Historical CDS prices via DSS REST API
Hello I want to get historical CDS prices via the DSS REST API
I tried the following extraction request:
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
"ContentFieldNames": [
"RIC",
"Credit Default Swap Basis1",
"Credit Default Swap Basis2",
"Credit Default Swap Basis3",
"Trade Date"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{
"IdentifierType": "Ric",
"Identifier": "GE.N"
}]
},
"Condition": {
"AdjustedPrices": false,
"QueryStartDate": "2019-02-02",
"QueryEndDate": "2019-09-03"
}
}
}
I get back the following
{
'IdentifierType': 'Ric',
'Identifier': 'GE.N',
'RIC': 'GE.N',
'Credit Default Swap Basis1': None,
'Credit Default Swap Basis2': None,
'Credit Default Swap Basis3': None,
'Trade Date': '2019-08-09'
},
As you can see nothing is coming back for the CDS fields.
Any help is appreciated.
@Marvin,
When you run into such issues, you can check the latest DSS data content guide for coverage. Go to the "Field Descriptions" tab, and filter on column C and/or D to see only the report name and/or field names of interest. Data coverage is in columns O-AH (n = not available, y = available).
GE.N is an equity, and CDS is not available for equity. That is why you do not receive any data.
Hi Christiaan,
Thank you for your answer.
Can you explain why I get
[{
'IdentifierType': 'Ric',
'Identifier': 'GE5YUSAX=R',
'Error': 'Not found'
}]
When I use the RIC code for the CDS: GE5YUSAX=R
@Marvin, that RIC is no longer quoted, it is what we call a "historical instrument", that is why it returns "Not Found". See my answer in this separate thread for the solution, using validation options to include historical instruments in the results.
Hi Christiaan,
Thanks for showing how that's done!
However, my next question is why we are still receiving data for that instrument code from TRKD?
When we search for GE5YUSAX=R there we get:
{
'GE5YUSAX=R': {
'Fields': [{
'DataType': 'Double',
'Double': 131.95,
'Name': 'CF_CLOSE'
},
{
'DataType': 'Utf8String',
'Name': 'CF_DATE',
'Utf8String': '16 AUG 2019'
}
]
}
}
Could you explain?
@Marvin,
I just tried a search in the DSS GUI for GE5YUSAX=R and it responds "No Securities Found", which fits with an instrument that is no longer quoted. On the other hand, if I make a historical search in DSS it tells me that the instrument is quoted till today !
This seems contradictory, and I have no explanation for that.
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