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dwilson avatar image
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How to get RIC reference data as of some date

I am sending this request:

{
"ExtractionRequest" : {
"@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
"Condition" : {
"EndDate" : "2017-07-24T23:59:59.999Z",
"StartDate" : "2017-07-24T00:00:00.000Z"
},
"ContentFieldNames" : [
"RIC",
"Security Description",
"Currency Code",
"Expiration Date",
"PE Code",
"Underlying RIC"
],
"IdentifierList" : {
"@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers" : [
{
"Identifier" : "YBAH0",
"IdentifierType" : "Ric"
},
{
"Identifier" : "YBAH1",
"IdentifierType" : "Ric"
},
{
"Identifier" : "YBAH2",
"IdentifierType" : "Ric"
}
],
"UseUserPreferencesForValidationOptions" : false,
"ValidationOptions" : {
"AllowHistoricalInstruments" : false
}
}
}
}

Part of the result I get is:

{
"Currency Code" : "AUD",
"Expiration Date" : "2020-03-12",
"Identifier" : "YBAH0",
"IdentifierType" : "Ric",
"PE Code" : "6571",
"RIC" : "YBAH0",
"Security Description" : "BANK BILL MAR0",
"Underlying RIC" : "AU3MEBBR="
},
{
"Currency Code" : "AUD",
"Expiration Date" : "2010-03-11",
"Identifier" : "YBAH0",
"IdentifierType" : "Ric",
"PE Code" : "3963",
"RIC" : "YBAH0^1",
"Security Description" : "BANK BILLS MAR0",
"Underlying RIC" : "AU3MEBBR="
},

I just want the RICs asof the day I requested...why do I get (and what is) Ric "YBAH0^1" (and others with "^1" on the end)?

If I change the date to several years in the past, I get all null fields...how do I get past data?

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wasin.w avatar image   wasin.w

Hi @dwilson. Thank you for your participation in the forum.

Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks

AHS

Christiaan Meihsl avatar image   Christiaan Meihsl

@dwilson, please be informed that a reply has been verified as correct in answering the question, and has been marked as such. Thanks, AHS

1 Answer

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Alex Putkov.1 avatar image
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YBAH0^1 is the RIC for the Bank Bills future contract expired on 2010-03-11. Futures contracts RICs are recycled. As of today the RIC YBAH0 refers to the contract expiring on 2020-03-12. However prior to 2010-03-11 that same RIC YBAH0 referred to the contract expiring on 2010-03-11. After expiration futures RICs are renamed by adding "^" + single digit corresponding to the decade of the contract expiration year. So, the RIC for expired future is constructed as: RIC root + the letter identifying expiration month + the last digit of the expiration year + caret symbol + the second to last digit of the expiration year. E.g. the RIC for YBA future that expired in December 2015 is YBAZ5^1.
I hope this helps.

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