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I want to extract historical bond prices (clean, and dirty), yields and bpv for US treasury bonds, (example RIC='9128286H8=') via the DSS Python API - using the Elektron Time Series template:
I have browsed through the different fields, and tried: "Ask", "Bid", "Universal Ask", "Universal Bid", "Yield", "Close Yield", "Last". But all these fields returns None.
Question 1: Is it possible to extract historical bond prices (clean, and dirty), yields and bpv for US treasury bonds via DSS Python API?
Question 2: If yes, which fields do I need to request?
Question 3:If no, can I use another DSS template to obtain these data?
Hello @lhougaard1,
I have tested ElektronTimeSeries via on-demand request via Postman (quickest to test, but should yield exact same result in Python):
{ "ExtractionRequest": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest", "ContentFieldNames": [ "RIC", "Ask", "Bid", "Trade Date" ], "IdentifierList": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [ { "Identifier": "9128286H8=", "IdentifierType": "Ric" } ] }, "Condition": { "ReportDateRangeType": "Range", "QueryStartDate": "2020-10-01T00:00:00.000Z", "QueryEndDate": "2020-12-02T00:00:00.000Z" } } }
My response contained valid data points:
... { "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult", "Contents": [ { "IdentifierType": "Ric", "Identifier": "9128286H8=", "RIC": "9128286H8=", "Ask": 103.26953125, "Bid": 103.24609375, "Trade Date": "2020-10-01" }, { "IdentifierType": "Ric", "Identifier": "9128286H8=", "RIC": "9128286H8=", "Ask": 103.24609375, "Bid": 103.22265625, "Trade Date": "2020-10-02" }, ...
Yes, using Python you should get the exact same result, if your user id is permissioned to request this template. Please try the above on-demand request, you can download RTH Python Code Examples and replace the request in OnDemand example with this request or your required request.
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