Issue retrieving TFTcv1 data with TickHistoryIntradaySummariesExtractionRequest

eric.lepouchard
eric.lepouchard Newcomer
in TRTH

Hello,


I have been looking to retrieve tick history intraday summaries for the continuation instrument of the TFT root (RTY data on ICE, before they moved to CME). I was told it is TFTcv1


While my TRTH queries work for other instruments (ES, NQ, RTY), they seem to fail for TFT:


    STATUS: HTTP status of the response:  200
        Text:  {
    "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#RawExtractionResults/$entity",
    "JobId": "0x070a2e10e9717794",
    "Notes": [
        "All identifiers were invalid.  No extraction performed."
    ],
    "IdentifierValidationErrors": [
        {
            "Identifier": {
                "@odata.type": "#ThomsonReuters.Dss.Api.Content.InstrumentIdentifier",
                "Identifier": "TFTcv1",
                "IdentifierType": "Ric",
                "Source": ""
            },
            "Message": "Not found"
        }
    ]
}


I was wondering if someone else encountered this issue before, or actually managed to extract such data from TRTH.


Thanks,

Eric

Tagged:

Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello @eric.lepouchard,

    Thank you for the clarification. This RIC is TFTc1 not TFTcv1, I see the same via HistoricSearch

    {{protocol}}{{host}}{{api}}Search/HistoricalSearch 

    {
      "Request": {
        "Identifier": "TFTc1",
        "IdentifierType": "Ric",
        "Range": {
          "Start": "2017-01-26T00:00:00.000Z",
          "End": "2017-02-01T00:00:00.000Z"
        }
      }
    }

    Result for this that I see is:

    {
        "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#Collection(ThomsonReuters.Dss.Api.Search.HistoricalSearchResult)",
        "value": [
            {
                "Identifier": "TFTc1",
                "IdentifierType": "Ric",
                "Source": "",
                "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxURlRjMXw",
                "Description": "Historical Instrument",
                "InstrumentType": "Unknown",
                "Status": "Valid",
                "DomainCode": "6",
                "FirstDate": "2008-07-04T00:00:00.000Z",
                "LastDate": "2018-03-31T00:00:00.000Z",
                "History": []
            }
        ]
    }

    Hope this helps



Answers

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hi @eric.lepouchard,

    Indeed, RIC "TFTcv1" is not, currently, a valid RIC. I understand the question to be about finding correct symbology, Refinitiv content, more specifically, RIC search. I can think of 3 approaches:

    1. Search for TFT using RIC Search Tool. You should return several hits, is one of the RICs returned what you are looking for?

    2. A more comprehensive approach, when you are not able to find RIC or not sure if the one you found is the correct RIC, as a customer you can open a support case directly at Refinitiv Helpdesk that will be assigned to and responded by the appropriate content team.

    3. Lastly, in the case if you know that the RIC was a valid RIC at some point, you can run HistoricalReferenceExtractionRequest and figure out the new RIC name this way

    Does this helps?

  • eric.lepouchard
    eric.lepouchard Newcomer

    Thanks Zoya, this helps a lot. To answer your questions:

    1. Yes, I am looking for the future, so the RIC chain would be 0#TFT:. I am actually looking for the continuation instrument related to this future.
    2. Yes, I already asked Refinitiv and they were able to find TFTcv1 as an historical RIC (in 2017). Perhaps this is why it currently is not a valid RIC?
    3. I know that the RIC for the continuation instrument of the current future is RTYcv1. I can look into the request that you mention. Would you have an example of such request?
  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hello @eric.lepouchard,

    Yes. The complete info can be found in DSS API Reference Tree

    via Extractions -> On Demand -> Extract Raw -> Select from request drop down HistoricalReferenceExtractionRequest

    For RTYcv1 it will look like:

        "ExtractionRequest": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
            "ContentFieldNames": [
               "RIC", "CUSIP", "ISIN", "SEDOL", "Issuer OrgID", "Issuer PermID", "Exchange Code", "Currency Code", "Change Date"
            ],
            "IdentifierList": {
                "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
                "InstrumentIdentifiers": [
                    {
                        "Identifier": "RTYcv1",
                        "IdentifierType": "Ric"
                    }
                ],
                "ValidationOptions": {"AllowHistoricalInstruments": true},
                "UseUserPreferencesForValidationOptions": false
            },
            "Condition": {
              "StartDate": "2007-01-01T00:00:00.000Z",
                "EndDate": "2019-08-01T23:59:59.000Z"
            }
        }
    }

    For TFTcv1 I am not able to find any references to it via historical reference search.

