How to download historical click data of a chain RIC from DSS REST API using python by creating instrument list and report template
I'm guessing you want historical tick data ?
For historical data DSS only offers end of day prices, using the Price History template (which replaces the legacy Time Series template, which is less powerful (for more info on this see Product Change Notification PCN 10897)).
Historical tick data is not available from DSS, but it can be retrieved from TRTH, a different commercial offering that uses the same servers as DSS and is oriented towards historical data. If you do not have TRTH you can contact your account manager to discuss it.
Thanks for the information. I am now using TRTH and trying to get tick data for all the constituents of a chain ric.
"IdentifierList": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [{ "Identifier": "0#.SPX", "IdentifierType": "ChainRic" }]
However this returns a status code of 400 but it works fine for single rics and indeces.
Any help ?
I'm glad you have TRTH, that solves your issue !
To the error 400: the identifier type for a chain ric is "ChainRIC" (RIC in capitals):
"IdentifierType": "ChainRIC"
Using lower case "ChainRic" will generate a 400. I like to test in Postman because it displays all errors. The one for this tells us what is wrong:
{
"error": {
"message": "Malformed request payload: Error while parsing an enum value: Requested value 'ChainRic' was not found."
}
}