Is there a way to determine expiration data for a historical future contract using DSS or TRTH RE...

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ekhosid
ekhosid Newcomer
in TRTH

...ST API

I'm looking to get expiration dates for contracts that are resolved from futures chain RIC using HistoricalChainResolutionRequest call.


Thank you.

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Best Answer

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

    Hello @ekhosid,

    My understanding is that once you have resolved the chain you should have RICs of the future contracts. Next, you can run a search, either by specific RIC or by root RIC and a wild card, something like:

    {{protocol}}{{host}}{{api}}Search/FuturesAndOptionsSearch 
    {
        "SearchRequest": {
            "FileCodes": null,
            "CurrencyCodes": null,
            "ExchangeCodes": null,
            "ExpirationDate": {
                "@odata.type": "#ThomsonReuters.Dss.Api.Search.DateValueComparison",
                "ComparisonOperator": "LessThanEquals",
                "Value": "2016-12-31T00:00:00.000Z"
            },
            "IdentifierType": "Ric",
            "Identifier": "ED*",
            "PreferredIdentifierType": "Ric"
        }
    }

    resulting in:

    {
        "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#Collection(ThomsonReuters.Dss.Api.Search.FuturesAndOptionsSearchResult)",
        "value": [
            {
                "Identifier": "ED1tmH2^1",
                "IdentifierType": "Ric",
                "Source": "TIM",
                "Key": "VjF8MHgwMDAzZjgwNTEzOGM0ODI5fDB4MDAwM2Y4MDUxMzhjOWJmYXxUSU18RFZRVXxERVJWfEZVVHxEfHxFRDF0bUgyXjF8NTIyNQ",
                "Description": "ED1 MAR2",
                "InstrumentType": "DerivativeQuote",
                "Status": "Valid",
                "ExchangeCode": "TIM",
                "CurrencyCode": "TWD",
                "FuturesAndOptionsType": "Futures",
                "PutCallCode": "",
                "ExpirationDate": "2012-03-21T00:00:00.000Z",
                "AssetStatus": "Inactive"
            },
    ...

    Does this work for your use case?




Answers

  • ekhosid
    ekhosid Newcomer

    Thank you. That's exactly what I was looking for. Let me try it.

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