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No data for most RICs with Intraday Pricing Request

I am using the DSS API SDK with a C# client app to request intraday prices for a number of RICs. The only RIC I get any data for is SONIAOSR=. For all the other RICs, I get a valid response, the fields I have requested data for come back blank. Could it be an entitlement issue? I believe we are supposed to be entitled for the following RICs:

EONIA=

SONIAOSR=

USONFFE=

CORRA=

HONIA=

JPONMU=RR

NZCASH=BRNZ

SORA=MAST

IRONDFIX=FBIL

SARON.S

AUCASH=RBAA

USDSOFR=

I have tried sending the same request, just changing the Indentifier member of the InstrumentIdentifier class, requesting ContentFieldNames "Official Close Date" and "Official Close Price", but only the request with Identifier "SONIAOSR=" returns any data.

Our username is 9023715.

Below is a code snippet of the request, for example, for USDSOFR=; returns blank data. Exactly the same request for "SONIAOSR=" returns data for the fields requested:


identifiers[index] = new InstrumentIdentifier

{

IdentifierType = IdentifierType.Ric,

Identifier = "USDSOFR="

};

string[] fieldNames = { "Official Close Date", "Official Close Price" };

IntradayPricingExtractionRequest extractionRequest = new IntradayPricingExtractionRequest

{

IdentifierList = InstrumentIdentifierList.Create(identifiers),

ContentFieldNames = fieldNames

};

. . .

ExtractionResult extractionResult = extractionsContext.ExtractWithNotes(extractionRequest);


dss-rest-apidssdatascope-selectricshistoricalon-demand-extraction
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@FIS FastVal,

There are many things to look at here. Let me go through them ...

There might be a permissioning issue, especially as this is an intraday request. You can easily check that in the extraction notes. As an example, when I ran your call, as I am not permissioned for real-time for SWR (i.e. SARON.S), I got this in the extraction notes:

Embargo delay of 1439 minutes required by SWR (SIX SWISS EXCHANGE REFERENCE RATES) for quotes from SWX\r\nThe last report will be embargoed until 22102019 12:39:00 (1439 minutes) due to quote: RIC,SARON.S,SWX

The extraction notes might give you other messages, depending on the permissions of your account.

Invalid RICs: these 2 are not found (I cannot find them in Eikon either):

  • NZCASH=BRNZ (This one is valid: NZCASH=RBNZ; could this be a typo in your list ?)
  • IRONDFIX=FBIL

Data availability: for an intraday request to deliver data, the instrument must have been quoted during the current day, which might not be the case for all instruments in a list. And for a closing price to be available, the market must have closed today. You could try adding the following 2 fields to your request: "Previous Close Date", "Previous Close Price". When I did that I got a previous day price for: USONFFE=, JPONMU=RR and SORA=MAST.

Choice of fields: I am not a data specialist, but maybe there are other closing price fields you could request, depending on your use case ?

Choice of endpoint: why use an intraday request (which is meant to retrieve a snapshot of current day prices) to retrieve closing prices ? If you only need the closing price you might use an End of Day or Price History request. As an example, here is the body of an EoD request (in Postman), to which I added the Universal Close Price (I added that field to increase the chance of getting data, but please note that I'm not a data specialist, I do not know the difference between the Official and Universal close price):

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.EndOfDayPricingExtractionRequest",
    "ContentFieldNames": [
      "RIC", "Official Close Price", "Previous Close Price", "Universal Close Price"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [
          { "Identifier": "EONIA=", "IdentifierType": "Ric" },
          { "Identifier": "SONIAOSR=", "IdentifierType": "Ric" },
          { "Identifier": "USONFFE=", "IdentifierType": "Ric" },
          { "Identifier": "CORRA=", "IdentifierType": "Ric" },
          { "Identifier": "HONIA=", "IdentifierType": "Ric" },
          { "Identifier": "JPONMU=RR", "IdentifierType": "Ric" },
          { "Identifier": "NZCASH=RBNZ", "IdentifierType": "Ric" },
          { "Identifier": "SORA=MAST", "IdentifierType": "Ric" },
          { "Identifier": "IRONDFIX=FBIL", "IdentifierType": "Ric" },
          { "Identifier": "SARON.S", "IdentifierType": "Ric" },
          { "Identifier": "AUCASH=RBAA", "IdentifierType": "Ric" },
          { "Identifier": "USDSOFR=", "IdentifierType": "Ric" }
      ]
    }
  }
}

Here is the result:

