NFE exchange data download
We want to download data of NFE exchange for a number of securities only. These securities will remain static or might got changed perioidically. We want to schedule jobs for all file types of NFE and want to fetch it from backend, like the we are downloading VBD/MBO/MM data. What will be the best possible way to do it? Is there any template or API to do so? Please suggest.
Hi @Ayan
First of all, do you have the list of instruments that you wish to download? If you don't have the list yet, you can use either HistoricalCriteriaSearch or HistoricalChainResolution if you have the chain RIC.
Once you have the list, your best option is scheduled data extraction.
The workflow of scheduled data extraction is described in this tutorial and Chapter 9 and 10 of REST API User Guide.
Basically, what you have to do is:
- Create your Instrument List.
This can be done using either Web GUI or REST API. The list will be saved on the server. This allows you to reuse or change it as necessary. This list will have an associate "ListId". - Create Report Template.
This is where you define your report type. If you want Time and sale data, then you must use"TickHistoryTimeAndSalesReportTemplate", or if you want Raw data, then you can use "TickHistoryRawReportTemplate".
You also define your report date range in this step. Depends on how often you wish to fetch the data, the range should cover the schedule interval.
This step can be done using either Web GUI or REST API, will be saved on the server and it as well. - Schedule the data extraction.
This defines when the data file will be generated. It can be daily, weekly or monthly.
Once the schedule is created, you can perioidically fetch the data file from the backend.
We are working ot it. Will keep you updated.