question

Upvotes
Accepted
5 8 12 12

VWAP retrieval at a given date

Hi,
We are collecting information data for a given list of instruments (at a given time).

We are retrieving information of the Open, High, Low, Last prices (and the Volume value) for every instrument set on the mentioned list, by defining the report template shown next:

/Extractions/TickHistoryIntradaySummariesReportTemplates
{
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ReportTemplates.TickHistoryIntradaySummariesReportTemplate",
    "ShowColumnHeaders": false,
    "Name": "MyReportTemplate2dsfs",
    "Headers": [
         
    ],
    "Trailers": [
         
    ],
    "ContentFields": [
        {
            "FieldName": "Open",
            "Format": null
        },
        {
            "FieldName": "High",
            "Format": null
        },
        {
            "FieldName": "Low",
            "Format": null
        },
        {
            "FieldName": "Last",
            "Format": null
        },
        {
            "FieldName": "Volume",
            "Format": null
        }
       
    ],
    "Condition": {
        "MessageTimeStampIn": "GmtUtc",
        "ReportDateRangeType": "Range",
        "QueryStartDate": "2015-12-01T13ge:00:00.000Z",
        "QueryEndDate": "2015-12-01T13:05:00.000Z",
        "TimebarPersistence": true,
        "DisplaySourceRIC": false,
        "SummaryInterval": "OneHour"
    }
}

But we also need too retrieve the VWAP price, which is not found on the list of available fields for this resource...

Is there another way of getting such price (VWAP) in addition of the data already retrieved by means of the previous call?

Thanks, in advance, for all your help.

tick-history-rest-apivwap
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Hello @ricardo.siguero,

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

@ricardo.siguero

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

· Write an Answer
Upvote
Accepted
79.2k 251 52 74

Refer to TICK HISTORY V1 - V2 COMPARISON (JUNE 2017), at Difference 4: No Calculated VWAP/Average Execution Price on Summary Data, Calculated VWAP and Average Execution Price on minute summary data are not supported in Tick History v2.0.


diff4.png (59.4 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.