Timeseries data request gets no records on specific days
Using this code I expect to subscribe to a 1-minute interval for the ask quote on RIC DE200443845= for the 30th May:
request = timeSeries.SetupDataRequest("DE200443845=")
.WithView("ASK")
.WithAllFields()
.WithInterval(CommonInterval.Intraday1Minute)
.From(new DateTime(2019, 5, 30))
.To(new DateTime(2019, 5, 31))
.OnDataReceived(DataReceivedCallback)
.CreateAndSend();
However no records are returned in the DataReceivedCallback(DataChunk chunk) method.
What bothers me here is that:
1. When I set the date to:
.From(new DateTime(2019, 5, 29))
.To(new DateTime(2019, 5, 30))
I get all the ask quotes for the 29th May as expected so that I can assume the code to be fine.
2. When I use the XL EIKON Add-In with this function:
=RHistory("DE200443845=";"ASK.Close";"START:30-May-2019 END:30-May-2019 INTERVAL:1M";;"TSREPEAT:NO CH:Fd";$Z$1)
I do get all the 68 ask quotes for the instrument for the 30th May. So the ask quote data seems to exist.
That makes me wonder why I do not get the ask quotes for the 30th May for DE200443845= using the EIKON .NET API. Thanks in advance for your help.
30-May-2019 was a public holiday in Germany. By default RHistory function in Eikon Excel includes holidays and out of session records in the timeseries returned, whereas the Timeseries interface of Eikon .NET API by default excludes those records. To include them add the following when setting up timeseries request:
request.WithFilter(filter => filter.IncludeOutOfSessionRecords(true));
Nice. Thank you, Alex.