{
    "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult",
    "Contents": [
        {
            "IdentifierType": "Ric",
            "Identifier": "EONIA=",
            "RIC": "EONIA=",
            "Official Close Price": null,
            "Previous Close Price": -0.463,
            "Universal Close Price": -0.462
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "SONIAOSR=",
            "RIC": "SONIAOSR=",
            "Official Close Price": null,
            "Previous Close Price": 0.7107,
            "Universal Close Price": 0.7101
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "USONFFE=",
            "RIC": "USONFFE=",
            "Official Close Price": null,
            "Previous Close Price": 1.9,
            "Universal Close Price": 1.85
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "CORRA=",
            "RIC": "CORRA=",
            "Official Close Price": null,
            "Previous Close Price": null,
            "Universal Close Price": 1.7366
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "HONIA=",
            "RIC": "HONIA=",
            "Official Close Price": null,
            "Previous Close Price": 1.13503,
            "Universal Close Price": 1.24747
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "JPONMU=RR",
            "RIC": "JPONMU=RR",
            "Official Close Price": null,
            "Previous Close Price": -0.045,
            "Universal Close Price": -0.031
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "NZCASH=RBNZ",
            "RIC": "NZCASH=RBNZ",
            "Official Close Price": null,
            "Previous Close Price": null,
            "Universal Close Price": 1
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "SORA=MAST",
            "RIC": "SORA=MAST",
            "Official Close Price": null,
            "Previous Close Price": 1.2586,
            "Universal Close Price": 1.3364
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "SARON.S",
            "RIC": "SARON.S",
            "Official Close Price": null,
            "Previous Close Price": -0.73652,
            "Universal Close Price": -0.737191
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "AUCASH=RBAA",
            "RIC": "AUCASH=RBAA",
            "Official Close Price": null,
            "Previous Close Price": 0.75,
            "Universal Close Price": 0.75
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "USDSOFR=",
            "RIC": "USDSOFR=",
            "Official Close Price": null,
            "Previous Close Price": 2.05,
            "Universal Close Price": 1.95
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "IRONDFIX=FBIL",
            "Error": "Not found"
        }
    ],
    "Notes": [
        "Extraction Services Version 13.1.40889 (ec84d57d2aa3), Built Aug  9 2019 18:16:31\r\nHoliday Rollover of Universal Close Price waived.\r\nUser has overridden estimates broker entitlements.\r\nProcessing started at 21102019 14:46:26.\r\nUser ID: 33314\r\nExtraction ID: 392590091\r\nSchedule: _OnD_0x06d60862e4a10c2a (ID = 0x06d60862e8d10c2a)\r\nInput List (11 items): _OnD_0x06d60862e4a10c2a (ID = 06d60862e6710c2a) Created: 21102019 14:46:24 Last Modified: 21102019 14:46:25\r\nSchedule Time: 21102019 14:46:25\r\nReport Template (10 fields): _OnD_0x06d60862e4a10c2a (ID = 0x06d60862e4e10c2a) Created: 21102019 14:46:24 Last Modified: 21102019 14:46:24\r\nProcessing completed successfully at 21102019 14:46:26, taking 0.438 Secs.\r\nExtraction finished at 21102019 12:46:26 UTC, with servers: x11n01, QSHC18 (0.0 secs), QSSHA1 (0.0 secs)\r\nUsage Summary for User 33314, Client 11122, Template Type EOD Pricing\r\nBase Usage\r\n        Instrument                          Instrument                   Terms          Price\r\n  Count Type                                Subtype                      Source         Source\r\n------- ----------------------------------- ---------------------------- -------------- ----------------------------------------\r\n      1 Money Market                                                     N/A            European Money Markets Institute (EMMI)\r\n     10 Money Market                                                     N/A            N/A\r\n-------\r\n     11 Total instruments charged.\r\n      0 Instruments with no reported data.\r\n=======\r\n     11 Instruments in the input list.\r\nNo TRPS complex usage to report -- 11 Instruments in the input list had no reported data.\r\nWriting RIC maintenance report.\r\n",
        "Identifier,IdentType,Source,RIC,RecordDate,MaintType,OldValue,NewValue,Factor,FactorType\r\n"
    ]
}

If we ran this one closer to the end of the day today (after markets close) I guess we would get values for the Official Close Price.

I suggest you experiment in Postman to better understand what results you will get before coding in C#, you might gain some time.

Again, I am not a data specialist, and I'm making guesses as to what you are trying to achieve, so I hope my explanations can help you understand the nature of the calls, and their impact on the resulting data. To better understand the differences between the different closing prices, I strongly suggest you ask a data specialist, by opening a content-related enquiry via MyRefinitiv or by calling the Refinitiv Help Desk directly.

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Thanks for your detailed response @Christiaan Meihsl. You're right, it was basically just an issue with requesting data for fields where data isn't actually available. I was also advised by a support representative to use the fields 'Trade Date' and 'Primary Activity', which both return data. Apologies for the typos in the original post - you're right again, it should have been 'NZCASH=RBNZ' and 'INRONDFIX=FBIL'. The only ones I'm failing to get any data for now are 'EONIA=' and 'SARON.S' but from what you've said, it looks as though the latter of these at least is down to a permissioning issue.

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RE: choice of Intraday requests, what we're actually trying to do here is retrieve the latest available published rates for these indices. I only chose to use 'Official Close Price' because I couldn't see any more suitable field (I tried 'Last Price' but it yielded no data).

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