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EDP.Habib.Ahsan avatar image
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DSS REST API - How to request Price History data for MBS CUSIP with Status = Matured/Expired

I have a list of Mortgage Pool CUSIPs, which are not directly searchable in DSS , they show as not found via GUI search. So these instruments have to be searched as Mort Pass-Thru MBS and Status set to Expired/Matured


1628615894818.png


I do not know how to construct the instrument identifier list in request-body of the REST API call for Pricing History template, I'd appreciate any help/guidance:


requestBody={

"ExtractionRequest": {

"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",

"ContentFieldNames": [

"Ask Price", "Bid Price", "Instrument ID", "Instrument ID Type", "Mid Price"

],

"IdentifierList": {

"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",

"InstrumentIdentifiers": [

{ "Identifier": "31340AAA9", "IdentifierType": "Cusip" }

],

"ValidationOptions": { "AllowHistoricalInstruments": "true" },

"UseUserPreferencesForValidationOptions": "false"

},

"Condition": {

"AdjustedPrices": "true",

"QueryStartDate": "2007-01-01T00:00:00.000Z",

"QueryEndDate": "2021-07-30T23:59:59.999Z"

}

}

}

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zoya faberov avatar image   zoya faberov

Hello @EDP.Habib.Ahsan ,

Could you please explain a little more of what you are trying to achieve? The request included seems to be a working request, from my testing, obtaining a valid result?

Ask Discount,Ask Price,Ask Yield,Asset ID,Asset Status,Asset Status Description,Asset SubType,Asset SubType Description,Asset Type,Bid Discount,Bid Price,Compound Yield,Contributor Code,Contributor Code Description,Country of Issuance,Country of Issuance Description,Duration,Evaluated Pricing Service Market Convention Mid Price,Exchange Code,Fixed Coupon,Instrument ID,Instrument ID Type,Mid Clean Price,Mid Price,Net Change,Price Quote Method Code,Pricing Method Code,Pricing Method Value,Quoted Clean Indicator,RIC,Security Description,Ticker,Trade Date,TRPS Market Convention Mid Price,Universal Ask Price,Universal Bid Price,Universal Close Price,Worst Average Life
,103.78958, -9999401,0x00000b000591bc23,MAT,Expired/Matured,POOL,Mortgage Pools,MORT,,103.66458,,N/P,No Price,US,United States,,,N/P,,31340AAA9,CSP,,103.72708,,PP,,,Y,,FHGL   140001 11.250 Pd Down,FMCC,2007/01/02,,103.78958,103.66458,103.66458,
,103.78854, -9999401,0x00000b000591bc23,MAT,Expired/Matured,POOL,Mortgage Pools,MORT,,103.66354,,N/P,No Price,US,United States,,,N/P,,31340AAA9,CSP,,103.72604,,PP,,,Y,,FHGL   140001 11.250 Pd Down,FMCC,2007/01/03,,103.78854,103.66354,103.66354,
...

Thanks

raksina.samasiri avatar image   raksina.samasiri

Hi @EDP.Habib.Ahsan

<private comment>

Thank you for your participation in the forum. Is the reply below satisfactory in resolving your query?
If so please can you click the 'Accept' text next to the appropriate reply? This will guide all community members who have a similar question or could you provide the information required for further investigation, please?

Thanks,
AHS

Alex Putkov.1 avatar image   Alex Putkov.1

@EDP.Habib.Ahsan

Please be informed that a reply has been verified as correct in answering the question, and has been marked as such.

Thanks,

-AHS

1 Answer

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zoya faberov avatar image
32.2k ●40 ●11 ●20

Hello @EDP.Habib.Ahsan ,

Just in case, the search via API could be:

{
                {protocol}}{
                {host}}{
                {api}}Search/MortgageSearch
{
    "SearchRequest": {
       "Identifier": "31340AAA9",
        "IdentifierType": "Cusip",
        "PreferredIdentifierType": "Cusip",
        "AssetStatuses": [
            "ExpiredMatured"]
        
    }
}

Resulting in:

{
    "@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#Collection(DataScope.Select.Api.Content.ValidatedInstrument)",
    "value": [
        {
            "Identifier": "31340AAA9",
            "IdentifierType": "Cusip",
            "Source": "N/P",
            "Key": "VjF8MHgwMDAwMGIwMDA1OTFiYzIzfDB4MDAwMDBiMDAwNTkxYmMyM3xOL1B8UE9PTHxNb3J0Z2FnZXN8fFB8Tnx8TU9SVA",
            "Description": "FHGL   140001 11.250 Pd Down",
            "InstrumentType": "MortgagePool",
            "Status": "Valid"
        }
    ]
}
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zoya faberov avatar image   zoya faberov
Hello @EDP.Habib.Ahsan ,

<private comment>

Was this what you were looking for, or would you like to elaborate on the question?

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