How to retrieve Time and Sales Tick data in RTH?

leo.wu
leo.wu LSEG

Hi Team,

I want to download the JNIU6 data through the API from 2016-06-29 to 2016-06-30, could you advise the correct template to use? Or anything wrong in my below request?

{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Auction - Exchange Time",
"Auction - Price",
"Auction - Volume",
"Auction - Qualifiers",
"Market Conditions - Qualifiers",
"Trade - Ask Price",
"Trade - Ask Size",
"Trade - Bid Price",
"Trade - Bid Size",
"Trade - Exchange Time",
"Trade - Price",
"Trade - Volume",
"Trade - Qualifiers"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"ValidationOptions": {
"AllowHistoricalInstruments": "true"
},
"InstrumentIdentifiers": [
{
"Identifier": "JNIU6",
"IdentifierType": "Ric",
"Description": "Historical Instrument",
"FirstDate": "2016-06-29T23:00:00.000Z",
"LastDate": "2016-06-30T23:00:00.000Z"
}
]
},
"Condition": {
"SortBy": "SingleByRic",
"MessageTimeStampIn": "LocalExchangeTime",
"ReportDateRangeType": "Range",
"QueryStartDate": "2016-06-29T23:00:00.000Z",
"QueryEndDate": "2016-06-30T23:00:00.000Z"
}
}
}


Thanks,

Leo

Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @leo.wu

    The request is incorrect. It should look like:

    {
    "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
    "ContentFieldNames": [
    "Auction - Exchange Time",
    "Auction - Price",
    "Auction - Volume",
    "Auction - Qualifiers",
    "Market Conditions - Qualifiers",
    "Trade - Ask Price",
    "Trade - Ask Size",
    "Trade - Bid Price",
    "Trade - Bid Size",
    "Trade - Exchange Time",
    "Trade - Price",
    "Trade - Volume",
    "Trade - Qualifiers"
    ],
    "IdentifierList": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
    "ValidationOptions": {
    "AllowHistoricalInstruments": "true"
    },
    "InstrumentIdentifiers": [
    {
    "Identifier": "JNIU6",
    "IdentifierType": "Ric"
    }
    ]
    },
    "Condition": {
    "SortBy": "SingleByRic",
    "MessageTimeStampIn": "LocalExchangeTime",
    "ReportDateRangeType": "Range",
    "QueryStartDate": "2016-06-29T23:00:00.000Z",
    "QueryEndDate": "2016-06-30T23:00:00.000Z"
    }
    }
    }

    The output looks like the following.

    image

Answers