we are developing our integration with TRTH to get tick data every day. We use on demand extraction and we want to use our internal scheduler that fires once the data of the day can be downloaded (after the embargo).
What do you think is the best way to handle the embargo in our situation, where we daily request the historical data at the end of the day ?
Is there an easy way on how to get the latest data availability timestamp ?
The most critical cases are like today (3/07/2017), where the last 2 days are sat,sun. Right now for ESU7 instrument the last tick available/downloadble is at 30/06/2017 at 22:30 utc. If the system tries to get data yesterday, and today it obviously gets the "embargo" error.
"Request occurred during embargo"
It would help me a lot to have this information, at what time is the last tick available/downloadable. Is it possible ?
With regard to the available time of data, most data will be available two hours after market close. For example, the USU7 RIC's venue is CME:Index and Options Market (IOM). The Effective close time is 16:45 Chicago time. Tick History data logged before the effective close time should be available at 18:45 Chicago time. However, Tick History data logged after the effective close time will be available at 18:45 Chicago time next day.
As the suggestion from Christiaan, the extraction note provides more information such as the embargo status, time that the last tick is available/downloadable, and embargo time. Please note that the time in my sample note is in GMT+7.
Instrument <RIC,ESU7> expanded to 1 RIC: ESU7. (RIC,ESU7,IOM) Some data suppressed for IOM, PE 5058. Request occurred during embargo. Data currently available through 07/04/2017 04:45:00. Full access at effective market close plus 2 hours.
@alvise.susmel, the data coverage guide has a tab containing the release time, per exchange. This gives you an idea of when data is available. On top of that you must implement something to manage weekends and banking holidays.
Parsing the extraction notes is useful to understand if an embargo was applied, what the cutoff time was, and if it was a full or partial embargo. You could use this in various ways, to log embargoes, detect gaps or even wait till the cutoff time and then resubmit the on demand request. Here is a full embargo message example:
(RIC,IBM.N,NYS) entire extraction falls after exchange cutoff time for NYS of 07/11/2016 21:02:00 (GMT). All data is suppressed.
Here is a partial embargo message:
(RIC,IBM.N,NYS) extraction end time falls after exchange cutoff time for NYS of 07/11/2016 21:02:00 (GMT). All data after exchange cutoff time is suppressed.
I hope this helps.