We are using, in our TRTH migration process, the following endpoint and report template for retrieving intraday data:
/Extractions/TickHistoryIntradaySummariesReportTemplates
{ "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ReportTemplates.TickHistoryIntradaySummariesReportTemplate", "ShowColumnHeaders": false, "Name": "12456790_REQUESTINTRADAY_TPLT_20170919.114535.380", "Headers": [], "Trailers": [], "ContentFields": [{ "Format": null, "FieldName": "Open" }, { "Format": null, "FieldName": "High" }, { "Format": null, "FieldName": "Low" }, { "Format": null, "FieldName": "Last" }, { "Format": null, "FieldName": "Volume" }], "Condition": { "MessageTimeStampIn": "LocalExchangeTime", "ReportDateRangeType": "Range", "QueryStartDate": "2017-09-14T00:00:00.000Z", "QueryEndDate": "2017-09-14T23:59:59.000Z", "DisplaySourceRIC": false, "SummaryInterval": "FiveMinutes" } }
The instrument list is populated with several types of instruments. An example of that is shown below:
{ "Identifiers": [{ "IdentifierType": "Ric", "Identifier": "SAN.MC" }, ... { "IdentifierType": "Ric", "Identifier": "EUR=" }, { "IdentifierType": "Ric", "Identifier": "EUR10MV=" } ... ], "KeepDuplicates": false }
Taking into account only the three instruments above, the extraction file only contains intraday data for the equity (SAN.MC)
SAN.MC,Market Price,2017-09-14T09:00:00.000000000+02,Intraday 5Min,5.58,5.585,5.57,5.581,390775 SAN.MC,Market Price,2017-09-14T09:05:00.000000000+02,Intraday 5Min,5.58,5.607,5.576,5.6,406852 SAN.MC,Market Price,2017-09-14T09:10:00.000000000+02,Intraday 5Min,5.6,5.602,5.591,5.592,179502 SAN.MC,Market Price,2017-09-14T09:15:00.000000000+02,Intraday 5Min,5.592,5.595,5.586,5.586,865217 SAN.MC,Market Price,2017-09-14T09:20:00.000000000+02,Intraday 5Min,5.586,5.586,5.579,5.58,416123 SAN.MC,Market Price,2017-09-14T09:25:00.000000000+02,Intraday 5Min,5.58,5.581,5.57,5.572,398044 SAN.MC,Market Price,2017-09-14T09:30:00.000000000+02,Intraday 5Min,5.572,5.576,5.564,5.575,384348
The extraction provide us no data for FX instruments (EUR=,EUR10MV=)
Any idea about what's happening?
Thanks
Ricardo
@ricardo.siguero, the Open, High, Low, Last and Volume fields are all based on trades. As there are no trades for FX there is no intraday data.
For FX you could request fields like Open Bid, High Bid, Low Bid, Close Bid, etc.