historical bond prices via DSS Python (REST) API
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.