I am requesting Open High Low Last prices on the 1minute time bar interval for On Demand Intraday bars extraction using Tick History API
For a large company like AAPL.O I can retrieve every minute bar from GMT 13:30:00 to GMT 20:00:00 through history.
For a company with a smaller market cap like JYNT.OQ the same request retrieves only about 20% of a given day's minute bar data, with the remaining bars returned blank as though no trading has occurred during those minutes.
Infact, trading has occurred during those minutes and is recorded by other data sources.
Am I given to understand that the TRTH does not record all minute-by-minute data which is available?
Or am I requesting the minute bar data in a way which does not retrieve the entire history of Reuters' database of minute bar data?
Body of the request being sent:
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
"ContentFieldNames": [
"Open",
"High",
"Low",
"Last",
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{ "Identifier": "JYNT.OQ", "IdentifierType": "Ric" }
],
"ValidationOptions": null,
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"QueryStartDate": "2017-11-20T00:00:00.000Z",
"QueryEndDate": "2019-12-20T00:00:00.000Z",
"SummaryInterval": "OneMinute",
"TimebarPersistence": true,
"DisplaySourceRIC": true
}
}
}
To verify that there isn't a problem with my code, I have run an extraction request through the GUI using the same parameters, and have received the exact same response with the exact same sparsely populated Open, High, Low, and Last fields for small cap instruments. The data for the empty timebars is available from other data sources.
To check if this issue has been queried previously, I did a search through the forum and found another user asking the same question:
Open, High, Low, and Last fields are unpopulated in vast swaths on on the intraday bars for basically all small cap instruments on all intraday intervals (1 min to 1 hour). When data is present for these timebars, it is inaccurate when checked against multiple other sources, and is also truncated to 2 decimal places. This cannot be the quality data from Reuters we are seeking.
How can I direct Tick History to retrieve data from the complete dataset to populate all the Open, High, Low, and Last fields for small cap instruments?
