How to retrieve historical FX spot rates and forward rates using DataScope Select Rest API in Pyt...

...hon?

I am using the following to get FX rates but I believe it gives spot rates, How can I get historical forward rates for currency exchanges ?

  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [ "RIC", "Ask Price", "Bid Price", "Trade Date" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
      "InstrumentIdentifiers": [
        { "Identifier": "EUR=", "IdentifierType": "Ric" },
        { "Identifier": "GBP=", "IdentifierType": "Ric" }
      ]
    },
    "Condition": { "ScalableCurrency": true }
  }
}

Find more posts tagged with

python

dss

forex

dss-rest-api

datascope-select

forwards

Accepted answers

zoya faberov

Hello @ravi_ranjan,

Forward RICs end with F, for example "EURF=",

They are not quote rics, but chains, try this:

{
   "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
      "InstrumentIdentifiers": [
        { "Identifier": "EURF=", "IdentifierType": "ChainRIC" },
        { "Identifier": "GBPF=", "IdentifierType": "ChainRIC" }
      ]
    },
   "Condition": {
            "ReportDateRangeType": "Range",
            "QueryStartDate": "2015-12-01T00:00:00.000Z",
            "QueryEndDate": "2015-12-02T00:00:00.000Z"
        }
  }
}

All comments

zoya faberov

Hello @ravi_ranjan,

Forward RICs end with F, for example "EURF=",

They are not quote rics, but chains, try this:

{
   "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
      "InstrumentIdentifiers": [
        { "Identifier": "EURF=", "IdentifierType": "ChainRIC" },
        { "Identifier": "GBPF=", "IdentifierType": "ChainRIC" }
      ]
    },
   "Condition": {
            "ReportDateRangeType": "Range",
            "QueryStartDate": "2015-12-01T00:00:00.000Z",
            "QueryEndDate": "2015-12-02T00:00:00.000Z"
        }
  }
}

ravi_ranjan

Hello @zoya faberov thank you for the help I tried the above ChainRIC and it gives all the forward rates but I am looking specifically at 1 month Forward rates. How can I identify it ?

zoya faberov

Hello @ravi_ranjan,

Please inspect the output from the chainRic request. It includes all the rics within the chain. Once you identify the ric you are looking for, next you can request it separately, for instance:

{
   "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
    "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", 
      "InstrumentIdentifiers": [
        { "Identifier": "EUR1M=", "IdentifierType": "Ric" },
        { "Identifier": "GBP1M=", "IdentifierType": "Ric" }
      ]
    },
   "Condition": {
            "ReportDateRangeType": "Range",
            "QueryStartDate": "2015-12-01T00:00:00.000Z",
            "QueryEndDate": "2015-12-02T00:00:00.000Z"
        }
  }
}

ravi_ranjan

Thanks @zoya faberov EUR1M= gives the forward swap whereas EUR1MV= gives the forward outright.

The solution worked.

EXPLORE OUR SITES