Historical CDS prices via DSS REST API

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Hello I want to get historical CDS prices via the DSS REST API

I tried the following extraction request:

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
    "ContentFieldNames": [
      "RIC",
      "Credit Default Swap Basis1",
      "Credit Default Swap Basis2",
      "Credit Default Swap Basis3",
      "Trade Date"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [{
        "IdentifierType": "Ric",
        "Identifier": "GE.N"
      }]
    },
    "Condition": {
      "AdjustedPrices": false,
      "QueryStartDate": "2019-02-02",
      "QueryEndDate": "2019-09-03"
    }
  }
}

I get back the following

 {
  'IdentifierType': 'Ric',
  'Identifier': 'GE.N',
  'RIC': 'GE.N',
  'Credit Default Swap Basis1': None,
  'Credit Default Swap Basis2': None,
  'Credit Default Swap Basis3': None,
  'Trade Date': '2019-08-09'
},

As you can see nothing is coming back for the CDS fields.

Any help is appreciated.


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Best Answer

  • Christiaan Meihsl
    Christiaan Meihsl LSEG
    Answer ✓

    @Marvin_deprecated_1,

    When you run into such issues, you can check the latest DSS data content guide for coverage. Go to the "Field Descriptions" tab, and filter on column C and/or D to see only the report name and/or field names of interest. Data coverage is in columns O-AH (n = not available, y = available).

    GE.N is an equity, and CDS is not available for equity. That is why you do not receive any data.

    image

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