How to get DSS EndOfDayPricingExtractionRequest historical data

rahul.deshmukh
rahul.deshmukh Contributor
in DSS

Dear All,

We are using below DSS EndOfDayPricingExtractionRequest which is working fine.

{
   "ExtractionRequest":{
      "@odata.type":"#DataScope.Select.Api.Extractions.ExtractionRequests.EndOfDayPricingExtractionRequest",
      "ContentFieldNames":[
         "RIC",
         "Security Description",
         "Universal Close Price Date",
         "Universal Close Price",
         "Base Currency Code"
      ],
      "IdentifierList":{
         "@odata.type":"#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
         "InstrumentIdentifiers":[
            { "Identifier":"USF=", "IdentifierType":"Ric" },
            { "Identifier":"USFFTARGET=", "IdentifierType":"Ric" },
            { "Identifier":"ECBDF=ECBF", "IdentifierType":"Ric" },
            { "Identifier":"SARON.S", "IdentifierType":"Ric" },
            { "Identifier":"SONIAOSR=", "IdentifierType":"Ric" },
            { "Identifier":"EUROND=", "IdentifierType":"Ric" },
            { "Identifier":"CORRA=", "IdentifierType":"Ric" },
            { "Identifier":"AUDOND=", "IdentifierType":"Ric" },
            { "Identifier":"JPONMU=RR", "IdentifierType":"Ric" }
         ],
         "ValidationOptions":null,
         "UseUserPreferencesForValidationOptions":false
      },
      "Condition":null
   }
}


But now the requirement is to load the historical data starting from 01.01.2023 till today(Initial Load). Can you please tell us how to get historical data from the above request ? Can we put start and end date filter in the above request ?


Thanks and regards,

Rahul D

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @rahul.deshmukh

    Thank you for reaching out to us.

    The EndOfDayPricingExtractionRequest extraction doesn't support the start date and end date fields.

    You can try the PriceHistoryExtractionRequest extraction. 

    {
      "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
        "ContentFieldNames":[
             "RIC",
             "Security Description",
             "Trade Date",
             "Universal Close Price",
             "Base Currency Code"
          ],
        "IdentifierList": {
          "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [
                { "Identifier":"USF=", "IdentifierType":"Ric" },
                { "Identifier":"USFFTARGET=", "IdentifierType":"Ric" },
                { "Identifier":"ECBDF=ECBF", "IdentifierType":"Ric" },
                { "Identifier":"SARON.S", "IdentifierType":"Ric" },
                { "Identifier":"SONIAOSR=", "IdentifierType":"Ric" },
                { "Identifier":"EUROND=", "IdentifierType":"Ric" },
                { "Identifier":"CORRA=", "IdentifierType":"Ric" },
                { "Identifier":"AUDOND=", "IdentifierType":"Ric" },
                { "Identifier":"JPONMU=RR", "IdentifierType":"Ric" }
             ],
          "ValidationOptions": { "AllowHistoricalInstruments": true },
          "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "AdjustedPrices": true,
          "QueryStartDate": "2023-05-24",
          "QueryEndDate": "2023-05-31"
        }
      }
    }

    To see the list of all avaible for each extraction request, please refer to the REST API Reference Tree.

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