I am trying to get the last price for a specific instrument, but I want the price to include prices from extended hours. I have tried two fields: CF_LAST and IRGPRC. The first does not include trades from extended hours, whereas IRGPRC is reset every day, so if no trades have occured today, zero is returned. From excel I have been advised to use the Rhistory function as follows:
=RHistory("AAPL.O","TRDPRC_1.Timestamp;TRDPRC_1.Value;TRDPRC_1.Count","NBROWS:1 ADJUSTED:NO INTERVAL:TAS",,,I7),
since no live data field can give me what I am after, but I have not been able to translate this into a AdxRtHistory query. I have been able to create a historic query using the historic .net api, but I have only been able to do it by requesting data from a specific timestamp and potentially this can be a lot of data. Do you have any suggestions?