Futures ChainRic resolving to Cash products

bob1
bob1 Newcomer
in DSS

I am seeing the following log message, which is giving me an error (when retrieving time and sales):

Instrument <CHR,0#SIN:> expanded to 7 RIC instances: .NSEI to SINZ9. Quota Message: INFO: Tick History Cash Quota Count Before Extraction: 0; Instruments Approved for Extraction: 0; Tick History Cash Quota Count After Extraction: 0, 100% of Limit;\  Tick History Cash Quota Limit: 0 Quota Message: ERROR: The RIC '.NSEI' in the request would exceed your quota limits. Adjust your input list to continue. Quota Message: WARNING: Tick History Cash Quota has been reached or exceeded

I would not like to retrieve the underlying.

Is there a way to filter out the underlying when looking up products by their chain rics?

I would like to have the following chain ric expansion instead:

Instrument <CHR,0#SIN:> expanded to 6 RIC instances: SINH0 to SINZ9.

This is how it resolves for me when I'm retrieving it with market depth.

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Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    The <NBBZ9> is historical RIC as it is valid until 14/12/2019.

    image

    To extract data for historical RIC, you need to add "AllowHistoricalInstruments": true of the ValidationOptions and "UseUserPreferencesForValidationOptions": false in extraction request. We recommend using the normal RIC instead of the delisted RIC (i.e. NBBZ9^1).

    Below is the sample of request.

    { 
        "ExtractionRequest": 
        { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest", 
         "ContentFieldNames":
         [     
             ...
            ], 
         "IdentifierList": {"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
         "InstrumentIdentifiers": [
                {"Identifier": "NBBZ9",
                "IdentifierType": "Ric"
                }
         ],
            "ValidationOptions": {
                "AllowHistoricalInstruments": true
            },
            "UseUserPreferencesForValidationOptions": false
        },"Condition":


Answers

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG

    Hi @bob1,

    There is no interface to filter underlying RICs for Chain expansion. You may get all underlying using Historical Chain Constituents Search to manually filter the Cash underlying first, and then extract data with the filtered underlying.

  • bob1
    bob1 Newcomer

    I have tried using historical chains for expanding my chain rics, but it does not work.

    For example, if I expand the chainric "0#NBB:" from 2019-11-01 - 2019-01-01, then I get the following rics:

    "NBBH0", "NBBH1", "NBBH2", "NBBM0", "NBBM1", "NBBM2", "NBBU0", "NBBU1", "NBBU2", "NBBZ0", "NBBZ1", "NBBZ2", "NBBZ9".

    This is not valid to look up particular rics. For example, "NBBZ9" is now called "NBBZ9^1". If I used "NBBZ9" to search up data from 2019-11-01 - 2019-01-01, I would fetch no data. If i used "NBBZ9^1" then I can fetch the data. However, there is no way for me to know that it's "NBBZ9^1" that I want to choose.

  • nathan.faber
    nathan.faber Newcomer
    https://community.developers.refinitiv.com/discussion/comment/54269#Comment_54269
    Hi @bob1 Did you ever get this resolved? I am running into very similar issues. Thanks!

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