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?
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.
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.
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.