futures expiry date in TRTH python

Mehdi
Mehdi Newcomer
in TRTH

Hi there,

I have 2 questions please:

1 I am trying to retrieve the expiry date of a specify contract through the TRTH Python API. I use "Expiration Date" as the file in ContentFieldNames section of the json file. It works for some products but does not for others. For example, when trying to retrieve the expiry date of FCEK1, the extract does not any entry whereas the code works perfectly for others.

2 Is there also a way to simply retrieve all the expiry dates of a future chain like in the Eikon API by using a ric chain like 0#FCE:

I also tried to use this in the query but it does not work.


Thank you for your help

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Answers

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hello @Mehdi,

    I think FuturesAndOptionsSearch may be suitable:

    {{protocol}}{{host}}{{api}}Search/FuturesAndOptionsSearch

    {
        "SearchRequest": {
            "FileCodes": null,
            "CurrencyCodes": null,
            "ExchangeCodes": null,
            "IdentifierType": "Ric",
            "Identifier": "FCEK1"
        }
    }

    resulting in:

    {
        "@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#Collection(ThomsonReuters.Dss.Api.Search.FuturesAndOptionsSearchResult)",
        "value": [
            {
                "Identifier": "FCEK1",
                "IdentifierType": "Ric",
                "Source": "MNP",
                "Key": "VjF8MHgwMDEwMGIwMDI2YTljMzEzfDB4MDAxMDBiMDAyNmFjMDY2NnxNTlB8RFZRVXxERVJWfEZVVHxEfHxGQ0VLMXw1MDM2",
                "Description": "CAC 40 MAY1",
                "InstrumentType": "DerivativeQuote",
                "Status": "Valid",
                "ExchangeCode": "MNP",
                "CurrencyCode": "EUR",
                "FuturesAndOptionsType": "Futures",
                "PutCallCode": "",
                "ExpirationDate": "2021-05-21T00:00:00.000Z",
                "AssetStatus": "Active"
            }
        ]
    }

    It does not support chainRIC as identifier, so you have to find expand the chain:

    {{protocol}}{{host}}{{api}}Search/HistoricalChainResolution 

    {
      "Request": {
              "ChainRics": ["0#FCE:"],
          "Range": {
              "Start": "2020-06-12T00:00:00.000Z",
              "End": "2021-06-12T00:00:00.000Z"
          }
      }
    }

    And then look up expiration dates of the relevant RICs using FuturesAndOptionsSearch



  • Mehdi
    Mehdi Newcomer

    Hi Zova,

    I tried your query in the Python API, but it does not work. The ExtractRaw method returns:

    Status Code = 400

    XXX lineno: 94, opcode: 0

    Do you think this should work even in the Python TRTH API? would you have a small piece of Python code to share that i could try because i could not find any documentation about this type of json file to be called in Python?

    Thank you again

  • zoya faberov
    zoya faberov ✭✭✭✭✭

    Hello @Mehdi,

    ExtractRaw is not the right request type/endpoint to use.

    My suggested approach included two Searches:

    {{protocol}}{{host}}{{api}}Search/FuturesAndOptionsSearch

    and

    {{protocol}}{{host}}{{api}}Search/HistoricalChainResolution

    Please see REST API Reference Tree with the complete spec to use.

    I have tested the "naked" requests in Postman, so they will work the same in any language that supports HTTP REST interface, including Python.

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