I am using get_timeseries to collect current trading day's tick around market close. In order to collect the complete list of trade data, I need to wait until Reuters saving all tick data published by exchanges into database. Assuming I would like to collect the tick data published between 3:50 PM and 4:00 PM for US equities, what is the earliest time I can make the API call to request the data? Can I request immediately after 4:00 PM, or shall I wait for some time, e.g., 10 minutes, to request the data at 4:10 PM?
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There's no defined time you can rely on that guarantees that all trades have been made available in the timeseries. Ordinarily the trades become available shortly after they are reported by the exchange, but if it's not critical, I would recommend waiting 10 minutes or so. What I would also recommend to ensure you do get all the pre-close trades is to set the end of your time range to 4:05 PM New York time and filter out the trades timestamped after 4:00 PM. If the timeseries you retrieve contain any trades timestamped after 4:00 PM, then you know all the previous trades are available too. And as long as the trades have already made their way into timeseries, I believe for US stocks the timeseries should always contain at least one trade timestamped after 4 PM due to the closing auction.
