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Question by ricardo.siguero · Sep 19, 2017 at 08:22 AM · tick-history-rest-apihistoricalrest-api

Intraday extraction does not return data for FX instruments

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

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Best Answer
Answer by Christiaan Meihsl · Sep 19, 2017 at 08:51 AM

@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.

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