I am trying to download depth data from Tick History Market Depth/Legacy market depth using REST API from this post.

As you already know, depth data is quite large. so I would like to save the files by date. i.e. instead of having 1 giant file, I have one file for each day that contains depth data for all stocks in the list. I would also love to separate by stock and then by date as well but by date is fine for now.

How would I go about it? The following is my code. I use Python 3.6 with Pycharm by the way. And I am not really good with Python. I normally use SAS.

1. The JSON file that specifies the fields to download

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
    "ContentFieldNames": [
      "Ask Price",
      "Ask Size",
      "Bid Price",
      "Bid Size"
    ],
    "IdentifierList": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentListIdentifierList",
        "InstrumentListId":"0x06698c5d00301db4"
     },
    "Condition": {
      "View": "NormalizedLL2",
      "NumberOfLevels": 5,
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "1996-01-01T00:00:00.000Z",
      "QueryEndDate": "2018-06-06T23:59:59.999Z",
      "DisplaySourceRIC": "True"
    }
  }
}

And here is the code to run and get data:

#!/usr/bin/python
# -*- coding: UTF-8 -*-
from json import dumps, loads, load
from requests import post
from requests import get
from time import sleep
from getpass import _raw_input as input
from getpass import getpass
from getpass import GetPassWarning
from collections import OrderedDict
import os
import gzip
import pandas as pd




_outputFilePath="./"
_outputFileName="TestOutput"
_retryInterval=int(30) #value in second used by Pooling loop to check request status on the server
_jsonFileName="TickHistoricalRequest.json"


def RequestNewToken(username="",password=""):
    _AuthenURL = "https://hosted.datascopeapi.reuters.com/RestApi/v1/Authentication/RequestToken"
    _header= {}
    _header['Prefer']='respond-async'
    _header['Content-Type']='application/json; odata.metadata=minimal'
    _data={'Credentials':{
        'Password':password,
        'Username':username
        }
    }

    print("Send Login request")
    resp=post(_AuthenURL,json=_data,headers=_header)


    if resp.status_code!=200:
        message="Authentication Error Status Code: "+ str(resp.status_code) +" Message:"+dumps(loads(resp.text),indent=4)
        raise Exception(str(message))


    return loads(resp.text)['value']


def ExtractRaw(token,json_payload):
    try:
        _extractRawURL="https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw"
        #Setup Request Header
        _header={}
        _header['Prefer']='respond-async'
        _header['Content-Type']='application/json; odata.metadata=minimal'
        _header['Accept-Charset']='UTF-8'
        _header['Authorization']='Token'+token

        #Post Http Request to DSS server using extract raw URL
        resp=post(_extractRawURL,data=None,json=json_payload,headers=_header)


        #Print Status Code return from HTTP Response
        print("Status Code="+str(resp.status_code) )


        #Raise exception with error message if the returned status is not 202 (Accepted) or 200 (Ok)
        if resp.status_code!=200:
            if resp.status_code!=202:
                message="Error: Status Code:"+str(resp.status_code)+" Message:"+resp.text
                raise Exception(message)


            #Get location from header, URL must be https so we need to change it using string replace function
            _location=str.replace(resp.headers['Location'],"http://","https://")


            print("Get Status from "+str(_location))
            _jobID=""


            #pooling loop to check request status every 2 sec.
            while True:
                resp=get(_location,headers=_header)
                _pollstatus = int(resp.status_code)


                if _pollstatus==200:
                    break
                else:
                    print("Status:"+str(resp.headers['Status']))
                sleep(_retryInterval) #wait for _retyInterval period and re-request the status to check if it already completed


        # Get the jobID from HTTP response
        json_resp = loads(resp.text)
        _jobID = json_resp.get('JobId')
        print("Status is completed the JobID is "+ str(_jobID)+ "\n")


        # Check if the response contains Notes.If the note exists print it to console.
        if len(json_resp.get('Notes')) > 0:
            print("Notes:\n======================================")
            for var in json_resp.get('Notes'):
                print(var)
            print("======================================\n")


        # Request should be completed then Get the result by passing jobID to RAWExtractionResults URL
        _getResultURL = str("https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/RawExtractionResults(\'" + _jobID + "\')/$value")
        print("Retrieve result from " + _getResultURL)
        resp=get(_getResultURL,headers=_header,stream=True)


        #Write Output to file.
        outputfilepath = str(_outputFilePath + _outputFileName + str(os.getpid()) + '.csv.gz')
        if resp.status_code==200:
            with open(outputfilepath, 'wb') as f:
                f.write(resp.raw.read())


        print("Write output to "+outputfilepath+" completed\n\n")
        print("Below is sample data from "+ outputfilepath)
        #Read data from csv.gz and shows output from dataframe head() and tail() 
        df=pd.read_csv(outputfilepath,compression='gzip')
        print(df.head())
        print("....")
        print(df.tail())


    except Exception as ex:
        print("Exception occrus:", ex)


    return






def main():
    try:
        #Request a new Token
        print("Login to DSS Server")
        _DSSUsername=input('Enter DSS Username:')
        try:
            _DSSPassword=getpass(prompt='Enter DSS Password:')
            _token=RequestNewToken(_DSSUsername,_DSSPassword)
        except GetPassWarning as e:
             print(e)
        print("Token="+_token+"\n")


        #Read the HTTP request body from JSON file. So you can change the request in JSON file instead.
        queryString = {}
        with open(_jsonFileName, "r") as filehandle:
            queryString=load(filehandle,object_pairs_hook=OrderedDict)


        #print(queryString)
        ExtractRaw(_token,queryString)


    except Exception as e:
        print(e)


print(__name__)


if __name__=="__main__":
    main()

Sorry for the long post!