Request for On Demand IntraDay Bars not readable response

ziaul
ziaul Newcomer
in DSS

Hello support,

I would like to pull all the available data for a contract during the period of First trade data to Current data/Last Trade date through on demand request.

But unfortunately waiting with lots of time, some of the response lines are contains special characters and different length. so can't parse the data as per expectation for analysis.

Please help me and let me know if we are missing something.

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Best Answer

  • Ramprasad.Kumaralu.J
    Ramprasad.Kumaralu.J LSEG
    Answer ✓

    Hi @ziaul : EndOfDayPricingReportTemplate retrieves instrument last EOD or today's EOD data only (1-day data). From your initial question, I think you're looking for a complete history of data and I would recommend using "PriceHistoryReportTemplate"

    Attaching sample code for "PriceHistoryReportTemplate". Please let me know if you have any further questions.

    /Create the request
    var extractionRequest = new ElektronTimeseriesExtractionRequest()
    {
        IdentifierList = new InstrumentIdentifierList()
        {
            InstrumentIdentifiers = new[] { new InstrumentIdentifier { Identifier = "TRI.N", IdentifierType = IdentifierType.Ric } }
        },
        Condition = new ElektronTimeseriesCondition
        {
            ReportDateRangeType = ReportDateRangeType.Range,
            QueryStartDate = new DateTimeOffset(new DateTime(2015, 12, 1)),
            QueryEndDate = new DateTimeOffset(new DateTime(2015, 12, 2))
        },
        ContentFieldNames = new[]
            {
                "Ask", "Bid", "High", "Last", "Low", "Trade Date"
            }
    };

    //Extract - NOTE: If the extraction request takes more than 30 seconds the async mechansim will be used.  See Key Mechanisms 
    var extractionResult = ExtractionsContext.ExtractWithNotes(extractionRequest);
    var extractedRows = extractionResult.Contents;

    //Output
    if (!extractedRows.Any())
        Debug.WriteLine("No rows returned");
    else
    {
        foreach (var row in extractedRows)
            Debug.WriteLine(
                row.Identifier + " (" + row.IdentifierType + ") " +
                String.Join(", ", row.DynamicProperties.Select(dp => dp.Key + "=" + dp.Value)));
    }
    //Output Notes
    Debug.WriteLine("NOTES:");
    foreach (var note in extractionResult.Notes)
        Debug.WriteLine(note);

    /* === OUTPUT === *\
    TRI.N (Ric) Ask=41.07, Bid=41.05, High=41.15, Last=41.05, Low=40.45, Trade Date=12/1/2015 12:00:00 AM
    TRI.N (Ric) Ask=41.08, Bid=41.07, High=41.23, Last=41.07, Low=40.91, Trade Date=12/2/2015 12:00:00 AM
    NOTES:
    Extraction Services Version 11.3.37834 (fdf4aaf12f3f), Built Nov 13 2017 19:11:21
    Processing started at 11/14/2017 11:13:08 AM.
    User ID: 20058
    Extraction ID: 160000074339
    Schedule: 0x05f2f98090884050 (ID = 0x0000000000000000)
    Input List (1 items):  (ID = 0x05f2f98090884050) Created: 11/14/2017 11:13:08 AM Last Modified: 11/14/2017 11:13:08 AM
    Report Template (12 fields): _OnD_0x05f2f98090884050 (ID = 0x05f2f980a6d84050) Created: 11/14/2017 11:13:06 AM Last Modified: 11/14/2017 11:13:06 AM
    Schedule dispatched via message queue (0x05f2f98090884050)
    Schedule Time: 11/14/2017 11:13:07 AM
    Timeseries Date Range: 12/01/2015 to 12/02/2015
    Processing completed successfully at 11/14/2017 11:13:08 AM, taking 0.154 Secs.
    Extraction finished at 11/14/2017 05:13:08 PM UTC, with servers: x04q12, ETS (0.1 secs), QSDEV1 (0.0 secs), QSRB01 (0.0 secs)
    Quota Message: INFO: Tick History Compliance Quota Count Before Extraction: 2; Instruments Approved for Extraction: 1; Tick History Compliance Quota Count After Extraction: 2, 0.2% of Limit; Tick History Compliance Quota Limit: 1000

Answers

  • Ramprasad.Kumaralu.J
    Ramprasad.Kumaralu.J LSEG

    Hi @ziaul : May i know which template do you use to extract above information ?

  • ziaul
    ziaul Newcomer

    @Ramprasad.Kumaralu.J I am looking for "EndOfDayPricingReportTemplate" report template using C# .NET

    I am looking for Daily candle. Please help me

  • ziaul
    ziaul Newcomer

    Hi @Ramprasad.Kumaralu.J, Thank you for your quick response.

    Please help me to get 5 Mins candle data with Maximum duration for a contract. Can I use the same above request & response?

    Sample code would be really appreciated.

    Thanks

  • Ramprasad.Kumaralu.J
    Ramprasad.Kumaralu.J LSEG

    Hi @ziaul: sorry, initially, I did not get your requirement but now it is clear.

    Please use TickHistoryIntradaySummariesExtraction

    You may give a try with below code 

    //Request an extraction
    ExtractionsContext.Options.AutomaticDecompression = true; //Decompress gzip to plain text
    var startDate = new DateTimeOffset(2008, 10, 13, 13, 0, 0, TimeSpan.FromHours(-5)); //Central Time Zone
    var endDate = startDate.AddHours(1);
    var result = ExtractionsContext.ExtractRaw(
        new TickHistoryIntradaySummariesExtractionRequest
        {
            Condition = new TickHistoryIntradaySummariesCondition
            {
                //Possible values: OneSecond, FiveSeconds, OneMinute, FiveMinutes, TenMinutes, FifteenMinutes, OneHour
                SummaryInterval = TickHistorySummaryInterval.OneMinute,
                //Possible values: Ric, Entity
                ExtractBy = TickHistoryExtractByMode.Ric,
                MessageTimeStampIn = TickHistoryTimeOptions.GmtUtc,
                ReportDateRangeType = ReportDateRangeType.Range,
                QueryStartDate = startDate,
                QueryEndDate = endDate,
                //Possible values: SingleByRic, SingleByTimestamp
                SortBy = TickHistorySort.SingleByRic,
                TimebarPersistence = true,
                DisplaySourceRIC = true
            },
            ContentFieldNames = availableFields.Select(x => x.Name).ToArray(),
            IdentifierList = new InstrumentIdentifierList
            {
                InstrumentIdentifiers = new[]
                {
                    InstrumentIdentifier.Create(IdentifierType.Ric, "EUR=")
                }
            },
        });

  • Christiaan Meihsl
    Christiaan Meihsl LSEG
    https://community.developers.refinitiv.com/discussion/comment/40743#Comment_40743

    @Ramprasad.Kumaralu.J, were you able to do this ? Does this solve your issue ?

  • ziaul
    ziaul Newcomer

    Thank you very much for your reply and am able to resolve my issue.

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