question

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Beera.Rajesh avatar image
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I am accessing TRTH v2 data using API and using python as main language

Case# 05661407

When I download data for a 'TickHistoryTimeAndSalesExtractionRequest' I receive timestamps expressed with microseconds precision. Data is stored under CSV column 'Date-Time' with microseconds pricision. 2017-07-04T06:00:00.125483119Z In the old TRTH we used to have two separate fields and we could express the format of the date using the following (C++ api) request.dateFormat = ns2__RequestDateFormat__YYYYMMDD; Date[G], Time[G] ,20170723,06:23:23.001 The format of the time is in milliseconds format.

Question:

1) how to tell TRTH v2 to provide DATE in format YYYYMMDD

2) how to tell TRTH v2 to provide timestamp in millisecond + same format of v1

3) how to split timestamps in 2 separate fields (Date[G] and Time[G])

pythontick-history-rest-apirest-api
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1 Answer

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Christiaan Meihsl avatar image
13.7k ●26 ●8 ●12

@Beera.Rajesh, using existing TRTH v2 API functionality, it is not possible to do what you request.

Side note: the date format can be specified, but only when you create a report template (not when you use an OnDemand request), and this only for the few fields of FormatType Date (like field "Trade - Date", which is not necessarily populated). But most time stamps are delivered in fields of FormatType Text (like "Trade - Exchange Time").

In other words, the solution is that you parse the returned data to deliver the formats you want.

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