Daily or weekly frequency market depth

aa.alfarhoud
aa.alfarhoud Newcomer
in TRTH

I'd like to get daily or weekly market depth data, and unfortunately I'm not an expert in coding/programming. Is there a way to convert millisecond data on TRTH into a daily or weekly frequency?

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Best Answer

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

    Hello @aa.alfarhoud,

    I think you are looking for daily or End Of Day data from Tick History?

    If that is the case, try ElektronTimeseriesExtractionRequest:

    {{protocol}}{{host}}{{api}}Extractions/ExtractRaw 

    {
      "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
        "ContentFieldNames": [
          "Instrument ID",
          "Open",
          "High",
          "Low",
          "Last",
          "Volume",
          "VWAP",
          "Number of Price Moves",
          "Trade Date"
        ],
        "IdentifierList": {
          "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
          "InstrumentIdentifiers": [
            {
              "Identifier": "CARR.PA",
              "IdentifierType": "Ric"
            }
          ]
        },
        "Condition": {
          "StartDate": "1996-01-01T00:00:00.000-00:00",
          "EndDate": "2016-11-01T00:00:00.000-00:00"
        }
      }
    }

    See REST API Tutorial 7: On Demand End of Day extraction for more details EOD,

    and REST API Reference Tree for the complete spec of all available requests. Select the request from the dropdown list on the right, and the spec for that request will be reflected on the page.

    Otherwise, please let us know more details on what you are looking to achieve?


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