question

Upvotes
Accepted
23 0 0 1

data on weeeknds with TimeBarPersistence set to false in python when using RESP-API

I am extracting ONE MINUTE TIME BARS. However, it is not clear what the difference is if I choose TimebarPersistence to be true or false? There appears to be data on weekends for both cases. The difference is that quotes seem to change on Saturdays whilst the values do not change on Saturday and Sunday until market open ... please advise.

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

requestHeaders={"Prefer":"respond-async","Content-Type":"application/json","Authorization": "token " + token}

requestBody={
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
    "ContentFieldNames": ["Close Ask","Close Bid","High Ask","High Bid","Low Ask","Low Bid","No. Asks","No. Bids",
      "Open Ask","Open Bid"],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{"Identifier": ticker1,"IdentifierType": "Ric"},
                                #{"Identifier": ticker2,"IdentifierType": "Ric"}
                               ],
      "UseUserPreferencesForValidationOptions":"false"
    },    
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate":QueryStartDate ,
      "QueryEndDate": QueryEndDate,
      "SummaryInterval": "OneMinute",
      "TimebarPersistence":"false",
      "DisplaySourceRIC":"true"
    }
  }
}

r2 = requests.post(requestUrl, json=requestBody,headers=requestHeaders)
tick-history-rest-api#content
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
Accepted
5.7k 18 2 7

Posting the response from the case for future reefrence:

The Timebar Persistence option is designed to carry over values from the previous bar to the next bar (optional).

When the Timebar Persistence option is checked, the output result for quotes (Bid and Ask value) will have all the data included for the date and time range, irrespective of the same bid and ask quoted for different timings.
However when the Timebar Persistence option is unchecked, the output result will capture only the changed values for date and time range selected.

Kindy take note that the Timebar persistence will be applicable only for quote messages and not for trade messages. The logic behind this is that the quotes are still alive in the market unless there’s a change and therefore the quotes summaries are copied down when the option is checked. An easy way of identifying if the quotes are a summary of existing time interval or a copy from previous time interval is with the help of fields “No. Bids” and “No. Asks” which is 0 when the values are getting copied down.

For trades, copying down values from prior time bars amounts to manipulation of data as there are no trades.
Without Timebar persistence: The data in the output is available only for those time bars when there is a change in the Bid and Ask values.

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
5.7k 18 2 7

Hi @jolin.majmin ,


The question you are asking is related to the content within the product, whereas the moderators of this forum are experts for API related technical questions. I have created a content query (case id: 13478119) on your behalf, you should have already received an email.


Best regards,

Haykaz

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.