Futures next expiry as of date

Hello,

I am using Datascope TimeAndSales TickHistory to download futures data. I am aware of using c1,c2 shorthand to get the next two expiries which works if downloading the data for T+1.

But if I want to do a backfill the API doesn't work out the next expiry as of historical date. Is there a way to do this?

Best,
Ryan

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Accepted answers

ryan.ohanlon

Hello Jirapongse,

Thank you for your response. c1, c2, . . . is short hand to get the next expiries for a future. However this doesn't work historically. i.e. if I were to query CLc1, CLc2 for 2023.01.02 the API doesn't return CLG3 and CLH3. However if I were to query for yesterday the 'Alias Underlying RIC' returns CLV3 and CLX3.
Thanks for the above screenshot. I am a refinitiv newbie. How can I filter Futures & Options Search for just crude oil i.e. CLV3 and CLX3 etc.

Edit:
Is it possible to query timeandsales datascope api using the shorthand c1, c2 historically without using Futures & Options Search ?

All comments

Jirapongse

@ryan.ohanlon

Thank you for reaching out to us.

I am not really understand the question.

Typically, to extract data from Refinitiv Tick History, users need to specify an instrument list and a report teamplate with content fields.

If you don't know instruments, you can use the Futures & Options Search to search for instruments. For more information, please refer to the REST API Tutorial 18: Search for a Future or Option tutorial.

Otherwise, you can try the Futures & Options Search on DSS Web GUI.

ryan.ohanlon

Hello Jirapongse,

ryan.ohanlon

Found my answer to my second question, just needed to filter on RICROOT

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