(My previous question on StreamingPrices seemed to be poorly phrased, and firstname.lastname@example.org directed me back here, so let me try this again.)
I'm working on a benchmark project where I need tick data (fields TIMACT, BID, BIDSIZE, ASK, ASKSIZE) for a set of RICs (SON3H0, SON3M0, SON3U0, SON3Z0, SON3H1) for a specific 20 minute window, let's say 0800-0820 UTC. I want to issue my request and retrieve all the ticks within that window ideally within one minute after the window closes (by 0821 UTC). I need to retrieve this set of ticks programmatically, since I want my program to run unattended outside of my normal business hours, and use these ticks to produce an output. So using the Eikon GUI or Eikon for Excel is not an option.
I don't want to use StreamingPrices if I don't have to, since it seems that would require that I keep the streaming connection open for ~20 minutes, issuing a constant stream of snapshot requests.
I am able to configure Python appropriately and get data back from rdp.StreamingPrices, so connectivity does not appear to be an issue.
(1) Is there a function in the Python API that will retrieve all ticks within a time window? If so, what is the lag between the real-time tick and when it is available from the API?
(2) For future reference, is there documentation, tutorials, or examples that would demonstrate the available functionality within the Python API? I've found the documentation within Python (e.g., help(refinitiv.dataplatform)), but in general, most of the description and documentation I've seen is buried in presentations, where code is in a screen shot rather than in a location where it can be cut and pasted in.
(3) Where would I be able to get information about delays or lags in data from various functions? For example, in using get_historical_price_events during NYSE trading hours, there appears to be a 15-minute delay.