How tick data is resampled by SummaryInterval
My question is about how the
SummaryInterval
parameter is used by
TickHistoryIntradaySummariesExtractionRequest
to resample the tick data: would it average the available ticks between two consecutive intervals?
Hello @memam ,
Thank you for the clarification,
From reviewing Refinitiv Tick History GUI User Guide I believe the intervals are not sampled at the beginning of the interval, but are summarized per interval:
Intraday Summaries • Provides transaction messages constructed on the fly from either Trade or Quote messages summarized into timeseries intervals representing aggregations at 1 second, 5 seconds, 1 minute, 5 minutes, 10 minutes, 15 minutes and 60 minutes
to me this means averaging over the interval, however, I am a developer.
This forum can be of most help to you with RTH API usage related questions.
With questions on content, the best approach for a customer is to refer them directly to Refinitiv content experts via Refinitiv Helpdesk Online -> Content -> RTH, and your question will be directly assigned to a content expert for the specific content set.
Hope this information helps
Hello @memam ,
The intervals that are made available by TickHistoryIntradaySummariesExtractionRequest per REST API Reference Tree are:
If I understand your question correctly, you require an interval that is in-between the provided intervals?
This can be designed in the custom integration code, using the facilities of the programming language used for the integration.
If you are integrating with Python, you may find pandas.DataFrame.resample reference information and this previous discussion thread to be of interest.
Thanks but my question was about how SummaryInterval is used to generate the resulting historical data. For example, when we set SummaryInterval as OneSecond, would TickHistoryIntradaySummariesExtractionRequest take a snapshot of the tick data at every second and report them back OR would it average the prices at all the ticks in-between each seconds and reports it?