TRTH: Retrieving range data using Time and Sales Data

Hi there,

I have a problem with extracting data from Tick History

I specified the range in the report request but couldn't retrieve all data. How can I retrieve all data I wrote in the code below? Any help would be appreciated.

Thank you,

body_data = json.dumps({
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames":[
"Quote - Bid Price",
"Quote - Bid Size",
"Quote - Ask Price",
"Quote - Ask Size"

],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [ { "Identifier": "JNIc1", "IdentifierType": "Ric" } ],
"ValidationOptions": None,
"UseUserPreferencesForValidationOptions": False
},
"Condition": {
"MessageTimeStampIn": "",
"ReportDateRangeType": "Range",
"QueryStartDate":"2017-01-03T23:45:00.000Z",
"QueryEndDate": "2017-01-06T20:30:00.000Z",
"DisplaySourceRIC": True
}
}
})

responseGet = requests.post( "https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw",
data = body_data,
headers = header2)

res_json = responseGet.json()
job_id = res_json['JobId']
response_obj = requests.get( "https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/RawExtractionResults('{0}')/$value".format(job_id),
headers = header2, stream=True)

gzip_file = "jnic1.csv"


with open(gzip_file, 'wb') as f:
for data in response_obj.raw.stream(decode_content=True):
f.write(data)


Welcome!

It looks like you're new here. Sign in or register to get started.

Best Answer

  • Christiaan Meihsl
    Answer ✓

    @YK_deprecated_1, am I right in guessing that you are only receiving the first part of the expected data ? If yes, if you run the query several times (try at least 10 times), is the number of lines of received data always the same, or does it vary ? If yes, this might be related to a similar issue we saw in Java with libraries that were not robust enough and dropped the stream when decoding data on the fly.

    I see you set decode_content=True. If I am not mistaken, that means the file will be decompressed before saving to disk. Can you try setting it to false ?

Answers

Welcome!

It looks like you're new here. Sign in or register to get started.

Welcome!

It looks like you're new here. Sign in or register to get started.