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20 0 1 3

How do you change timestep of best limit quote to minute in API REST extraction?

Hello,

I am using API rest in python to extract best bid/offer quote. Could you please tell me if it is possible to change the time step of the extraction? Because I want to get only the first quote of each minute. If so, what field should I add in my body request?

Thanks for your support!

Eric


PS : I am not sure if I posted on the right forum, my apologize

PS: Here is my body code using json:


import json

import datetime


body = json.dumps({

"ExtractionRequest": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",

"ContentFieldNames": ['Ask Price',

'Ask Size',

'Bid Price',

'Bid Size',

'Number of Buyers',

'Number of Sellers'],

"IdentifierList": {

"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",

"InstrumentIdentifiers": [{'Identifier': 'FR0013516549=MY', 'IdentifierType': 'Ric'}],

"ValidationOptions": {

"AllowHistoricalInstruments": True,

"AllowInactiveInstruments": True,

"AllowOpenAccessInstruments": False

},

"UseUserPreferencesForValidationOptions": False

},

"Condition": {

"ReportDateRangeType" : "Range",

"QueryStartDate": datetime.strptime('07/10/2020', "%d/%m/%Y").date().strftime("%Y-%m-%d")+"T00:00:00.000Z",

"QueryEndDate": datetime.strptime('07/10/2020', "%d/%m/%Y").date().strftime("%Y-%m-%d")+"T23:00:00.000Z",

"View": "NormalizedLL2",

"NumberOfLevels": 1,

"SortBy": "SingleByRic",

"MessageTimeStampIn": "GmtUtc"

}

}

})

dss-rest-apidssdatascope-selectapipricingquote
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1 Answer

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Accepted
31.9k 38 11 19

Hello @e.va,

I do not think you can to get one per minute with TickHistoryTimeAndSalesExtractionRequest. Please see the complete parameter spec of the request in reference REST API Reference Tree -> Extraction -> ExtractWithNotes -> Select TickHistoryTimeAndSalesExtractionRequest from the dropdown to review the complete parameter specification.

It seems to me, that you may be better off with TickHistoryIntradaySummariesExtractionRequest that allows to apply interval OneMinute, try:

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryIntradaySummariesExtractionRequest",
    "ContentFieldNames": [
      "Close Ask",
      "Close Bid",
      "High",
      "High Ask",
      "High Bid",
      "Last",
      "Low",
      "Low Ask",
      "Low Bid",
      "No. Asks",
      "No. Bids",
      "No. Trades",
      "Open",
      "Open Ask",
      "Open Bid",
      "Volume"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "CARR.PA",
        "IdentifierType": "Ric"
      }],
      "ValidationOptions": null,
      "UseUserPreferencesForValidationOptions": false
    },
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2016-09-29T00:00:00.000Z",
      "QueryEndDate": "2016-09-30T00:00:00.000Z",
      "SummaryInterval": "OneMinute",
      "TimebarPersistence": true,
      "DisplaySourceRIC": true
    }
  }
}


Should yield something like

...
CARR.PA,,Market Price,2016-09-29T06:39:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:40:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:41:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:42:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:43:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,1
CARR.PA,,Market Price,2016-09-29T06:44:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:45:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:46:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
CARR.PA,,Market Price,2016-09-29T06:47:00.000000000Z,+2,Intraday 1Min,,,,,,,23.045,23.045,23.045,23.045,0,23.1,23.1,23.1,23.1,0
...

Does this help?

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It works, thanks a lot!!