For a deeper look into our DataScope Select REST API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials

question

Upvotes
Accepted
gnareshkumar avatar image
5 ●1 ●5 ●8

Unable to fetch Mid price from DSS

Dear All,

Through Intraday pricing we are not receiving Mid price, please advice how to fetch MID price for the RIC code SGD=.

Raw data from Reuters :

"IdentifierType": "Ric", "Identifier": "SGD=", "RIC": "SGD=", "Ask Price": 1.4316, "Asset Type": "MONY", "Bid Price": 1.4311, "Currency Code": "SGD", "Exchange Code": "RCT", "High Price": 1.4365, "Instrument ID": "SGD=", "Instrument ID Type": "RIC", "Low Price": 1.4284, "Open Price": 1.4313, "Previous Close Date": "2016-11-23", "Previous Close Price": 1.4317, "Security Description": "US Dollar/Singapore Dollar FX Spot Rate", "Settlement Price": null, "Trade Date": "2016-11-24", "Volume": 27708

dss-rest-apidatascope-selectdssrics
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Jirapongse avatar image   Jirapongse

@gnareshkumar

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the most appropriate reply. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

3 Answers

· Write an Answer
Upvotes
Accepted
Christiaan Meihsl avatar image
13.7k ●26 ●8 ●12

@gnareshkumar

Using the GetValidContentFieldTypes discovery endpoint for an Intraday request you will find 2 fields for mid price:

"Average of Bid and Ask". Description: "Mid point between the Bid Price and Ask Price".

"Mid Price". Description: "Instrument's price that is between the bid and ask prices. Note, this field may contain representative values. Use Average of Bid and Ask for a pure average of Bid and Ask"

I just made an intraday OnDemand request for SGD=, both delivered the expected value. Here is the relevant extract of the result:

      "RIC": "SGD=",
      "Average of Bid and Ask": 1.4276,
      "Mid Price": 1.4276,
      "Ask Price": 1.428,
      "Bid Price": 1.4272,

That said, as Rick pointed out, Mid Price data might not necessarily be available for all instruments.

Suggestion: you might want to implement some logic to calculate the mid price yourself from the bid and ask, either in all cases or as a fallback in case the "Mid Price" field is empty.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
Rick Weyrauch avatar image
1.1k ●5 ●3 ●5

The GetValidContentFieldTypes discovery endpoint will enumerate all of the available fields for any ReportTemplateType. For the RTs that provide it, I would expect them all to use "Mid Price" for that field.

It should be noted that "Mid Price" is not necessarily available for all instrument types or even some specific instruments. This value is contributor dependent. I did see Mid Price values for SGD= on a test Intraday extraction I ran.

What type of extraction did you use to gather those facts? Did you capture any of the diagnostic details listed at https://hosted.datascopeapi.reuters.com/RestApi.Help/Home/Diagnostics or the extraction notes (Note: The Extract() endpoint is being depreciated because it does not provide extraction notes - all new implementations should be using ExtractWithNotes.)?

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Upvotes
gnareshkumar avatar image
5 ●1 ●5 ●8

Hi Christiaan Meihsl, Rick Weyrauch

Thanks a lot for the information :)

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.