Which template type to use for retrieving Equity Spot Index for a date range or a day?

mojtaba.danai
mojtaba.danai Explorer
in TRTH

Hi,

We are trying to migrate to TickHistory v2 using the REST API in .Net C#.

Currently we are retrieving a gzip file containing the following information for each Equity Spot Index (RICs like .N225 and .FTSE). This file retrieval is set up through the web site:

https://tickhistory.thomsonreuters.com

But, as mentioned we wish to use REST API .Net C# to retrieve the same file in exactly same format as below (all data for all RICs included in the same csv.gz file):

#RIC,Date[G],Time[G],GMT Offset,Type,Price

.N225,20161007,00:00:15.133,+9,Index,16883.12

.N225,20161007,00:00:30.113,+9,Index,16878.06

.......

.FTSE,20161007,07:24:40.274,+1,Index,7027.73

.FTSE,20161007,07:24:40.474,+1,Index,7027.71

.....

- Which report template type shall I use to retrieve the above data?

- How to I choose the fields and the range on the report template type?

I have already posted in regards to TickHistoryRaw report template for which I am not able to retrieve the available fields (the following returns zero size list:

var availableFields = _extractionContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistorytRaw);

And I am not sure whether we have to use TickHistoryRaw report type template type or not for the report sample as I have mentioned above.

Hope you can guide us to the right direction for the report we need.

Thanks in advance.

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Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    The report template type should be "TickHistoryTimeAndSales". Below is the sample of output from this report template. The value is from "Trade - Price" field. For "GMT Offset" column, you may refer to this question.

    #RIC,Domain,Date-Time,Type,Price
    .N225,Market Price,2016-10-07T00:00:15.060908989Z,Trade,16883.12
    .N225,Market Price,2016-10-07T00:00:30.049872440Z,Trade,16878.06

    You can use the GetValidContentFieldTypes method to retrieve all available fields for this report template type as well. The ReportTemplateTypes should be TickHistoryTimeAndSales.

Answers

  • mojtaba.danai
    mojtaba.danai Explorer

    @veerapath.rungruengrayubkul

    Thanks for the reply.

    - We need the timestamp in UTC. Is it possible to set it through API?

    - As mentioned we are downloading Equity Spot Index data and currently we get the data in this format:

    #RIC,Date[G],Time[G],GMT Offset,Type,Price

    .N225,20161007,00:00:15.133,+9,Index,16883.12

    .N225,20161007,00:00:30.113,+9,Index,16878.06

    The type is Index in above but in your example is Trade. How do get type as Index?

    - Is it possible to NOT get the Domain in your sample through API? How?

    Thanks again.

  • mojtaba.danai
    mojtaba.danai Explorer

    @veerapath.rungruengrayubkul

    Thanks for your reply.

    - Is it possible to get the date-time in UTC format? Is it a way to configure this through the API to get this as UTC? That is what we need.

    - Also, currently the format of the data we download is this:

    #RIC,Date[G],Time[G],GMT Offset,Type,Price

    .N225,20161007,00:00:15.133,+9,Index,16883.12

    - As you can see we do not have Domain. Is it possible NOT to get the Domain?

    - We get the Equity Spot Index data type as Index, but in your sample the type is Trade. Is it possible to get the type as Index?

    Thanks again.

  • mojtaba.danai
    mojtaba.danai Explorer
    https://community.developers.refinitiv.com/discussion/comment/18231#Comment_18231

    @veerapath.rungruengrayubkul

    Thanks for your reply.

    - Is it possible to get the date-time in UTC format? Is it a way to configure this through the API to get this as UTC? That is what we need.

    - Also, currently the format of the data we download is this:

    #RIC,Date[G],Time[G],GMT Offset,Type,Price

    .N225,20161007,00:00:15.133,+9,Index,16883.12

    - As you can see we do not have Domain. Is it possible NOT to get the Domain?

    - We get the Equity Spot Index data type as Index, but in your sample the type is Trade. Is it possible to get the type as Index?

    Thanks again.

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG

    @mojtaba.danai

    - You can set the "MessageTimeStampIn" condition in request message to "GmtUtc".

    - As far as I know, there is no method to remove the "Domain" Column.

    - According to the Tick History v1 - v2 Comparison (June 2017), in Tick History v2.0, all event types are normalized into these categories: "Trade”, “Quote” and “Correction". Below are the table mapped event types between V1 and V2.

    image

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