have included an example of JSON request bodies below

Below works ( 202 Accepted response with an empty body ) -> After a while, I can download it through ExtractRawResult

{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
        "ContentFieldNames": [
            "Ask Price",
            "Ask Size",
            "Bid Price",
            "Bid Size",
            "Number of Buyers",
            "Number of Sellers",
            "Exchange Time"
        ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "AAPL.O",
                    "IdentifierType": "Ric"
                },
                {
                    "Identifier": "QCOM.O",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": null,
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
        "View": "NormalizedLL2",
        "NumberOfLevels": 2,
        "MessageTimeStampIn": "GmtUtc",
        "ReportDateRangeType": "Range",
        "QueryStartDate": "2008-10-13T13:00:00.000-05:00",
        "QueryEndDate": "2008-10-14T13:00:00.000-05:00",
        "DisplaySourceRIC": false
        }
    }
}

But this doesn't ( 200 OK response right away ) -> Nothing to download

{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
        "ContentFieldNames": [
        ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "AAPL.O",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": null,
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
        "View": "RawMarketMaker",
        "MessageTimeStampIn": "GmtUtc",
        "ReportDateRangeType": "Range",
        "QueryStartDate": "2008-10-13T13:00:00.000-05:00",
        "QueryEndDate": "2008-10-14T13:00:00.000-05:00",
        "DisplaySourceRIC": false
        }
    }
}

response body

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#RawExtractionResults/$entity",
    "JobId": "0x080d0aeb709df919",
    "Notes": [
        "Extraction Services Version 16.0.43633 (806c08a4ae8f), Built May  9 2022 17:14:12\nUser ID: 9031445\nExtraction ID: 2000000408316065\nCorrelation ID: CiD/9031445/0x0000000000000000/REST API/EXT.2000000408316065\nSchedule: 0x080d0aeb709df919 (ID = 0x0000000000000000)\nInput List (2 items):  (ID = 0x080d0aeb709df919) Created: 06/14/2022 05:16:09 Last Modified: 06/14/2022 05:16:09\nReport Template (7 fields): _OnD_0x080d0aeb709df919 (ID = 0x080d0aeb70adf919) Created: 06/14/2022 05:13:29 Last Modified: 06/14/2022 05:13:29\nSchedule dispatched via message queue (0x080d0aeb709df919), Data source identifier (539F928AFDFD4AF3A80129A3D57907D0)\nSchedule Time: 06/14/2022 05:13:29\nProcessing started at 06/14/2022 05:13:29\nProcessing completed successfully at 06/14/2022 05:16:10\nExtraction finished at 06/14/2022 09:16:10 UTC, with servers: tm02n01, TRTH (125.785 secs)\nInstrument <RIC,AAPL.O> expanded to 1 RIC: AAPL.O.\nInstrument <RIC,QCOM.O> expanded to 1 RIC: QCOM.O.\nTotal instruments after instrument expansion = 2\n\nQuota Message: INFO: Tick History Cash Quota Count Before Extraction: 1001; Instruments Approved for Extraction: 2; Tick History Cash Quota Count After Extraction: 1001, 50.05% of Limit; Tick History Cash Quota Limit: 2000\nManifest: #RIC,Domain,Start,End,Status,Count\nManifest: AAPL.O,Market Price,2008-10-13T22:00:05.125553000Z,2008-10-14T21:59:56.074878000Z,Active,1056251\nManifest: QCOM.O,Market Price,2008-10-13T22:02:59.372180000Z,2008-10-14T21:50:37.176075000Z,Active,463036\n"
    ]
}

Jirapongse

@kyle.moon

I changed the QueryStartDate and QueryEndDate of the RawMarketMaker request to

"2008-05-01T13:00:00.000-05:00" and "2015-05-05T13:00:00.000-05:00" respectively.

{
    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
        "ContentFieldNames": [
        ],
        "IdentifierList": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "AAPL.O",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": null,
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
        "View": "RawMarketMaker",
        "MessageTimeStampIn": "GmtUtc",
        "ReportDateRangeType": "Range",
        "QueryStartDate": "2008-05-01T13:00:00.000-05:00",
        "QueryEndDate": "2015-05-05T13:00:00.000-05:00",
        "DisplaySourceRIC": false
        }
    }
}

I found that the first valid RawMarketMaker data of AAPL.O was at 2015-05-02T22:00:33.449436660Z.

However, you need to contact the Refinitiv Tick History support team directly via MyRefinitv to confirm when is the valid start query date for the RawMarketMaker data of AAPL.O.

kyle.moon

@Jirapongse Yeah, all 5 views seem to have different available dates.

Thanks, I will try to contact the support team!