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Hi
I used the following URI to extract historical AUD/USD tick data -
https://selectapi.datascope.refinitiv.com/RestApi/v1/Extractions/ExtractRaw
start_date = 2021-09-01
end_date = 2022-09-10
I've managed to extract 24 million records, but all of them are Quote.
Does anyone know why this might have happened?
Regards
EZ
Thanks for reaching out to us.
I used the TickHistoryTimeAndSalesExtractionRequest to history data for AUD with the following request.
{
"ExtractionRequest": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest",
"ContentFieldNames": [
"Trade - Price","Trade - Volume","Quote - Bid Price","Quote - Bid Size","Quote - Ask Price","Quote - Ask Size"],
"IdentifierList": {
"@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{"Identifier": "AUD", "IdentifierType": "Ric"}
],
"ValidationOptions": {"AllowHistoricalInstruments": "True"},
"UseUserPreferencesForValidationOptions" : "False"
},
"Condition": {
"MessageTimeStampIn": "LocalExchangeTime",
"DateRangeTimeZone": "Local Exchange Time Zone",
"ReportDateRangeType": "Range",
"QueryStartDate": "2022-08-01T09:30:00.000Z",
"QueryEndDate": "2022-09-01T16:00:00.000Z",
"DisplaySourceRIC": "True"
}
}
}
The results contain both quotes and trades, as shown below.
#RIC,Alias Underlying RIC,Domain,Date-Time,Type,Price,Volume,Bid Price,Bid Size,Ask Price,Ask Size AUD,,Market Price,2022-08-01T09:30:00.976177714-04,Trade,0.624,4255,,,, AUD,,Market Price,2022-08-01T09:30:00.976177714-04,Quote,,,0.621,8,0.64,1 AUD,,Market Price,2022-08-01T09:30:00.980110336-04,Quote,,,0.624,10,0.64,1 AUD,,Market Price,2022-08-01T09:30:03.807791304-04,Trade,0.6305,1,,,, AUD,,Market Price,2022-08-01T09:30:05.099853964-04,Quote,,,0.624,10,0.64,1 AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.625,25,,,, AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.624,10,0.64,2 AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.624,75,,,, AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Trade,0.624,1006,,,, AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.64,2 AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.6399,1 AUD,,Market Price,2022-08-01T09:30:08.443575930-04,Quote,,,0.622,2,0.6399,2
Please share the request message that you are using.
