Historic AUD tick data extraction

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zhang_dawg
zhang_dawg Newcomer
in DSS

Hi

I used the following URI to extract historical AUD/USD tick data -

https://selectapi.datascope.refinitiv.com/RestApi/v1/Extractions/ExtractRaw

start_date = 2021-09-01

end_date = 2022-09-10

I've managed to extract 24 million records, but all of them are Quote.

Does anyone know why this might have happened?

Regards

EZ

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  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @zhang_dawg

    Thanks for reaching out to us.

    I used the TickHistoryTimeAndSalesExtractionRequest to history data for AUD with the following request.

    {
        "ExtractionRequest": {
            "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
            "ContentFieldNames": [
                "Trade - Price","Trade - Volume","Quote - Bid Price","Quote - Bid Size","Quote - Ask Price","Quote - Ask Size"],
            "IdentifierList": {
                "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
                "InstrumentIdentifiers": [
                    {"Identifier": "AUD", "IdentifierType": "Ric"}
     
                ],
                "ValidationOptions": {"AllowHistoricalInstruments": "True"},
                "UseUserPreferencesForValidationOptions" : "False"
            },
            "Condition": {
                "MessageTimeStampIn": "LocalExchangeTime",
                "DateRangeTimeZone": "Local Exchange Time Zone",
                "ReportDateRangeType": "Range",
                "QueryStartDate": "2022-08-01T09:30:00.000Z",
                "QueryEndDate":   "2022-09-01T16:00:00.000Z",
                "DisplaySourceRIC": "True"
            }
        }
    }

    The results contain both quotes and trades, as shown below.

    #RIC,Alias Underlying RIC,Domain,Date-Time,Type,Price,Volume,Bid Price,Bid Size,Ask Price,Ask Size
    AUD,,Market Price,2022-08-01T09:30:00.976177714-04,Trade,0.624,4255,,,,
    AUD,,Market Price,2022-08-01T09:30:00.976177714-04,Quote,,,0.621,8,0.64,1
    AUD,,Market Price,2022-08-01T09:30:00.980110336-04,Quote,,,0.624,10,0.64,1
    AUD,,Market Price,2022-08-01T09:30:03.807791304-04,Trade,0.6305,1,,,,
    AUD,,Market Price,2022-08-01T09:30:05.099853964-04,Quote,,,0.624,10,0.64,1
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.625,25,,,,
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.624,10,0.64,2
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.624,75,,,,
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.624,1006,,,,
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.64,2
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.6399,1
    AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.6399,2

    Please share the request message that you are using.

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