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Liang Ge avatar image
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Retrieve tick history of different instruments for different time range

Hi there,

I am trying to retrieve tick history data with TRTH for multiple instruments for diffrent time range. Is there a way I can retrieve the data in one request? i.e. specify different QueryStartDate/QueryEndDate for each instrument in one request instead of sending one request for each instrument? Thank you!



requestBody={

"ExtractionRequest": {

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

"ContentFieldNames": [

"Trade - Price",

"Trade - Volume",

"Trade - Bid Price",

"Trade - Ask Price",

"Trade - Sequence Number",

"Trade - Qualifiers",

"Trade - Exchange Time",

"Trade - Date",

"Quote - Bid Price",

"Quote - Bid Size",

"Quote - Ask Price",

"Quote - Ask Size",

"Quote - Exchange Time",

"Quote - Date"

],

"IdentifierList": {

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

"InstrumentIdentifiers": [{

"Identifier": "ONON.K",

"IdentifierType": "Ric"

},{

"Identifier": "AAPL.OQ",

"IdentifierType": "Ric"

}],

"UseUserPreferencesForValidationOptions":"false"

},

"Condition": {

"MessageTimeStampIn": "LocalExchangeTime",

#"GmtUtc",

"ReportDateRangeType": "Range",

"QueryStartDate": "2021-10-26T12:52:50.000Z",

"QueryEndDate": "2021-10-26T12:53:00.000Z",

"TimeRangeMode": "Inclusive",

"DisplaySourceRIC": "True"

}

}

}


@ankur.tyagi

tick-datatrth-rest-api
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wasin.w avatar image   wasin.w

Hello @Liang Ge

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.

Thanks,


AHS


1 Answer

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zoya faberov avatar image
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Hello @Liang Ge and @ankur.tyagi ,

An on-demand request allows one InstrumentList specification and one Condition specitication, so the Condition, including dates, applies to the entire list.

A scheduled request includes instrument list request and report template.

However, from design perspective, it may make sense to look at your requirement, and see how to best address it.

To venture a guess, is there a concern on simultaneous request limits, they are described in Best Practices & Fair Usage Policy for DataScope Select and Tick History Guide and are fairly large.

Are you looking for a single consolidated way to review the results of this request? In this case you may either aggregate the results from the discrete on-demand requests in your custom code, or you may be interested in deploying scheduled requests, see REST API Tutorial 12: GUI control calls: immediate extract on how to do it programmatically. In this case, all results of your requests will be visible via DSS GUI as well as can be consolidated programmatically when they have been completed.

If the data required is recent and from the same venue, another approach to consider may be Venue By Day files. REST API Tutorial 2: Retrieving VBD files for integration details. If your required instruments are from the same venue (exchange) this will allow you to request all instruments for specific venue for specific date in one request. Next you would select your required data from all of the returned data. The number of days available for request is limited, believe it is last 30 days. This is a separate capability that is not included by default, so if exploring this approach is of interest, please discuss the requirement in detail with your Refinitiv account manager.

Hope that some of this information is helpful to you.

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