Why does RawMarketByView return data for other LV_DATES than requested?

Jwan622 · June 14

I am using the RawMarketByPrice view and this API request:

def get_market_depth_using_rics(rics: list[str], query_start_date: str, query_end_date: str, identifier_type: str = "Ric"):
logger.info(f"Fetching tick history for {len(rics)} symbol + exchange combinations from {query_start_date} to {query_end_date}...")
instrument_identifiers = []
for ric in rics:
instrument_identifiers.append({
"Identifier": f"{ric}",
"IdentifierType": identifier_type,
})
logger.debug(f"Instrument identifiers length: {len(instrument_identifiers)}")

json_blob = {
    "ExtractionRequest": {
        "@odata .type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
        "IdentifierList": {
            "@odata .type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": instrument_identifiers,
            "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, get_cached_refinitiv_auth_token(), json_blob)

this is the json_blob in full:

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [
        {
          "Identifier": "GOOG.ARC",
          "IdentifierType": "Ric"
        },
        {
          "Identifier": "GOOG.BAT",
          "IdentifierType": "Ric"
        },
        {
          "Identifier": "GOOG.DEX",
          "IdentifierType": "Ric"
        },
        {
          "Identifier": "GOOG.ITC",
          "IdentifierType": "Ric"
        },
        {
          "Identifier": "GOOG.NYO",
          "IdentifierType": "Ric"
        }
      ],
      "ValidationOptions": {
        "AllowHistoricalInstruments": "true"
      },
      "UseUserPreferencesForValidationOptions": "false"
    },
    "Condition": {
      "View": "RawMarketByPrice",
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "DisplaySourceRIC": true,
      "DateRangeTimeZone": "UTC",
      "QueryStartDate": "2025-06-10T00:00:00Z",
      "QueryEndDate": "2025-06-10T23:59:59.999999Z"
    }
  }
}

but notice the QueryStartDate and QueryEndDate… that gives me for some reason data that looks like this:

#RIC,Domain,Date-Time,GMT Offset,Type,MsgClass/FID number,UpdateType/Action,FID Name,FID Value,FID Enum String,PE Code,Template Number,Key/Msg Sequence Number,Alias Underlying RIC,Number of FIDs

GOOG.NYO,Market By Price,2025-06-10T00:00:00.000000000Z,-4,Raw,REFRESH,,,,,2508,0,0,,0

,,,,Summary,,,,,,,,,,29

,,,,FID,1,,PROD_PERM,2508,

,,,,FID,3,,DSPLY_NAME,ALPHABET INC C,

,,,,FID,15,,CURRENCY,840,USD

,,,,FID,17,,ACTIV_DATE,2025-06-09,

,,,,FID,198,,LOT_SIZE_A,100,

,,,,FID,259,,RECORDTYPE,113,

,,,,FID,1021,,SEQNUM,18194339,

,,,,FID,1709,,RDN_EXCHD2,518,NY2

,,,,FID,3183,,LIST_MKT,Q,

,,,,FID,3422,,PROV_SYMB,GOOG,

,,,,FID,3423,,PR_RNK_RUL,1,NOR

,,,,FID,3425,,OR_RNK_RUL,2,PTS

,,,,FID,3694,,MNEMONIC,GOOG,

,,,,FID,3984,,TRD_TYPE,C,

,,,,FID,4148,,TIMACT_MS,72000011,

,,,,FID,5357,,CONTEXT_ID,5484,

,,,,FID,6401,,DDS_DSO_ID,8410,

,,,,FID,6480,,SPS_SP_RIC,.[SPSOBKULT01L2,

,,,,FID,6516,,BOOK_STATE,1,N

,,,,FID,6518,,ORD_ENT_ST,2,I

,,,,FID,6519,,MKT_OR_RUL,0,

,,,,FID,6614,,TRD_STATUS,3,S

,,,,FID,6835,,DELBY_DT,,

,,,,FID,8300,,SEE_RIC,,

,,,,FID,9050,,L2_REPR,2,MBP-N,,,,FID,12843,,OR_PRC_BAS,1,PRC

,,,,FID,13490,,ORDBK_DEPH,1,FB,,,,FID,13548,,QTECOND_1,0,,,,,FID,14269,,TIMACT_NS,20:00:00.011002000,

,,,,MapEntry,,ADD,,,,,,167.040000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,13:29:59.619991000,

,,,,FID,6527,,LV_TIM_MS,48599619,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,167.04,

,,,,MapEntry,,ADD,,,,,,184.800000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,13:29:59.619998000,

,,,,FID,6527,,LV_TIM_MS,48599619,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,184.8,

,,,,MapEntry,,ADD,,,,,,160.000000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,10,

