Tick history raw data extract is not sort in timestamp

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question

KAKIT.LAI

22 ●3 ●3 ●10

Tick history raw data extract is not sort in timestamp

Hi,

I have a python code to use REST API to extract tick history raw from DSS. The extraction works but the file output is not sort by timestamp but instead sort by FIDs. How can I fix that?

Below is the example using my program to extract 0005.HK on Nov 1 from 0930 - 1000 local exchange time, for FIDs 22, 25 and 6. Here's a snapshot of the extraction using my program. Its sorted by BID (22), following by ASK (25) and then by TRDPRC_1 (6)

I compare the same extraction using TRTH with the following template which is same as my program

Below is the extract from TRTH. You can see the data is sorted by timestamp.

trth-rest-api

capture2.png (100.2 KiB)

capture5.png (228.8 KiB)

Nov 15, 2021 at 02:56 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Jirapongse Nov 22, 2021 at 07:53 AM

@KAKIT.LAI

Hi,

Thank you for your participation in the forum.

Are any of the replies below satisfactory in resolving your query?

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

raksina.samasiri Nov 29, 2021 at 11:09 AM

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

Thanks,
AHS

Answer 1 · 2021-11-23T04:36:19Z

Jirapongse

79.1k ●250 ●52 ●74

@KAKIT.LAI

The request contains only one FID.

Therefore, the result contains only values of the TRDPRC_1 field.

1637642086562.png (30.0 KiB)

1637642161325.png (30.4 KiB)

Nov 23, 2021 at 04:36 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 2 · 2021-11-15T04:06:06Z

Jirapongse

79.1k ●250 ●52 ●74

@KAKIT.LAI

Please share the request message that you are using.

I used the following request.

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": "0005.HK",
        "IdentifierType": "Ric"
      }],"ValidationOptions": {"AllowHistoricalInstruments": true}
    },
    "Condition": {
      "MessageTimeStampIn": "LocalExchangeTime",
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2021-11-01T01:30:00.000Z",
      "QueryEndDate": "2021-11-01T02:00:00.000Z",
      "ExtractBy": "Ric",
      "SortBy": "SingleByRic",
      "DomainCode": "MarketPrice",
      "Fids": "22,25,6",
      "DisplaySourceRIC": true,
      "FidListOperator": "OR"
    }
  }
}

The output is:

1636949150330.png (102.6 KiB)

Nov 15, 2021 at 04:06 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 3 · 2021-11-15T06:30:32Z

KAKIT.LAI

22 ●3 ●3 ●10

This is the code

    "ExtractionRequest": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
        "IdentifierList": {
        "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
        "InstrumentIdentifiers": list_of_ric2,
        "UseUserPreferencesForValidationOptions":"false"
        },    
        "Condition": {
        "DateRangeTimeZone": DateRangeTimeZone,
        "TimeRangeMode": TimeRangeMode,
        "MessageTimeStampIn": MessageTimeStampIn,
        "ReportDateRangeType": "Range",
        "QueryStartDate": start_datetime,
        "QueryEndDate": end_datetime,
        "ExtractBy": ExtractBy,
        "SortBy": SortBy,
        "DomainCode": DomainCode,
        "DisplaySourceRIC":"false",
        "Fids": ",".join(fids)
        }
    }
    }

And this is what I input into my program

capture.png (25.3 KiB)

Nov 15, 2021 at 06:30 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Jirapongse Nov 15, 2021 at 07:45 AM

@KAKIT.LAI

The request message doesn't have the FidListOperator property. I checked and found that, on my account, the default value is "AND" so the output is:

Please check the request message with other tools, such as Postman or curl.

1636962252327.png (30.0 KiB)

Answer 4 · 2021-11-15T14:17:29Z

KAKIT.LAI

22 ●3 ●3 ●10

Thanks. I tried but still giving me the same output...

"Condition": {
        "DateRangeTimeZone": DateRangeTimeZone,
        "TimeRangeMode": TimeRangeMode,
        "MessageTimeStampIn": MessageTimeStampIn,
        "ReportDateRangeType": "Range",
        "QueryStartDate": start_datetime,
        "QueryEndDate": end_datetime,
        "ExtractBy": ExtractBy,
        "SortBy": SortBy,
        "DomainCode": DomainCode,
        "DisplaySourceRIC":"false",
        "Fids": ",".join(fids),
        "FidListOperator": "AND"
        }

Nov 15, 2021 at 02:17 PM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Jirapongse Nov 16, 2021 at 02:15 AM

@KAKIT.LAI

With the "AND" operator, the output should be like this:

Please check the request message with other tools, such as Postman or curl.

1637028897894.png (107.5 KiB)

Answer 5 · 2021-11-23T01:16:05Z

KAKIT.LAI

22 ●3 ●3 ●10

Sorry for the delay in getting back. I tried again and output still sorted by the FIDs instead of time of the update. The following is the actual parameter passed to in ExtractionRequest.

{'ExtractionRequest': {'@odata.type': '#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest', 'IdentifierList': {'@odata.type': '#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList', 'InstrumentIdentifiers': [{'Identifier': '3333.HK', 'IdentifierType': 'Ric'}], 'UseUserPreferencesForValidationOptions': 'false'}, 'Condition': {'DateRangeTimeZone': 'Local Exchange Time Zone', 'TimeRangeMode': 'Inclusive', 'MessageTimeStampIn': 'LocalExchangeTime', 'ReportDateRangeType': 'Range', 'QueryStartDate': '2021-11-08T10:00:00.000Z', 'QueryEndDate': '2021-11-08T10:30:00.000Z', 'ExtractBy': 'Entity', 'SortBy': 'SingleByRic', 'DomainCode': 'MarketPrice', 'DisplaySourceRIC': 'false', 'Fids': '6', 'FidListOperator': 'AND'}}}

Nov 23, 2021 at 01:16 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

Answer 6 · 2021-11-30T03:09:46Z

KAKIT.LAI

22 ●3 ●3 ●10

I have fixed the code and issue is fixed. You can close the ticket. Thanks for the help.

Nov 30, 2021 at 03:09 AM

10 |1500

Attachments: Up to 2 attachments (including images) can be used with a maximum of 512.0 KiB each and 1.0 MiB total.

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