Closing auction imbalance data via API
I'm trying to pull end of day imbalance/closing auction information. Below is an example that I would scale for additional tickers (.NOI and .ITC) and FIDs. I am receiving the following message: Extraction notes: All identifiers were invalid. No extraction performed. I've tried to look at other questions but still seem to be missing something. Below is my JSON. Appreciate your help.
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{
"Identifier": "IBM.NOI",
"IdentifierType": "Ric"
},
{
"Identifier": "JNJ.NOI",
"IdentifierType": "Ric"
}
]
},
"Condition": {
"MessageTimeStampIn": "LocalExchangeTime",
"ReportDateRangeType": "Range",
"TimeRangeMode": "Window",
"QueryStartDate": "2021-12-01T10:15:00.000Z",
"QueryEndDate": "2021-12-31T16:00:00.000Z",
"DomainCode": "MarketPrice",
"Fids": "4334, 4335, 4336",
"FidListOperator": "OR",
"FidDisplayOption": "Matching",
"ExtractBy": "Ric",
"DisplaySourceRIC": 'false'
}
}
}
Ok, for Historical instrument, you will have to specify that as such. Please use this query:
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryRawExtractionRequest",
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [{
"Identifier": "IBM.NOI",
"IdentifierType": "Ric"
}, {
"Identifier": "JNJ.NOI",
"IdentifierType": "Ric"
}
],
"ValidationOptions": {
"AllowHistoricalInstruments": true
},
},
"Condition": {
"MessageTimeStampIn": "LocalExchangeTime",
"ReportDateRangeType": "Range",
"TimeRangeMode": "Window",
"QueryStartDate": "2021-12-01T10:15:00.000Z",
"QueryEndDate": "2021-12-31T16:00:00.000Z",
"DomainCode": "MarketPrice",
"Fids": "4334, 4335, 4336",
"FidListOperator": "OR",
"FidDisplayOption": "Matching",
"ExtractBy": "Ric",
"DisplaySourceRIC": 'false'
}
}
}
I am unable to get Auction Imbalance data due to permission issues with my ID:
Historical Instrument <RIC,IBM.NOI> expanded to 1 RIC: IBM.NOI. Historical Instrument <RIC,JNJ.NOI> expanded to 1 RIC: JNJ.NOI. Total instruments after instrument expansion = 2 Range Query from 2021-12-01T15:15:00.000 to 2021-12-31T21:00:00.000 (UTC) Query window is 15:15:00.000 to 21:00:00.000 (UTC) (RIC,IBM.NOI,) row suppressed for lack of 'NOI (NYSE ORDER IMBALANCE)' permission. (RIC,JNJ.NOI,) row suppressed for lack of 'NOI (NYSE ORDER IMBALANCE)' permission. Report suppressed because no instruments are permitted
I believe I see this. Similar for JNJ. These are two of the identifiers I used when going through the online GUI without issue.
Ah, I see now. Thank you.