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jeff.kenyon0 avatar image
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What function is used to retrieve all ticks within a window with no lag?

Hi, I'm using the Python API with real-time access credentials (no problems connecting). I would like to retrieve, for a specific RIC, the complete set of bid/ask quotes for a specific time window. For example, let's say that at 1101 Tokyo time, I'd like to retrieve all ticks for JPYOIS=TKFX, all tenors, from 1040 to 1100. I don't simply want the latest values (get_snapshot), I'd like to see all of the actual activity during the window.

I do NOT want to open a streaming connection at 1040 and collect values up to 1100, because then I'd have to rely on a glitch-free connection for however many minutes the window might be. I'd like to do a single, synchronous call at 1101, and simply get all the ticks that posted in the time window of interest.

Is this possible, and if so, how would I go about it?

pythonrdp-apirefinitiv-data-platform
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Jirapongse avatar image   Jirapongse

@jeff.kenyon0

Hi,

Thank you for your participation in the forum.

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If yes please click the 'Accept' text next to the most appropriate reply. This will guide all community members who have a similar question.

Otherwise please post again offering further insight into your question.

Thanks,

AHS

wasin.w avatar image   wasin.w

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Thanks,


AHS


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umer.nalla avatar image
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Hi @jeff.kenyon0

Sorry - did not notice you were an internal user.

I have discussed with the engineering team behind the above APIs and they advised:

For the (above) API – it should be near-instantaneous, but realistically 250-500ms. The API is designed to enable historical and real-time blending in desktop applications (chart, T&S), so it has to be pretty close behind real-time so that the desktop can render quickly.

So to your example, they shouldn’t have to wait a minute… any trade from the previous second or so should be immediately available.

Please go ahead and confirm the content returned by the above API fulfils your requirements.


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umer.nalla avatar image
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Hi @jeff.kenyon0

When using a real-time interface the price points can only be received in real-time - as it is a streaming feed.

From my reading of your question, I would say a historical pricing product/interface would be better suited.

We have various standalone historical pricing products e.g. TRTH. However, you can also consume historical data from RDP using RDP historical APIs e.g. https://api.refinitiv.com/data/historical-pricing/v1/views/events - which you can discuss with your Refintiv account team.

The following tutorial provides example usage of the RDP historical-pricing APIs:
Historical Pricing: Time Series Summary (bar), Events (T&S)

You will need to be licenced to access the API - so as mentioned above, please discuss with your Refinitiv Account team.

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jeff.kenyon0 avatar image
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Hi @umer.nalla,

Thank you for your response. As I'm a Refinitiv employee, I don't have (to my knowledge) a Refinitiv Account team.

I'm happy to use the historical pricing, but as I said, I'm worried about lag: in the example I gave, at 1101, would the 1040-1100 ticks be available in history? I don't know where to find out (beyond experimentation) exactly what the lag as, and since this is being used to create a new benchmark, knowing the lag is kind of critical.

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