Can TRTHv2 API perform multiple extraction request based on Input parameter?

@vinaya.shetty,

In a nutshell

As I see, what you seek is 2 things:

• A multi instrument request, but not all instruments in the same time range. This is possible.
• A request for a point in time. This does not exist.

In more detail

There is no API call in TRTH for extracting a single price for a specific point in time, be it for one or more instruments.

It is possible to make a query (for this use case it would be a Tick History Time and Sales) for multiple instruments, each with its own date/time range. It is not possible to specify a point in time; it must be a range (i.e. use a start and end time). This is described on page 6 of the TRTH 12.1 Release notes.

Here is a sample query illustrating the required syntax:

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
    "ContentFieldNames": [ "Quote - Bid Size", "Quote - Bid Price", "Quote - Ask Size", "Quote - Ask Price" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [
        { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
          "Identifier": "VOD.L", "IdentifierType": "Ric",
          "RangeStart": "2018-10-25T10:08:53.000Z", "RangeEnd": "2018-10-25T10:08:54.000Z" },
        { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
          "Identifier": "CARR.PA", "IdentifierType": "Ric",
          "RangeStart": "2018-10-26T10:09:52.000Z", "RangeEnd": "2018-10-26T10:09:55.000Z" },
        { "@odata.type": "#ThomsonReuters.Dss.Api.Content.HistoricalInstrumentIdentifier",
          "Identifier": "ALVG.DE", "IdentifierType": "Ric",
          "RangeStart": "2018-10-24T14:21:56.000Z", "RangeEnd": "2018-10-24T14:21:57.000Z" }
      ],
      "ValidationOptions": { "AllowHistoricalInstruments": true },
      "UseUserPreferencesForValidationOptions" : false
    },
    "Condition": {
      "MessageTimeStampIn": "LocalExchangeTime",
      "TimeRangeMode": "Inclusive",
      "ApplyCorrectionsAndCancellations": false,
      "ReportDateRangeType": "PerIdentifier",
      "DisplaySourceRIC": true
    }
  }
}

Response:

#RIC,Alias Underlying RIC,Domain,Date-Time,Type,Bid Price,Bid Size,Ask Price,Ask Size
ALVG.DE,,Market Price,2018-10-24T16:21:56.875440171+02,Quote,184.42,75,184.48,333
ALVG.DE,,Market Price,2018-10-24T16:21:56.875440171+02,Quote,184.42,176,184.48,333
ALVG.DE,,Market Price,2018-10-24T16:21:56.999746071+02,Quote,184.42,226,184.48,333
VOD.L,,Market Price,2018-10-25T11:08:53.208974278+01,Quote,145.9,8122,145.94,2143

Note: the extraction will only return the data available in the specified range. If the range is very short or the instrument illiquid, the result set might be empty (as is the case for CARR.PA in the above example). A trade off must therefore be found between the range size (the larger, the greater the probability of receiving a result) and the volume of data you must treat after retrieval, taking instrument volatility into account.

Consequence: you must make your own algorithm and code to select from the results the data closest to the point in time you are interested in.

Important caveat: this feature is currently in EAP (Early Access Program). If you are not entitled to it, you will receive an error message: "Not authorized to perform extraction with ReportDateRangeType set to PerIdentifer.". If you are interested in this feature, contact your account manager.