I am implementing a mechanism to extract historical time-series from DSS using the Rest API. The code is written in Java and it interfaces directly with the API via HTTP.
All is going well, but performance is still an issue - I understand the TimeSeriesExtractionRequest operation allows up to 1000 instruments to be requested at a time but I haven't tested the full capabilities in full yet. I started with 20 at a time and increased to 50 per request - by then I started encountering issues to download the extract using the MonitorLocation URL. Most of the times, after 3 attempts my connection (proxy actually) would time out and the 4th attempt would result in a 404 error.
So my question is - what is the best strategy to extract historical data for a large number of securities, using the rest API? Is there a recommended number of instruments per request? I noticed the API does not return a Retry-After indicating the length of time I should wait - do you recommend a specific time I should wait?
On a different note, in some occasions (randomly) I noticed the Monitor URL was being returned with localhost in the hostname instead of hosted.datascopeapi.reuters.com, which was obviously causing my application to fail. Is that a known bug in the platform?