question

Upvotes
Accepted
mojtaba.danai avatar image
28 ●3 ●6 ●12

Which template type to use for retrieving Equity Spot Index for a date range or a day?

Hi,

We are trying to migrate to TickHistory v2 using the REST API in .Net C#.

Currently we are retrieving a gzip file containing the following information for each Equity Spot Index (RICs like .N225 and .FTSE). This file retrieval is set up through the web site:

https://tickhistory.thomsonreuters.com

But, as mentioned we wish to use REST API .Net C# to retrieve the same file in exactly same format as below (all data for all RICs included in the same csv.gz file):

#RIC,Date[G],Time[G],GMT Offset,Type,Price

.N225,20161007,00:00:15.133,+9,Index,16883.12

.N225,20161007,00:00:30.113,+9,Index,16878.06

.......

.FTSE,20161007,07:24:40.274,+1,Index,7027.73

.FTSE,20161007,07:24:40.474,+1,Index,7027.71

.....

- Which report template type shall I use to retrieve the above data?

- How to I choose the fields and the range on the report template type?

I have already posted in regards to TickHistoryRaw report template for which I am not able to retrieve the available fields (the following returns zero size list:

var availableFields = _extractionContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistorytRaw);

And I am not sure whether we have to use TickHistoryRaw report type template type or not for the report sample as I have mentioned above.

Hope you can guide us to the right direction for the report we need.

Thanks in advance.

tick-history-rest-apirest-api
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

4 Answers

Upvotes
Accepted
veerapath.rungruengrayubkul avatar image
11.3k ●25 ●8 ●13

The report template type should be "TickHistoryTimeAndSales". Below is the sample of output from this report template. The value is from "Trade - Price" field. For "GMT Offset" column, you may refer to this question.

#RIC,Domain,Date-Time,Type,Price
.N225,Market Price,2016-10-07T00:00:15.060908989Z,Trade,16883.12
.N225,Market Price,2016-10-07T00:00:30.049872440Z,Trade,16878.06

You can use the GetValidContentFieldTypes method to retrieve all available fields for this report template type as well. The ReportTemplateTypes should be TickHistoryTimeAndSales.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

mojtaba.danai avatar image mojtaba.danai

@veerapath.rungruengrayubkul

Thanks for your reply.

- Is it possible to get the date-time in UTC format? Is it a way to configure this through the API to get this as UTC? That is what we need.

- Also, currently the format of the data we download is this:

#RIC,Date[G],Time[G],GMT Offset,Type,Price

.N225,20161007,00:00:15.133,+9,Index,16883.12

- As you can see we do not have Domain. Is it possible NOT to get the Domain?

- We get the Equity Spot Index data type as Index, but in your sample the type is Trade. Is it possible to get the type as Index?

Thanks again.

Upvotes
mojtaba.danai avatar image
28 ●3 ●6 ●12

@veerapath.rungruengrayubkul

Thanks for the reply.

- We need the timestamp in UTC. Is it possible to set it through API?

- As mentioned we are downloading Equity Spot Index data and currently we get the data in this format:

#RIC,Date[G],Time[G],GMT Offset,Type,Price

.N225,20161007,00:00:15.133,+9,Index,16883.12

.N225,20161007,00:00:30.113,+9,Index,16878.06

The type is Index in above but in your example is Trade. How do get type as Index?

- Is it possible to NOT get the Domain in your sample through API? How?

Thanks again.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
mojtaba.danai avatar image
28 ●3 ●6 ●12

@veerapath.rungruengrayubkul

Thanks for your reply.

- Is it possible to get the date-time in UTC format? Is it a way to configure this through the API to get this as UTC? That is what we need.

- Also, currently the format of the data we download is this:

#RIC,Date[G],Time[G],GMT Offset,Type,Price

.N225,20161007,00:00:15.133,+9,Index,16883.12

- As you can see we do not have Domain. Is it possible NOT to get the Domain?

- We get the Equity Spot Index data type as Index, but in your sample the type is Trade. Is it possible to get the type as Index?

Thanks again.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Upvotes
veerapath.rungruengrayubkul avatar image
11.3k ●25 ●8 ●13

@mojtaba.danai

- You can set the "MessageTimeStampIn" condition in request message to "GmtUtc".

- As far as I know, there is no method to remove the "Domain" Column.

- According to the Tick History v1 - v2 Comparison (June 2017), in Tick History v2.0, all event types are normalized into these categories: "Trade”, “Quote” and “Correction". Below are the table mapped event types between V1 and V2.


eventtype.png (24.6 KiB)
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

Click below to post an Idea Post Idea