Duplicate dates with different & wrong prices
Hi
The following endpoint :
https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractWithNote
returns duplicated dates with both correct and wrong prices for all dates between 2016-10-18 and 2019-10-03.
Example:
Body :
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
"ContentFieldNames": ["Trade Date", "RIC", "Open", "High", "Low", "Universal Close Price", "Volume"],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{
"Identifier": "AA.N",
"IdentifierType": "Ric"
}],
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"ReportDateRangeType": "Range",
"StartDate": "1996-01-01T00:00:00.000Z",
"EndDate": "2019-10-03T23:59:59.999Z"
}
}
}
Response:
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "2019-10-03",
"RIC": "AA.N",
"Open": 24.17,
"High": 24.26,
"Low": 23.75,
"Universal Close Price": 24.25,
"Volume": 926998
},
...
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "2019-10-03",
"RIC": "AA.N",
"Open": 19.13,
"High": 19.33,
"Low": 18.7,
"Universal Close Price": 19.05,
"Volume": 751703
}
This happens for several stocks belonging to the 0#.SPX even thought I am not going to list them all here.
I dont figure out the logic based on the order or the volume to find out the "good" price in comparison with Yahoo Finance.
Could you please help/amend?
Thanks in advance for your help,
Benoit
Best Answer
I can replicate the issue. If I add "Reference Company" into the ContentFieldNames, it returns the followings:
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "2019-10-03",
"RIC": "AA.N",
"Open": 24.17,
"High": 24.26,
"Low": 23.75,
"Universal Close Price": 24.25,
"Volume": 926998,
"Reference Company": "ARCONIC INC"
},
...
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "2019-10-03",
"RIC": "AA.N",
"Open": 19.13,
"High": 19.33,
"Low": 18.7,
"Universal Close Price": 19.05,
"Volume": 751703,
"Reference Company": "ALCOA CORP"
}
However, if I add "LastEntityOnly: true" into the condition. those entries don't return.
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
"ContentFieldNames": ["Trade Date", "RIC", "Open", "High", "Low", "Universal Close Price", "Volume","Reference Company"],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{
"Identifier": "AA.N",
"IdentifierType": "Ric"
}],
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"ReportDateRangeType": "Range",
"StartDate": "1996-01-01T00:00:00.000Z",
"EndDate": "2019-10-03T23:59:59.999Z",
"LastEntityOnly": true
}
}
}
Refer to this metadata, this option (LastEntityOnly) will request only the last entity that held the RIC without regard for the date range.
Some more information about my findings...
If I do the query from 2019-01-01 to 2019-12-31, it will no longer return duplicates.
So I thought that splitting my date range yearly would be a brilliant idea !
But then I realized that this would no longer fetch the oldest data: I mean a query from 1996-01-01 to 1996-12-31 will not return data while a query from 1996-01-01 to 2015-12-31 would fetch data for 1996...
Can you please investigate this weird behavior?
{
"@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult",
"Contents": [
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": null,
"RIC": "AA.N",
"Open": null,
"High": null,
"Low": null,
"Universal Close Price": null,
"Volume": null
}
],
"Notes": [
"Extraction Services Version 13.1.40889 (ec84d57d2aa3), Built Aug 9 2019 18:16:12\r\nProcessing started at 10/06/2019 08:33:04.\r\nUser ID: 9020500\r\nExtraction ID: 2000000103047896\r\nSchedule: 0x06d134afabe1043a (ID = 0x0000000000000000)\r\nInput List (1 items): (ID = 0x06d134afabe1043a) Created: 10/06/2019 08:33:04 Last Modified: 10/06/2019 08:33:04\r\nReport Template (13 fields): _OnD_0x06d134afabe1043a (ID = 0x06d134afac01043a) Created: 10/06/2019 08:33:03 Last Modified: 10/06/2019 08:33:03\r\nSchedule dispatched via message queue (0x06d134afabe1043a)\r\nSchedule Time: 10/06/2019 08:33:04\r\nTimeseries Date Range: 01/01/1996 to 12/31/1996\r\nProcessing completed successfully at 10/06/2019 08:33:05, taking 0.343 Secs.\r\nExtraction finished at 10/06/2019 08:33:05 UTC, with servers: x07q14, ETS (0.2 secs), QSHC19 (0.1 secs), QSSHA1 (0.0 secs)\r\nWriting RIC maintenance report.\r\n",
"Identifier,IdentType,Source,RIC,RecordDate,MaintType,OldValue,NewValue,Factor,FactorType\r\n"
]
}
{
"@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult",
"Contents": [
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "1996-01-02",
"RIC": "AA.N",
"Open": 52.5,
"High": 54.625,
"Low": 52.375,
"Universal Close Price": 54.375,
"Volume": 561400
},
....
{
"IdentifierType": "Ric",
"Identifier": "AA.N",
"Trade Date": "2019-10-04",
"RIC": "AA.N",
"Open": 19.09,
"High": 19.49,
"Low": 18.94,
"Universal Close Price": 19.45,
"Volume": 530150
}
],
"Notes": [
"Extraction Services Version 13.1.40889 (ec84d57d2aa3), Built Aug 9 2019 18:16:12\r\nProcessing started at 10/06/2019 08:34:22.\r\nUser ID: 9020500\r\nExtraction ID: 2000000103047940\r\nSchedule: 0x06d134aff471043a (ID = 0x0000000000000000)\r\nInput List (1 items): (ID = 0x06d134aff471043a) Created: 10/06/2019 08:34:22 Last Modified: 10/06/2019 08:34:22\r\nReport Template (13 fields): _OnD_0x06d134aff471043a (ID = 0x06d134aff491043a) Created: 10/06/2019 08:34:20 Last Modified: 10/06/2019 08:34:20\r\nSchedule dispatched via message queue (0x06d134aff471043a)\r\nSchedule Time: 10/06/2019 08:34:21\r\nTimeseries Date Range: 01/01/1996 to 10/06/2019\r\nProcessing completed successfully at 10/06/2019 08:34:26, taking 4.124 Secs.\r\nExtraction finished at 10/06/2019 08:34:26 UTC, with servers: x01q14, ETS (0.1 secs), QSHC16 (0.1 secs), QSSHA1 (0.0 secs)\r\nQuota Message: INFO: Tick History Cash Quota Count Before Extraction: 1360; Instruments Approved for Extraction: 1; Tick History Cash Quota Count After Extraction: 1360, 13.6% of Limit; Tick History Cash Quota Limit: 10000\r\nWriting RIC maintenance report.\r\n",
"Identifier,IdentType,Source,RIC,RecordDate,MaintType,OldValue,NewValue,Factor,FactorType\r\n"
]
}
Thanks for this helpful answer !