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Mariano Neves da Rocha avatar image
42 ●6 ●5 ●6

Price Corrections through EndOfDayPricingExtractionRequest template

Hello

I can see that the Extract operation using EndOfDayPricingExtractionRequest template has 2 parameters named IsDelta and IsErrorCorrected (under Condition). The API documentation summarizes them as "This option allows you to extract only validated prices that have undergone pricing correction for the trading day"

I have tested this template using both parameters set to true but it appears to make no difference when compared to having them as false.

What I am trying to determine is if there is an way to pull price corrections for a given instruments universe (GovCorp bonds in this particular case).

Please advise.

Thanks

dss-rest-apidatascope-selectdsspricing
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3 Answers

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Bruce.Colthup avatar image
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As Troy mentioned, Price Corrections really only exist for Equity, Money, Futures, and Options, and not for Fixed income. The reason is that typically, FI securities are not priced on exchanges, whereas the corrections primary come from Exchanges on the non-FI universe. If you want to question the price for any given FI security, you can use the ASK TRPS functionality in the GUI, or if you prefer the REST API also has the ability to challenge prices.

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Troy Dalldorf avatar image
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We don’t have correction records for Govcorp. Those two parameters are specifically for Equity, Money and Futures & Options.

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Mariano Neves da Rocha avatar image
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Is there any mechanism to pull price corrections for Bonds via Data Scope Select at all or the only way to do so would be by pulling historical prices again? Thanks

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