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leo.wu avatar image
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How to retrieve Time and Sales Tick data in RTH?

Hi Team,

I want to download the JNIU6 data through the API from 2016-06-29 to 2016-06-30, could you advise the correct template to use? Or anything wrong in my below request?

{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Auction - Exchange Time",
"Auction - Price",
"Auction - Volume",
"Auction - Qualifiers",
"Market Conditions - Qualifiers",
"Trade - Ask Price",
"Trade - Ask Size",
"Trade - Bid Price",
"Trade - Bid Size",
"Trade - Exchange Time",
"Trade - Price",
"Trade - Volume",
"Trade - Qualifiers"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"ValidationOptions": {
"AllowHistoricalInstruments": "true"
},
"InstrumentIdentifiers": [
{
"Identifier": "JNIU6",
"IdentifierType": "Ric",
"Description": "Historical Instrument",
"FirstDate": "2016-06-29T23:00:00.000Z",
"LastDate": "2016-06-30T23:00:00.000Z"
}
]
},
"Condition": {
"SortBy": "SingleByRic",
"MessageTimeStampIn": "LocalExchangeTime",
"ReportDateRangeType": "Range",
"QueryStartDate": "2016-06-29T23:00:00.000Z",
"QueryEndDate": "2016-06-30T23:00:00.000Z"
}
}
}


Thanks,

Leo

tick-history-rest-api
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Jirapongse avatar image
78.8k ●250 ●52 ●74

@leo.wu

The request is incorrect. It should look like:

{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Auction - Exchange Time",
"Auction - Price",
"Auction - Volume",
"Auction - Qualifiers",
"Market Conditions - Qualifiers",
"Trade - Ask Price",
"Trade - Ask Size",
"Trade - Bid Price",
"Trade - Bid Size",
"Trade - Exchange Time",
"Trade - Price",
"Trade - Volume",
"Trade - Qualifiers"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"ValidationOptions": {
"AllowHistoricalInstruments": "true"
},
"InstrumentIdentifiers": [
{
"Identifier": "JNIU6",
"IdentifierType": "Ric"
}
]
},
"Condition": {
"SortBy": "SingleByRic",
"MessageTimeStampIn": "LocalExchangeTime",
"ReportDateRangeType": "Range",
"QueryStartDate": "2016-06-29T23:00:00.000Z",
"QueryEndDate": "2016-06-30T23:00:00.000Z"
}
}
}

The output looks like the following.


1620634246187.png (50.1 KiB)
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Upvotes
leo.wu avatar image
15 ●2 ●3 ●5

Thanks, @jirapongse.phuriphanvichai.

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