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11 7 2 3

Missing data for Intraday Summaries Extraction Request in European contracts

I'm trying to extract tick data with a summary interval of 1 minute for one complete day by setting "QueryStartDate" and "QueryEndDate" in the "Condition" appropriately.

For some reason, the tick data returned for European contracts consists approximately only 20 hours of data whereas the US contracts contain 24 hours as requested.

For the instrument FBONZ7 (European), the first and the last entries of the data returned is given below. As you can see, the difference between the two timestamps is ~20 hours and missing 4 hours of data.

FBONZ7,Market Price,2017-10-20T02:00:00.000000000+02,Intraday 1Min,,,,,,,,,,,,,,,,

FBONZ7,Market Price,2017-10-20T22:10:00.000000000+02,Intraday 1Min,,,,,,,137.31,137.31,137.31,137.31,0,137.48,137.48,137.48,137.48,0

Below is the Extraction Request. Any help regarding this would be greatly appreciated. Thanks!

{
   "ExtractionRequest" : {
      "@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
      "ContentFieldNames" : [
         "Close Ask",
         "Close Bid",
         "High",
         "High Ask",
         "High Bid",
         "Last",
         "Low",
         "Low Ask",
         "Low Bid",
         "No. Asks",
         "No. Bids",
         "No. Trades",
         "Open",
         "Open Ask",
         "Open Bid",
         "Volume"
      ],
      "IdentifierList" : {
         "@odata.type" : "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
         "InstrumentIdentifiers" : [
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FBTSZ7"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FGBSZ7"
            },
            {
               "Identifier" : "FBTPZ7",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "FBONZ7",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "FOATZ7",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FGBMZ7"
            },
            {
               "Identifier" : "FGBLZ7",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "FGBXZ7",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FLGZ7"
            },
            {
               "Identifier" : "TYZ7",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "USZ7",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "AULZ7"
            },
            {
               "Identifier" : "FVZ7",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "TUZ7",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FBTSH8"
            },
            {
               "Identifier" : "FGBSH8",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FBTPH8"
            },
            {
               "Identifier" : "KOAH8",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "FOATH8",
               "IdentifierType" : "Ric"
            },
            {
               "Identifier" : "FGBMH8",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FGBLH8"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FGBXH8"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FLGH8"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "TYH8"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "USH8"
            },
            {
               "Identifier" : "AULH8",
               "IdentifierType" : "Ric"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "FVH8"
            },
            {
               "IdentifierType" : "Ric",
               "Identifier" : "TUH8"
            }
         ],
         "ValidationOptions" : {
            "AllowHistoricalInstruments" : 1
         },
         "UseUserPreferencesForValidationOptions" : 0
      },
      "Condition" : {
         "MessageTimeStampIn" : "LocalExchangeTime",
         "ReportDateRangeType" : "Range",
         "QueryStartDate" : "2017-10-20T00:00:00Z",
         "QueryEndDate" : "2017-10-21T00:00:00Z",
         "SummaryInterval" : "OneMinute",
         "TimebarPersistence" : 1,
         "DisplaySourceRIC" : 1
      }
   }
}
dss-rest-apidatascope-selectdsstick-history-rest-apiextraction
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Upvotes
Accepted
81k 264 53 75

I assume that you have requested the data on 21 Oct 2017. When the "MessageTimeStampIn" is set to "LocalExchangeTime", the returned time stamp is represented in the local exchange time.

FBONZ7,Market Price,2017-10-20T02:00:00.000000000+02,Intraday 1Min,,,,,,,,,,,,,,,,

2017-10-20T02:00:00.000000000 is the local exchange time (GMT+2).

For the last line, I assume that the extraction has been embargoed. You can verify this from the Notes. You should see something like this:

Instrument <RIC,FBONZ7> expanded to 1 RIC: FBONZ7.\n(RIC,FBONZ7,EUX) Some data suppressed for EUX, PE 8151.  Request occurred during embargo.  Data currently available through 10/25/2017 03:00:00.  Full access at effective market close plus 2 hours.

You can also refer to Data Coverage Guide for Tick History 11.2 on the Data Release Times sheet for the embargo period for each venue. FBONZ7 is in EUX.

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Thanks, I'll look into this. I perform the extraction every day at 8 am EDT (= UTC - 4h) for the previous day's data. Maybe this is what's causing the issue.

Upvotes
11.3k 26 9 14

Hi @ggoli,

I have tried your Extraction request and can get 24 hour of data for FBONZ7 RIC. The first and the last entries of the data returned is below.

FBONZ7,Market Price,2017-10-20T02:00:00.000000000+02,Intraday 1Min,,,,,,,,,,,,,,,,
FBONZ7,Market Price,2017-10-21T02:01:00.000000000+02,Intraday 1Min,,,,,,,137.31,137.31,137.31,137.31,0,137.48,137.48,137.48,137.48,0

Could you retry the Extraction request and provide the Note information returned from
https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRawResult() endpoint once the extraction is completed? The Note information might contain some related information.

Also, which programming language/HTTP client are you using for Extraction Request?

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