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

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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