OnDemand request embargo handling
I'm going through the DSS Rest API tutorial and it states that OnDemand requests do not support the profile specified embargo handling options. Is this still correct? I'm looking to request several thousands of instruments (after US market close) and my worry is the potential of one embargoed instrument hanging the ExtractWithNotes call until the embargo is lifted. The desired result of course is to get all the non-embargoed instruments, discarding the embargoed ones. I don't necessarily foresee this being a common problem, but if something ends up on the instrument list (perhaps foreign, perhaps defaults to some exchange with some ridiculous embargo) that shouldn't be there, my entire pricing request will be held up.
Is my only choice to go to a scheduled solution?
The new option 'OnlyNonEmbargoedData' will be implemented as part of the DSS 13.0 release marked for April release.
@AlexL,
DSS 13.0 was released 15 April 2019. This version allows retrieving only the non-embargoed data in Intraday Pricing extractions. To exclude embargoed instruments from the resulting extraction, use the following condition:
"OnlyNonEmbargoedData": trueWhen your extraction executes, any instruments requiring embargoes are automatically suppressed. The corresponding notes file identifies the number of embargoed instruments with a message.
For more details see REST API Tutorial 3, and the DSS 13 release notes
Hi @alex.litvak,
I have just tested the embargo handling with OnDemand IntradayPricing request as stated in this tutorial. The On Demand extraction call is still blocking, if the instrument list contains embargoed instruments. The call will only return after all embargoes are lifted.
Anyway, I have found a new option 'OnlyNonEmbargoedData' added to the 'IntradayPricingCondition' for returning only the non-embargoed data. The option should help on the scenario. However it currently is disabled referring to DSS 12.3 Release Note.