EOD Request does not return Open, High and Low. Also Intraday has similar problem

san tang
san tang Explorer
in TRTH

I am using ElektronTimeseriesExtractionRequest for On Demand extraction of End Of Day report. 

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [
    	"RIC",
    	"Trade Date",
      	"Open",
      	"High",
      	"Low",
      	"Bid"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "RONILS=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "NZDCHF5Y=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "DKKSEK2Y=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "CADILS15M=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "AUDCHF7M=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "CAD=D3",
        "IdentifierType": "Ric"
},{
        "Identifier": "CZKJPY8M=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "CHFHUF2W=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "GBPZAR9M=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "GBPMXN=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "AUDHUF15M=R",
        "IdentifierType": "Ric"
}]

    },
    "Condition":{
          "StartDate":"2017-11-03T00:00:00.000Z",
          "EndDate":"2017-11-03T23:59:59.999Z"
        }
  }
}

The O/P I get is:

RIC,Trade Date,Open,High,Low,Bid
RONILS=R,2017/11/03,,,,.8861
NZDCHF5Y=R,2017/11/03,,,, -1177.25
DKKSEK2Y=R,2017/11/03,,,,20.38
CADILS15M=R,2017/11/03,,,, -577.83
AUDCHF7M=R,2017/11/03,,,, -129.14
CZKJPY8M=R,2017/11/03,,,, -113.87
CHFHUF2W=R,2017/11/03,,,,7.5
GBPZAR9M=R,2017/11/03,,,,9968.46
GBPMXN=R,2017/11/03,,,,25.0942
AUDHUF15M=R,2017/11/03,,,, -560.66


If I request the same from TRTH V1, I get complete data:
#RIC,Date[L],Time[L],Type,Open,High,Low,Close Bid
RONILS=R,03-NOV-2017,,End Of Day,0.8882,0.8902,0.8843,0.8861
NZDCHF5Y=R,03-NOV-2017,,End Of Day,-1196.3549,-1155.1385,-1212.0789,-1177.25
DKKSEK2Y=R,03-NOV-2017,,End Of Day,18.4325,50.4458,-22.7996,20.38
CADILS15M=R,03-NOV-2017,,End Of Day,-551.5995,-526.0896,-593.3462,-577.83
AUDCHF7M=R,03-NOV-2017,,End Of Day,-133.9886,-128.051,-133.9902,-129.14
CAD=D3,03-NOV-2017,,End Of Day,1.2801,1.2835,1.2716,1.2758
CZKJPY8M=R,03-NOV-2017,,End Of Day,-122.2836,-84.2765,-172.9672,-113.87
CHFHUF2W=R,03-NOV-2017,,End Of Day,7.6428,8.2376,3.2597,7.5
GBPZAR9M=R,03-NOV-2017,,End Of Day,9708.208,10068.375,9623.6846,9968.46
GBPMXN=R,03-NOV-2017,,End Of Day,24.786,25.1525,24.7572,25.0942
AUDHUF15M=R,03-NOV-2017,,End Of Day,-561.7249,-548.6769,-579.563,-560.66
Could someone please tell me where I am going wrong?

Also, In V2, I get Bid price as .8861 and in V1 I get it as 0.8861. Are there any further changes to do in the request for getting the 0 before the decimal?

=================

Also, I tried TickHistoryIntradaySummariesExtractionRequest, I do not get Open,High,Low,Last,No. Trades,Open Bid,High Bid,Low Bid,Close Bid,No. Bids,Open Ask,High Ask,Low Ask,Close Ask,No. Asks data. I get empty rows instead.

Here is the data in new version:

#RIC,Domain,Date-Time,GMT Offset,Type,Open,High,Low,Last,No. Trades,Open Bid,High Bid,Low Bid,Close Bid,No. Bids,Open Ask,High Ask,Low Ask,Close Ask,No. Asks
MTGOV11YZ=R,Market Price,2017-11-03T00:00:00.000000000Z,+0,Intraday 1Min,,,,,,,,,,,,,,,
MTGOV11YZ=R,Market Price,2017-11-03T00:01:00.000000000Z,+0,Intraday 1Min,,,,,,,,,,,,,,,
MTGOV11YZ=R,Market Price,2017-11-03T00:02:00.000000000Z,+0,Intraday 1Min,,,,,,,,,,,,,,,
MTGOV11YZ=R,Market Price,2017-11-03T00:03:00.000000000Z,+0,Intraday 1Min,,,,,,,,,,,,,,,

Here is data in old version:

