Tick data from dot net API not matching Tick Data from Reuters RTD

Hello @rohit.agarwal.rg,

I think the cause for the not matching of the results is in parametrization. Only if every parameter matches between excel formula and code, will the results be consistent, and myself I don't always find these mismatches in parametrization easy to catch.

In this case, I think it's update frequency that differs. In Excel you have 10 minutes frequency, and in .Net code- every tick.

Do the results look right if you change it to be the same?

Hi @rohit.agarwal.rg,

Tick interval did not apply for me via API for this expression.

However, 10M as interval with 60 points, to see more clearly what is returned

In Excel

=RHistory("DIJF22","TRDPRC_1.Timestamp;TRDPRC_1.Volume;TRDPRC_1.Close","TIMEZONE:UTC NBROWS:60 ADJUSTED:NO INTERVAL:10M",,"SORT:ASC TSREPEAT:NO CH:Fd",L3)

And 10M in code:

 request = timeSeries.SetupDataRequest(TimeSeriesRequestExample.instr)
       .WithView("TRDPRC_1")
       .WithAllFields()
       .WithInterval(CommonInterval.Intraday10Minutes)
       .WithNumberOfPoints(60)
       .OnDataReceived(DataReceivedCallback)
       .CreateAndSend();

The results appear to match (within the available options):

Hi @rohit.agarwal.rg,

I must be missing something.

I have looked at your Excel sheet. It requests 6000 points and retrieves 6000 points.

I have looked at your project. It request 6000 points and retrieves 6000 points?

Is it different for you? How many points do you retrieve?

Hi @rohit.agarwal.rg,

I retrieve over 2000 on 27th with my code.

I think I see what is different.

I think the difference you see has to do with parametrization, what is happening is Excel is using UTC timezone by default, and in code you explicitly use GMT in code, and also reverse the output.

To get the same result from .Net code, as you see in Excel, try comment out in code:

 private void Request()
        {
            string contract = "DIJF22";
            _request1 = _timeSeries.SetupDataRequest(contract)
                .WithView("TRDPRC_1")
                .WithAllFields()
                .WithInterval(CommonInterval.Tick)
                .WithNumberOfPoints(6000)
                .OnDataReceived(DataReceivedCallback)
//                .WithTimeZone(TimezoneType.GMT)
                
                .CreateAndSend();
        }

And in DataReceivedCalback try removing reverse:

foreach (IData dat in chunk.Records.ToArray())
                {
                    if (dat.ToTickRecord().Timestamp.HasValue)
                    {
                        Console.WriteLine(
                            "Tick {0}: {1} {2} {3} {4}",
                            TimeSeriesRequestExample.instr,
                            dat.ToTickRecord().Timestamp,
                             dat.ToTickRecord().Value,
                              dat.ToTickRecord().Volume,
                              count

                        );
                    };
                    count++;
                }

@rohit.agarwal.rg

Volumes appear to be the same for me as well

I will take a look at your attach,

Please try running the attached modified example code I used to generate this output?

Do you see the same?

Usage Example Time series API.modif.20200127.zip

Hi @rohit.agarwal.rg,

Your two results do differ I see that.

This time I have started out with your Excel and code, to see what we need to match.

Here is what I did

On DIJF22 TICK DATA FROM EXCEL RTD - Copy.xlsx

I replaced GMT with UTC, waited for an update and paused.

=RHistory("DIJF22","TRDPRC_1.Timestamp;TRDPRC_1.Value;TRDPRC_1.Volume","NBROWS:6000 ADJUSTED:NO TIMEZONE:UTC  INTERVAL:TICK",,"CH:Fd",B2)

Then I run your .Net request code, only with GMT commented, immediately.

They matched perfectly. If I would have taken a little more time, I may have had a couple of additional ticks, but the rest should have still matched.

Are you able to reproduce the same matching results, for all 6000 points, if you proceed the exact same way?

Hi @rohit.agarwal.rg

Please find attached:

DIJF22 TICK DATA FROM EXCEL RTD - Copy.zip

data.zip

Does this help?