At the moment I use the Datascope rest api to retrieve historical data from which I can build models. I have the elektron websocket api set up to receive realtime data and use a combination of these to make market predictions. I have the realtime stream running through the night on most weeknights and the issue I have is that sometimes there are problems at my end, ranging from poor connectivity to poor coding on my part, that mean the machine breaks down.
I would like to be able to just do a bulk download to catch up the data that I may have missed for that day whilst I've been asleep but my historic downloads are about 5 hours behind realtime and I don't think it's possible to use the realtime api to go back in time. I'm assuming that there must be some way of using Datascope to do this but I haven't been able to find it.
Any help on this would be great.
The API that meets your requirement is Refinitiv Tick History (RTH) - REST API.
You can use it to extract the raw data which is quite similar to the data (field list) retrieved from the WebSocket API. Please refer to the REST API Tutorial 8: On Demand raw data extraction.
The raw data looks like the following:
#RIC,Domain,Date-Time,GMT Offset,Type,MsgClass/FID number,UpdateType/Action,FID Name,FID Value,FID Enum String,PE Code,Template Number,Key/Msg Sequence Number,Alias Underlying RIC,Number of FIDs CARR.PA,Market Price,2016-09-29T10:00:00.258628004Z,+2,Raw,UPDATE,QUOTE,,,,8132,,45808,,14 ,,,,FID,25,,ASK,23.31, ,,,,FID,6580,,ASK_COND_N,0, ,,,,FID,31,,ASKSIZE,1828, ,,,,FID,4147,,ASK_TIM_MS,36000210, ,,,,FID,346,,ASK_TONE," ", ,,,,FID,3867,,AUC_ASK,, ,,,,FID,3864,,AUC_ASKSIZ,, ,,,,FID,6516,,BOOK_STATE,1,N ,,,,FID,134,,MID_PRICE,23.3075, ,,,,FID,292,,NO_ASKMMKR,6, ,,,,FID,6554,,NO_ASKORD1,6, ,,,,FID,1025,,QUOTIM,10:00:00.000000000, ,,,,FID,3855,,QUOTIM_MS,36000210, ,,,,FID,5,,TIMACT,10:00:00.000000000,
Typically, today's data will be available two hours after the market close.
I don't think that this data is available in the DSS report templates. You can contact the DataScope support team via MyRefinitiv for confirmation.