End of period timestamp for DSS TickHistoryIntradaySummariesExtractionRequest

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s.paulick
s.paulick Newcomer
in DSS

Hello

I would like to extract historic intraday data from the datascope select tickhistory.

The data I am interested in are the 1 hour open-high-low-close aggregates for example for the RIC code CFI2Z1, and

I am using the options included below.

When I compare the data with data extracted through the ELEKTRON-API where I am using the option "summaryTimestampLabel": "endPeriod" to get end-of-period timestamps, the data points are shifted by 1 hour, while all extractions should refer to GMT time zone, i.e. the timestamp from the ELEKTRON API is one hour later.


I was wondering if there exists an option for the DSS Tickhistory API to set timestamps to end-of-period as well.


I appreciate your kind help.

Thanks,

Eva



{

"ExtractionRequest": {

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

"ContentFieldNames": [

"Open",

"High",

"Low",

"Last",

"No. Trades",

"Volume"

],

"IdentifierList": {

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

"InstrumentIdentifiers": [

{

"Identifier": "CFI2Z0",

"IdentifierType": "Ric"

},

{

"Identifier": "CFI2Z1",

"IdentifierType": "Ric"

}

],

"UseUserPreferencesForValidationOptions": "False",

"ValidationOptions": {"AllowHistoricalInstruments": "True"}},

"Condition": {

"MessageTimeStampIn": "GmtUtc",

"ReportDateRangeType": "Range",

"SummaryInterval": "OneHour",

"QueryStartDate": "2020-12-01T00:00:00.000Z",

"QueryEndDate": "2021-12-20T00:00:00.000Z",

"ExtractBy": "Ric",

"SortBy": "SingleByRic",

"TimeRangeMode": "Inclusive",

"DisplaySourceRIC": "True",

"TimebarPersistence": "True"

}

}

}

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Best Answer

  • zoya faberov
    zoya faberov ✭✭✭✭✭
    Answer ✓

    Hello Eva @s.paulick,

    I understand that you are saying that while Tick History extraction returns Date-Time for one hour summary bars at the beginning of the hour,

    RDP /data/historical-pricing/v1/views/intraday-summaries/{universe} request allows to select either the beginning of the hour via summaryTimestampLabel = startPeriod or the end of the hour via summaryTimestampLabel =endPeriod per Time Series Historical Pricing Web Service - Swagger Spec

    And you would like to specify, by analogy, the beginning of the hour for Tick History REST request as well, in order to obtain Date-Time at the beginning of the hour.

    From what I see, per REST API Reference Tree -> TickHistoryIntradaySummariesExtrationRequest, this is not an available interface option for RTH request.

    In my view, if you are integrating programmatically, the simplest approach to meet the requirement could be to subtract an hour from the Date-Time retrieved and obtain the start of the interval Date-Time.

    You can also obtain the definitive answer, by contacting Refinitiv content experts directly, via Refinitiv Helpdesk Online -> Content -> RTH if there is an alternative way to request this content from Tick History, that will yield the result that you require.

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