Help me to solve the problem.
I talked to the support team, they can't help as they don't understand my needs.
I have 100% working code for downloading historical data.
I use Refinitiv Real-Time SDK (RTSDK)
I am interested in the domains: MarketPrice, Legacy2.
Using the code downloaded historical data 03.07.2008-18.12.2023 for chainRICs: ES, NQ, URO, AD, JY and others.
The problem occurred with:
1YM (1YMH3, 1YMH3m, 1YMM3, 1YMM3, 1YMM3, 1YMM3m, 1YMU3, 1YMU3m, 1YMZ3, 1YMZ3)
MQN (MQNH3, MQNH3m, MQNM3, MQNM3m, MQNU3, MQNU3m, MQNZ3, MQNZ3)
MED (MEDH3, MEDH3m, MEDM3, MEDM3m, MEDU3, MEDU3, MEDU3m, MEDZ3, MEDZ3)
Up to 2023 chainRIC data (1YM, MQN, MED) are downloaded, but 2023 data are not.
Communication with support ends with the fact that they write me that they have the domain NormalizedLL2 available for chainRICs data, which I do not need.
Please look at the code:
Legacy 2
new TickHistoryMarketDepthExtractionRequest
{
Condition = new TickHistoryMarketDepthCondition
{
ReportDateRangeType = ReportDateRangeType.Range,
QueryStartDate = startDate, //new DateTimeOffset(2016, 07, 25, 20, 0, 0, TimeSpan.Zero),
QueryEndDate = lastDate, //new DateTimeOffset(2016, 08, 02, 19, 59, 59, TimeSpan.Zero),
ExtractBy = TickHistoryExtractByMode.Ric,
MessageTimeStampIn = TickHistoryTimeOptions.LocalExchangeTime,
SortBy = TickHistorySort.SingleByRic,
View = TickHistoryMarketDepthViewOptions.LegacyLevel2,
DisplaySourceRIC = true
},
IdentifierList = new InstrumentIdentifierList
{
InstrumentIdentifiers = new[]
{
InstrumentIdentifier.Create(result. IdentifierType, result. Identifier)
},
ValidationOptions = new InstrumentValidationOptions
{
AllowHistoricalInstruments = true
}
},
MarketPrice
new TickHistoryRawExtractionRequest
{
Condition = new TickHistoryRawCondition
{
ReportDateRangeType = ReportDateRangeType.Range,
QueryStartDate = startDate, //new DateTimeOffset(2016, 07, 25, 20, 0, 0, TimeSpan.Zero),
QueryEndDate = lastDate, //new DateTimeOffset(2016, 08, 02, 19, 59, 59, TimeSpan.Zero),
ExtractBy = TickHistoryExtractByMode.Ric,
MessageTimeStampIn = TickHistoryTimeOptions.LocalExchangeTime,
SortBy = TickHistorySort.SingleByRic,
DomainCode = TickHistoryRawDomain.MarketPrice,
DisplaySourceRIC = true
},
IdentifierList = new InstrumentIdentifierList
{
InstrumentIdentifiers = new[]
{
InstrumentIdentifier.Create(result. IdentifierType, result. Identifier)
},
ValidationOptions = new InstrumentValidationOptions
{
AllowHistoricalInstruments = true
},
UseUserPreferencesForValidationOptions = false
},
What could be the problem?
Why exactly on
1YM (1YMH3, 1YMH3m, 1YMM3, 1YMM3, 1YMM3m, 1YMU3, 1YMU3m, 1YMZ3, 1YMZ3)
MQN (MQNH3, MQNH3m, MQNM3, MQNM3m, MQNU3, MQNU3m, MQNZ3, MQNZ3)
MED (MEDH3, MEDH3m, MEDM3, MEDM3m, MEDU3, MEDU3, MEDU3m, MEDZ3, MEDZ3)
I can't find the files I need using the code?
I don't understand why on other RICs (ES, NQ and so on) the code works and download history for 2023 for the domains I need without problems, but in case of 1YM, MQN, MED nothing is downloaded.
I can use the code to download MEDH3, MEDH3m, MQNH3, MQNH3m but cannot download the following RICs (monthly contracts M, U, Z). They are not available on the server for the domains I need.
Support doesn't understand my problem.
