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soyarlagadda avatar image
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Question on DSS Time Series Extraction API

Hi We are trying to use timeSeries DSS API to get previous days high and close.

In the document it has

p.p1 {margin: 0.0px 0.0px 0.0px 0.0px; font: 11.0px Monaco; color: #3933ff} p.p2 {margin: 0.0px 0.0px 0.0px 0.0px; font: 11.0px Monaco} span.s1 {color: #000000} span.s2 {color: #931a68} span.s3 {color: #3933ff}

.put("Condition",

new JSONObject().put("LastPriceOnly", false)

.put("StartDate", "2015-10-28T00:00:00.000Z")

.put("EndDate", "2015-11-04T00:00:00.000Z").put("LookBackPeriod", "EOD-4M")));

Questions:

1. Start and End date are in EST ?

2. If we want to get high/low between previous day Open and Close market what dates should we specify.

3. What is EOD-4M mean?

dss-rest-apidatascope-selectdss
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wasin.w avatar image   wasin.w

Hello @soyarlagadda

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If so please can you click the 'Accept' text next to the appropriate reply. This will guide all community members who have a similar question.

Thanks,

AHS

Nipat Kunvutipongsak avatar image   Nipat Kunvutipongsak

@soyarlagadda

Hello again!

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?

If yes please click the 'Accept' text next to the reply. This will guide all community members who have a similar question. Otherwise please post again offering further insight into your question.

Thanks,

AHS

warat.boonyanit avatar image   warat.boonyanit

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

AHS

4 Answers

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veerapath.rungruengrayubkul avatar image
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Hi @soyarlagadda,

I think EOD Pricing is more suitable than Timeseries. The EOD Pricing provides initial and validated end of day prices. It normally provides end of day prices for the previous trading day. You can use the "High Price" and "Low Price" fields to get high and low for the previous trading day. For more information, please see REST API Tutorial 2: On Demand End of Day Extraction

With regard to your questions:

The Start and End date should be date in instrument's exchange.

According to the LookBackPeriod description, the Lookback is added to the Price date. That means if you selected January 2, 2016 as your Price Date and 4 months as your Lookback, DataScope Select would look back as far as September 2, 2015 if null prices were reported for the instruments on January 2, 2016

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soyarlagadda avatar image
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Thanks for the help. What is the time zone, EST ?

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veerapath.rungruengrayubkul avatar image veerapath.rungruengrayubkul

The Start and End date are just dates. These fields are used for specifying range of which trading day, the historical prices are extracted for, so they do not depend on time zone.

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soyarlagadda avatar image
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Thank you for the help.

Today we have extracted EOD Extraction and found this discrepancy.

For AUD, it looks like AUD -> USD rate

However, for CAD it is USD - > CAD rate

How do we identify which is inverse?

{"IdentifierType":"Ric","Identifier":"AUD=","Ask Price":0.7185,"Asset Category":"SPO","Asset Category Description":"Spot","Asset Status":"ISS","Asset Status Description":"Issued","Bid Price":0.718,"Common Code":null,"CUSIP":null,"Exchange Code":"RCT","Exchange Description":"SOURCE IS A THOMSON REUTERS CONTRIBUTOR","Expiration Date":null,"High Price":0.7196,"ISIN":null,"Issuer OrgID":null,"Low Price":0.7139,"Mid Price":0.71825,"Official Close Price":null,"Open Price":0.7149,"Previous Close Price":null,"RIC":"AUD=","Ticker":null,"Trade Date":"2018-09-17","Trading Symbol":null,"Universal Close Price":0.718,"Volume":null}

{"IdentifierType":"Ric","Identifier":"CAD=","Ask Price":1.3046,"Asset Category":"SPO","Asset Category Description":"Spot","Asset Status":"ISS","Asset Status Description":"Issued","Bid Price":1.3042,"Common Code":null,"CUSIP":null,"Exchange Code":"RCT","Exchange Description":"SOURCE IS A THOMSON REUTERS CONTRIBUTOR","Expiration Date":null,"High Price":1.3048,"ISIN":null,"Issuer OrgID":null,"Low Price":1.2997,"Mid Price":1.3044,"Official Close Price":null,"Open Price":1.3034,"Previous Close Price":null,"RIC":"CAD=","Ticker":null,"Trade Date":"2018-09-17","Trading Symbol":null,"Universal Close Price":1.3042,"Volume":null}

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veerapath.rungruengrayubkul avatar image
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@soyarlagadda

I'm not sure if I understand your question correctly. If you want to identify currency pair of the RICs, you can use the "Base Currency Code" and "Currency Code" fields.

If you want other RICs providing inverse currency pair, you can use <USDAUD=R> for USD->AUD cross rate and <CADUSD=R> for CAD->USD cross rate.

You can also search for RICs using the RIC Search Tool.

Hope this helps.

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