How to get minute wise data of past 3 years of SPX

vmaharshi · October 2023

I have been exploring DSS for the past few days. I've skimmed through the REST API tutorials which use postman and have so far been successful. I am currently trying to write a python script to extract minute-wise data of the past 3 years of SPX futures and options and with the help of Article.RDP.DSS.RKD.Python.GenerateCodeUsingPostman/dss-generate-python-code-using-postman.ipynb at main · LSEG-API-Samples/Article.RDP.DSS.RKD.Python.GenerateCodeUsingPostman · GitHub and Getting a list of all RIC codes for Equity Index Options - Forum | Refinitiv Developer Community , I've managed to get some data but it is not minutewise and not that comprehensive.
Any help would be greatly appreciated.

Jirapongse · October 2023

@vmaharshi

Thank you for reaching out to us.

As far as I know, the DSS is unable to provide intraday historical data. You need to use Tick History product to extract intraday historical data.

The Tick History has the TickHistoryIntradaySummariesExtractionRequest extraction which summarizes market data into discrete time series intervals ranging from one second to one hour. You can refer to the REST API Tutorial 6: On Demand intraday bars extraction tutorial for more information.

vmaharshi · October 2023

https://community.developers.refinitiv.com/discussion/comment/110015#Comment_110015

I have implemented this, and it is returning an empty string when retrieving the data. I suspect I might have used the wrong headers. so here is a code snippet of the same.

retrieve_data_headers = {
  "Prefer": "respond-async",
  "Content-Type": "Accept-Encoding: gzip, deflate",
  "Authorization": f"Token {dss_token_response_json['value']}"
}

Jirapongse · October 2023

@vmaharshi

To download the content, the headers look like this:

It uses with the RawExtractionResults endpoint.

You can check the Notes when the extraction is completed.

For example, I don't have permission to access the .SPX RIC.

vmaharshi · October 2023

https://community.developers.refinitiv.com/discussion/comment/110061#Comment_110061

Thank you so much @Jirapongse for your timely response. I have so far been able to extract data of SPY ETF using "SPY" as the ric. However, when I try to use "0#SPY*.U" as the ric for SPY options, I get an "invalid identifier" error. Any help regarding this would be greatly appreciated.

Jirapongse · October 2023

https://community.developers.refinitiv.com/discussion/comment/110086#Comment_110086

@vmaharshi

0#SPY*.U is a chain RIC so you need to use this:

"IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "0#SPY*.U",
        "IdentifierType": "ChainRIC"
      }],

How to get minute wise data of past 3 years of SPX

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How to get minute wise data of past 3 years of SPX

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