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TickHistoryTimeAndSalesExtractionRequest - Getting last price nearest to a date
Instead of getting all prices for a date/time range, how would a single get the price for a Ric nearest a supplied time. So if I want a price for BT.L nearest to say 30th Jan 2018 at time 15:30:00, then I want the latest price on that time or the nearest time before that. I only want a single record returned per Ric.
@william.a.maguire, I'm sorry, such a call is not available. I passed your message to the product team, you are not the first to ask for this.
TRTH 12.1 Release notes page 6:
You can query multiple instruments each with its own date/time range. It is impossible to specify a point in time; it must be a range (start to end times).
This is in EAP (Early Access Program).
You need your own algorithm & code to select from the results the data closest to the point in time you want.
Note: data is only returned for the specified range, there is no look back. If it is too short there might be no data. You must find a trade off between range size and data volume, taking volatility into account.
See this thread for more details.
TRTH 12.2 is the same