  • eric.lepouchard
    eric.lepouchard Newcomer

    Hello, @zoya.farberov, To answer this question, I was working with Josh Kalina and while I am not aware of how he was able to find this specific RIC, I am attaching a screen shot that he shared with me.image

  • eric.lepouchard
    eric.lepouchard Newcomer

    Thanks @zoya.faberov. Yes, this helps. My program was taking TFT and automatically appending the cv1 to infer the related continuation instrument, silly mistake.

    So could I expect to retrieve tick summaries for this historical instrument then? I have been trying requests with this format:

        STATUS: Authentication token (valid 24 hours):
    URL: https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw
    HEAD: {'Prefer': 'respond-async', 'Content-Type': 'application/json', 'Authorization': 'Token _ZzgZNK32ma311zBtHOHTsaSuLHaX5PZbswG9qqfyN33LsVxPi-Ga69tPtT-VlmZyoUGXq0Vpz0kYDP0YtSLD_neAeIHTCiWcHzAr5MVGmtPOUPfsBKDmXJ1Tn3TW63ONU5_abiGXMOzvgHuG_caUH-N-vIYxPAwK7mbi3Ubc54WY6yLj7bLzJx1yfHVd_Fu2izdiu1cg-1CNFdYFk9zUajgGVgOMwhulwRz4_xcPA-waOF5fxL1Kq4dKBE7edVkGonwNGU75h7dcln5G4kcwfPMo2x3P88RYClX7jHPaWic'}
    BODY: {'ExtractionRequest': {'@odata.type': '#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest', 'ContentFieldNames': ['Close Ask', 'Close Bid', 'High', 'Low', 'Open Ask', 'Open Bid', 'Volume'], 'IdentifierList': {'@odata.type': '#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList', 'InstrumentIdentifiers': [{'Identifier': 'TFTc1', 'IdentifierType': 'Ric'}], 'ValidationOptions': {'AllowHistoricalInstruments': 'true', 'AllowInactiveInstruments': 'true'}}, 'Condition': {'DisplaySourceRIC': True, 'MessageTimeStampIn': 'GmtUtc', 'ReportDateRangeType': 'Range', 'SummaryInterval': 'OneMinute', 'QueryStartDate': '2018-01-08', 'QueryEndDate': '2018-01-09'}}}

    This returns empty dataframes like this:

    #RIC,Alias Underlying RIC,Domain,Date-Time,GMT Offset,Type,High,Low,Volume,Open Bid,Close Bid,Open Ask,Close Ask

    Thanks again,

    Eric

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hi @eric.lepouchard

    Try

    {
      "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
        "ContentFieldNames": [
          "Close Ask",
          "Close Bid",
          "High",
          "High Ask",
          "High Bid",
          "Last",
          "Low",
          "Low Ask",
          "Low Bid",
          "No. Asks",
          "No. Bids",
          "No. Trades",
          "Open",
          "Open Ask",
          "Open Bid",
          "Volume"
        ],
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [{
            "Identifier": "TFTc1",
            "IdentifierType": "Ric"
          }],
          "ValidationOptions": {"AllowHistoricalInstruments": true},
          "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "MessageTimeStampIn": "GmtUtc",
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2018-01-08T00:00:00.000Z",
          "QueryEndDate": "2018-01-09T00:00:00.000Z",
          "SummaryInterval": "OneMinute",
          "TimebarPersistence": true,
          "DisplaySourceRIC": true
        }
      }
    }

    Although from what I see the content is empty.

    Another option may be raw report, all ticks:

    {
      "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
          "InstrumentIdentifiers": [{
            "Identifier": "TFTc1",
            "IdentifierType": "Ric"
          }],
          "ValidationOptions": {"AllowHistoricalInstruments": true},
          "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "MessageTimeStampIn": "GmtUtc",
          "ReportDateRangeType": "Range",
          "QueryStartDate": "2018-01-08T02:00:00.000Z",
          "QueryEndDate": "2018-01-11T23:00:00.000Z",
          "ExtractBy": "Ric",
          "SortBy": "SingleByRic",
          "DomainCode": "MarketPrice",
          "DisplaySourceRIC": true
        }
      }
    }
  • eric.lepouchard
    eric.lepouchard Newcomer

    Thanks @zoya.farberov. Yes, the first request does not seem to return any data. Also, I am unclear how to interpret what is returned by the second request. For TFTc1, we are specifically looking for one-minute bars for tick data. Would you know how to access such information with TRTH?

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hello @eric.lepouchard,

    The second request TickHistoryRawExtractionRequest retrieves raw data, exactly as it came from the realtime data feed, and was captured into TickHistory at the time.

    On content questions, such as why content is not as you expect or is the content supposed to be populated for specific interval, developers forum is not the best resource to address, because the majority of the members are developers and moderators are API experts.

    However, an excellent resource for Refinitiv customers for this type of inquiry is Refinitiv Helpdesk Online -> option "I need help understanding content within the product " and product->TRTH, or just dial your local Refinitiv Helpdesk number.

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