How to get futures data for ES and BTC and AAPL?

Jwan622
Jwan622 Newcomer
edited March 10 in TRTH

I'm trying to get futures order book information for the E-mini (ES) and futures data for say Bitcoin: 0#BTC.

Where can I get this information? Can you show me python code to use to get this order book data. This is how I get stock data. Is it similar?

json_blob = {
        "ExtractionRequest": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
            "IdentifierList": {
                "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
                "InstrumentIdentifiers": [{
                    "Identifier": f"{ticker}",
                    "IdentifierType": "Ric",
                }],
                "ValidationOptions": {
                    "AllowHistoricalInstruments": "true"
                },
                "UseUserPreferencesForValidationOptions": "false",
            },
            "Condition": {
                "View": "RawMarketByPrice",
                "MessageTimeStampIn": "GmtUtc",
                "ReportDateRangeType": "Range",
                "DisplaySourceRIC": "true",
                "DateRangeTimeZone": "UTC",
                "QueryStartDate": query_start_date,
                "QueryEndDate": query_end_date,
            },
        }
    }
    post_url = URL_BASE + "/Extractions/ExtractRaw"
    request_response = post_request_with_auth(post_url, REFINITIV_AUTH_TOKEN, json_blob)

    job_id = request_response.json()["JobId"]
    logger.info("Starting CSV download...")

    data_response = requests.get(URL_BASE + f"/Extractions/RawExtractionResults('{job_id}')/$value", headers = {
        "Authorization": f"Token {REFINITIV_AUTH_TOKEN}"
    }, stream = True)

    data_response.raise_for_status()

    return data_response

Is getting futures data similar? What about options? Is the API call for getting futures for say AAPL different than BTC?

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Answers

  • Jirapongse
    Jirapongse ✭✭✭✭✭

    @Jwan622

    Thank you for reaching out to us.

    To extract data from TickHistory, you need to know identifiers, report templates, content fields, and parameters.

    Please contact the Tick History support team directly via MyAccount and ask for those information.

    After knowing those information, we can provide you with the Python snippet code to get the required data.

    As far as I know, not all identifiers can provide the RawMarketByPrice data.

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