#RIC,Date[G],Time[G],GMT Offset,Type,Open,High,Low,Last,Ave. Price,No. Trades,Open Bid,High Bid,Low Bid,Close Bid,No. Bids,Open Ask,High Ask,Low Ask,Close Ask,No. Asks
MTGOV13YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,1.73546,1.73546,1.73546,1.73546,1.7355,1,1.73546,1.73546,1.73546,1.73546,1,0.7995753,0.7995753,0.7995753,0.7995753,1
MTGOV9YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,1.087489,1.087489,1.087489,1.087489,1.0875,1,1.087489,1.087489,1.087489,1.087489,1,0.9071886,0.9071886,0.9071886,0.9071886,1
MTGOV20YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,2.210698,2.210698,2.210698,2.210698,2.2107,1,2.210698,2.210698,2.210698,2.210698,1,0.6456852,0.6456852,0.6456852,0.6456852,1
MTGOV25YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,2.247225,2.247225,2.247225,2.247225,2.2472,1,2.247225,2.247225,2.247225,2.247225,1,0.5737355,0.5737355,0.5737355,0.5737355,1
MTGOV11YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,1.443154,1.443154,1.443154,1.443154,1.4432,1,1.443154,1.443154,1.443154,1.443154,1,0.8541808,0.8541808,0.8541808,0.8541808,1
MTGOV16YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,2.034234,2.034234,2.034234,2.034234,2.0342,1,2.034234,2.034234,2.034234,2.034234,1,0.7245452,0.7245452,0.7245452,0.7245452,1
MTGOV8YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,0.891275,0.891275,0.891275,0.891275,0.8913,1,0.891275,0.891275,0.891275,0.891275,1,0.9314748,0.9314748,0.9314748,0.9314748,1
MTGOV17YZ=R,20171103,08:00:00.000,+0,Intraday 1Min,2.099011,2.099011,2.099011,2.099011,2.0990,1,2.099011,2.099011,2.099011,2.099011,1,0.7024798,0.7024798,0.7024798,0.7024798,1

Here is my request:

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
    "ContentFieldNames": [
      	"Open",
      	"High",
      	"Low",
      	"Last",
      	"Open Bid",
      	"High Bid",
      	"Low Bid",
      	"Close Bid",
      	"Open Ask",
      	"High Ask",
      	"Low Ask",
      	"Close Ask",
      	"No. Trades",
      	"No. Bids",
      	"No. Asks"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [
{
        "Identifier": "MTGOV13YZ=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "MTGOV9YZ=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "MTGOV20YZ=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "MTGOV25YZ=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "MTGOV11YZ=R",
        "IdentifierType": "Ric"
},{
        "Identifier": "MTGOV16YZ=R",
        "IdentifierType": "Ric"
}
      	]

    },
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2017-11-03T00:00:00.000Z",
      "QueryEndDate": "2017-11-03T23:59:59.999Z",
      "DisplaySourceRIC": true
    }
  }
}
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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    I got the same result. There is no value in Open, High, and Low fields.

    For this content issue, please kindly contact TRTH V2 support team via Contact Us for the answer. In the product field, please select Thomson Reuters Tick History v2.

Answers

  • san tang
    san tang Explorer

    @jirapongse.phuriphanvichai

    I got the reply from customer support as below:
    FX Spot and Forward RICs such as EUR=, INR=, AUD9MD=, and all the other
    FX RICs ending with “=” are what we call Super RICs. Super RICs carry
    contributed quotes from multiple contributors, primarily Global banks such as
    CITI, RBS, Societe Generale, BNP Paribas, UBS, Barclays etc. These RICs carry
    indicative quotes and are not actual dealt quotes to carry OPEN, HIGH, LOW,
    LAST attributes. Hence intraday summaries and Elektron Timeseries report
    template has not returned values for FX instruments for these fields.




    In simple Composite RICs/Super RICs (EUR=, AUDCHF7M=R, CAD=D3) carry prices
    from banks and brokers. Prices are always indicative & purely contributed.
    As you may know these are OTC (over the counter) instruments which does not
    trade on any exchanges. Thus you will not receive any trades data.

    Could you please tell me on how to go about this?

  • wasin.w
    wasin.w admin

    Hi @san tang

    Please see updates from the case 06012124 below:

    FX Spot and Forward RICs such as EUR=, INR=, AUD9MD=, and all the other 
    FX RICs ending with “=” are what we call Super RICs. Super RICs carry 
    contributed quotes from multiple contributors, primarily Global banks 
    such as CITI, RBS, Societe Generale, BNP Paribas, UBS, Barclays etc. 
    These RICs carry indicative quotes and are not actual dealt quotes to 
    carry OPEN, HIGH, LOW, LAST attributes. Hence intraday summaries and 
    Elektron Timeseries report template has not returned values for FX 
    instruments for these fields.

    In simple Composite RICs/Super RICs (EUR=, AUDCHF7M=R, CAD=D3) carry
     prices from banks and brokers. Prices are always indicative & 
    purely contributed. As you may know these are OTC (over the counter) 
    instruments which does not trade on any exchanges. Thus you will not 
    receive any trades data. 

    The fields Open, High , Low , Last and  Volume under intraday summaries 
    or Elektron timeseries template are to capture trade summaries. OTC 
    instruments does not trade on any exchanges and will not receive any 
    trades data.  



    For OTC instruments, in TRTH v1 these fields were illogically copied
     and are reflecting the duplicated data from quote summary fields Open 
    Bid, High Bid, Low Bid, Close Bid and No. Bids,etc.

     We have corrected this wrong behavior in TRTH v2 and duplication of
     bid summaries in Trade fields is removed.  Therefore you see the fields
     Open, High , Low , Last , Volume and No. of Trades blank in TRTH v2 for
     instruments which carry OTC quotes.

    For OTCs, the fields of interest is Close Bid and Close Ask, which is available in the Bid and Ask price of v2.

    RIC < FRGOV9YZ=R> is a “Zero curve RIC” and will display only Zero Yield and Discount Factor.

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG

    Hi @san tang ,

    Please see the following updates from the case: 06012124.

    I would like to confirm that the issue regarding missing Open, High and Low values in Elektron Timeseries template for FX composite RICs [Example RIC: AUD=] has been fixed.

    Please find the below sample data extraction (Elektron Timeseries) for your reference:
    RIC Trade Date Open High Low Universal Close Price
    AUD= 4/27/2018 0.7553 0.7583 0.753 0.7581

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