Historical Reference for RIC identifier: All identifier invalid. No Extraction performed
I try to extract the Historical reference for certain RICs.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;
@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.
Sorry, HOZ5 is a valid RIC. E.g. if I expand the ChainRIC 0#HO: I get HOZ5 as a RIC for the December 2015 Heating Oil Future.
Also, If I do the request 1) with the GUI or 2) creating instrument lists and a report template, it works. So this seems a Bug on your side.
Is it possible to match permno (identifier from CRSP) with RIC using a similar code to the one you used above?