For a deeper look into our DataScope Select REST API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials

question

Upvotes
Accepted
1 1 3 3

How to download the historical tick data of CBOE VIX Index?

Hi,

I will appreciate assistance on how to download historical data of CBOE VIX index via Data Scope rest api and UI.


I tried several options via Data Scope UI with the ric ".VIX" but nothing received.


Thank you.

index
icon clock
10 |1500

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

1 Answer

· Write an Answer
Upvotes
Accepted
76.8k 239 52 72

@atsmus900

To get the historical Tick data, you need to have permission to access Tick History templates.

For example, I can use TickHistoryTimeAndSalesExtractionRequest to retrieve historical data.

The request looks like this.

{
  "ExtractionRequest": {
    "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
    "ContentFieldNames": [
        "Trade - Price",
        "Trade - Volume",
        "Trade - Exchange Time"
    ],
    "IdentifierList": {
      "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",  
      "InstrumentIdentifiers": [{
        "Identifier": ".VIX",
        "IdentifierType": "Ric"
      }]
    },
    "Condition": {
      "MessageTimeStampIn": "GmtUtc",
      "ApplyCorrectionsAndCancellations": false,
      "ReportDateRangeType": "Range",
      "QueryStartDate": "2022-03-01T00:00:00.000Z",
      "QueryEndDate": "2022-03-02T12:00:00.000Z",
      "DisplaySourceRIC": true
    }
  }
}

The output is:

1650857360411.png

Please let me know the template that you are using.



1650857360411.png (33.7 KiB)
icon clock
10 |1500

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

Write an Answer

Hint: Notify or tag a user in this post by typing @username.

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