,,,,FID,14268,,LV_TIM_NS,13:30:00.030936000,

,,,,FID,6527,,LV_TIM_MS,48600030,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,160,

,,,,MapEntry,,ADD,,,,,,167.010000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,13:30:00.085976000,

,,,,FID,6527,,LV_TIM_MS,48600085,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,167.01,

,,,,MapEntry,,ADD,,,,,,167.140000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,13:30:00.411346000,

,,,,FID,6527,,LV_TIM_MS,48600411,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,167.14,

,,,,MapEntry,,ADD,,,,,,155.000000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,C,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,19:59:48.241106000,

,,,,FID,6527,,LV_TIM_MS,71988241,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,155,

,,,,MapEntry,,ADD,,,,,,165.000000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,13:30:02.160954000,

,,,,FID,6527,,LV_TIM_MS,48602160,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,165,

,,,,MapEntry,,ADD,,,,,,180.000000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,C,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,200,

,,,,FID,14268,,LV_TIM_NS,19:59:52.027757000,

,,,,FID,6527,,LV_TIM_MS,71992027,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,180,

,,,,MapEntry,,ADD,,,,,,166.000000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,200,

,,,,FID,14268,,LV_TIM_NS,13:30:02.189755000,

,,,,FID,6527,,LV_TIM_MS,48602189,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,166,

,,,,MapEntry,,ADD,,,,,,158.890000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,10,

,,,,FID,14268,,LV_TIM_NS,13:30:07.022043000,

,,,,FID,6527,,LV_TIM_MS,48607022,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,158.89,

,,,,MapEntry,,ADD,,,,,,178.000000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,C,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,7,

,,,,FID,14268,,LV_TIM_NS,19:59:49.894664000,

,,,,FID,6527,,LV_TIM_MS,71989894,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,178,

,,,,MapEntry,,ADD,,,,,,186.500000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,14:09:46.570243000,

,,,,FID,6527,,LV_TIM_MS,50986570,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,186.5,

,,,,MapEntry,,ADD,,,,,,186.510000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,14:09:46.571494000,

,,,,FID,6527,,LV_TIM_MS,50986571,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,186.51,

,,,,MapEntry,,ADD,,,,,,178.880000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,500,

,,,,FID,14268,,LV_TIM_NS,14:55:22.064345000,

,,,,FID,6527,,LV_TIM_MS,53722064,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,178.88,

,,,,MapEntry,,ADD,,,,,,179.000000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,300,

,,,,FID,14268,,LV_TIM_NS,15:43:18.137624000,

,,,,FID,6527,,LV_TIM_MS,56598137,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,179,

,,,,MapEntry,,ADD,,,,,,177.920000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,C,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,7,

,,,,FID,14268,,LV_TIM_NS,19:59:59.001038000,

,,,,FID,6527,,LV_TIM_MS,71999001,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,177.92,

,,,,MapEntry,,ADD,,,,,,178.610000A,,8

,,,,FID,3428,,ORDER_SIDE,2,ASK

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,300,

,,,,FID,14268,,LV_TIM_NS,19:55:01.812225000,

,,,,FID,6527,,LV_TIM_MS,71701812,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,178.61,

,,,,MapEntry,,ADD,,,,,,170.000000B,,8

,,,,FID,3428,,ORDER_SIDE,1,BID

,,,,FID,11692,,OR_UDT_RSN,O,

,,,,FID,3430,,NO_ORD,1,

,,,,FID,4356,,ACC_SIZE,100,

,,,,FID,14268,,LV_TIM_NS,19:57:37.134278000,

,,,,FID,6527,,LV_TIM_MS,71857134,

,,,,FID,6529,,LV_DATE,2025-06-09,

,,,,FID,3427,,ORDER_PRC,170,

,,,,MapEntry,,ADD,,,,,,176.900000B,,8

How do I query this endpoint to just get data from the 10th? The LV_DATE is what says when that data (an ADD, DELETE, or UPDATE) occurred right?

Jirapongse · June 16

@Jwan622

Thank you for reaching out to us.

The QueryStartDate and QueryEndDate parameters are used to extract data within the specified timestamp range. I believe this range corresponds to the timestamps recorded by the Tick History server when the data was retrieved.

GOOG.NYO,Market By Price,2025-06-10T00:00:00.000000000Z,-4,Raw,REFRESH,,,,,2508,0,0,,0

This forum is dedicated to software developers using LSEG APIs. The moderators on this forum do not have deep expertise in every bit of content available through Tick History products, which is required to answer content questions such as this one.

The best resource for Tick History content questions is the Tick History support team, which can be reached by submitting queries through https://support.lseg.com/. The support team will either have the required content expertise ready available or can reach out to relevant content experts to get the answer for you.

Why does RawMarketByView return data for other LV_DATES than requested?

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