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hiroko.goto avatar image
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tickhistory data extraction time

One of clients is interested in TickHistory time and sales data for FX such as NOKSEK= and SEKJPY=R.

They would like to know the following points:

  1. If they would like to extract 5 year history, what would be the best chunk to recommend to retrieve the tick data? e.g. 1 year or 5 year? I understand that in Best Practice Guide, user should “disperse requests instead of submitting a large set of requests at once. Submitting large sets of requests simultaneously can impede system performance. Please disperse your requests within the defined limits and only submit the requests that you need.” Can they just extract the data of 5 years as one go, as this very small set of 1 or 2 RICs?
  2. How long would it take to retrieve the tick data (from request until download) as recommended time frame in question (1)? I understand that it would depend on client technical environment, but if you have any typical example of extraction time, it would be great.

Regards,

Hiroko

#technology#producttick-history-rest-api
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Jirapongse avatar image
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@hiroko.goto

Thank you for reaching out to us.

There are many factors that can impact the extraction and download times.

I have tested several cases by using TickHistoryTimeAndSalesExtractionRequest to extract "Quote - Ask Price", and "Quote - Bid Price".

The results are:

1726722600342.png

SEKJPY=R is more active than NOKSEK= so it takes more time to extract and download the data.

Users can use an extraction request to extract all data in one go. However, it will take a long time to extract and dowload a file. This method is suitable for the backend or unresponsive applications.

For responsive applications, users can split it to multiple requests, such as one request for one year data.

Moreover, according to the Best Practices guide, users can run two requests concurrently. This can speed up the overalll processes. 

The number of concurrent extractions that can be processed on a per-report and per-user basis is two for all report templates except Intraday Pricing and Historical Reference report templates. ..

In addition, downloading files from the AWS is faster than downloading files from the DSS server. Moroever, users can speed up the downloads by concurrenlty download a file with the Range header, as mentioned on the Downloading a Large Tick History File with Python article.



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