Historical Reference for RIC identifier: All identifier invalid. No Extraction performed

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dirk
dirk Newcomer
in TRTH

I try to extract the Historical reference for certain RICs. It works with ChainRICs but when I enter a RIC, there is an error of invalid identifier.

See the code example

 string[] requestedFieldNames = {
  "RIC",
  "RIC Root",  
  "Expiration Date"};

  //Create the request
  var extractionRequest = new HistoricalReferenceExtractionRequest()
  {  IdentifierList = new InstrumentIdentifierList()
  {  InstrumentIdentifiers = new[] { new InstrumentIdentifier { IdentifierType = IdentifierType.Ric, Identifier = "HOZ5" } }
  },
  Condition = new HistoricalReferenceCondition()
  {  ReportDateRangeType = ReportDateRangeType.Range,
  //QueryStartDate = new DateTimeOffset(new DateTime(2014, 1, 1)),
  //QueryEndDate = new DateTimeOffset(new DateTime(2014, 1, 31))
  QueryStartDate = new DateTimeOffset(new DateTime(2015, 12, 1)),
  QueryEndDate = new DateTimeOffset(new DateTime(2015, 12, 4))
  },
  ContentFieldNames = requestedFieldNames
  };
  //Extract - NOTE: If the extraction request takes more than 30 seconds the async mechansim will be used.  See Key Mechanisms 
  var extractionResult = ExtractionsContext.ExtractWithNotes(extractionRequest);
  var extractedRows = extractionResult.Contents;
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Best Answer

  • Christiaan Meihsl
    Christiaan Meihsl LSEG
    Answer ✓

    @dirk, yes you are right of course. Sorry, my mistake, I was looking for a current instrument, not a historical one.

    When I use your code I get a "Not found" error, and the extraction notes contain:

    All identifiers were invalid.  No extraction performed.

    Cause: by default historical instruments are not included in the results.

    Solution: you need to add a validation option to allow historical instruments. The following code should get the data you want:

    var extractionRequest = new HistoricalReferenceExtractionRequest()
    {
        IdentifierList = new InstrumentIdentifierList()
        {
            InstrumentIdentifiers = new[] {
                new InstrumentIdentifier { IdentifierType = IdentifierType.Ric, Identifier = "HOZ5" }
            },
            ValidationOptions = new InstrumentValidationOptions() {
                AllowHistoricalInstruments = true
            }
        },
        Condition = new HistoricalReferenceCondition()
        {
            ReportDateRangeType = ReportDateRangeType.Range,
            QueryStartDate = new DateTimeOffset(new DateTime(2015, 12, 01)),
            QueryEndDate = new DateTimeOffset(new DateTime(2015, 12, 04))
        },
        ContentFieldNames = requestedFieldNames
    };

    Just to illustrate, the following code sets all validation options, and disables the user preferences for this call (because we are overriding them with our validation options):

    var extractionRequest = new HistoricalReferenceExtractionRequest()
    {
        IdentifierList = new InstrumentIdentifierList()
        {
            InstrumentIdentifiers = new[] {
                new InstrumentIdentifier { IdentifierType = IdentifierType.Ric, Identifier = "HOZ5" }
            },
            ValidationOptions = new InstrumentValidationOptions() {
                AllowHistoricalInstruments = true,
                AllowOpenAccessInstruments = false,
                UseExchangeCodeInsteadOfLipper = true,
                ExcludeFinrAsPricingSourceForBonds = false,
                UseConsolidatedQuoteSourceForCanada = false,
                UseConsolidatedQuoteSourceForUsa = false,
                UseUsQuoteInsteadOfCanadian = true
            },
            UseUserPreferencesForValidationOptions = false
        },
        Condition = new HistoricalReferenceCondition()
        {
            ReportDateRangeType = ReportDateRangeType.Range,
            QueryStartDate = new DateTimeOffset(new DateTime(2015, 12, 01)),
            QueryEndDate = new DateTimeOffset(new DateTime(2015, 12, 04))
        },
        ContentFieldNames = requestedFieldNames
    };

    Hope this helps.

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