We are using, in our TRTH migration process, the following endpoint and report template for retrieving intraday data:
/Extractions/TickHistoryIntradaySummariesReportTemplates
{ "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ReportTemplates.TickHistoryIntradaySummariesReportTemplate", "ShowColumnHeaders": false, "Name": "12456790_REQUESTINTRADAY_TPLT_20170919.114535.380", "Headers": [], "Trailers": [], "ContentFields": [{ "Format": null, "FieldName": "Open" }, { "Format": null, "FieldName": "High" }, { "Format": null, "FieldName": "Low" }, { "Format": null, "FieldName": "Last" }, { "Format": null, "FieldName": "Volume" }], "Condition": { "MessageTimeStampIn": "LocalExchangeTime", "ReportDateRangeType": "Range", "QueryStartDate": "2017-09-14T00:00:00.000Z", "QueryEndDate": "2017-09-14T23:59:59.000Z", "DisplaySourceRIC": false, "SummaryInterval": "FiveMinutes" } }
The instrument list is populated with several types of instruments. An example of that is shown below:
{ "Identifiers": [{ "IdentifierType": "Ric", "Identifier": "SAN.MC" }, ... { "IdentifierType": "Ric", "Identifier": "EUR=" }, { "IdentifierType": "Ric", "Identifier": "EUR10MV=" } ... ], "KeepDuplicates": false }
Taking into account only the three instruments above, the extraction file only contains intraday data for the equity (SAN.MC)
SAN.MC,Market Price,2017-09-14T09:00:00.000000000+02,Intraday 5Min,5.58,5.585,5.57,5.581,390775 SAN.MC,Market Price,2017-09-14T09:05:00.000000000+02,Intraday 5Min,5.58,5.607,5.576,5.6,406852 SAN.MC,Market Price,2017-09-14T09:10:00.000000000+02,Intraday 5Min,5.6,5.602,5.591,5.592,179502 SAN.MC,Market Price,2017-09-14T09:15:00.000000000+02,Intraday 5Min,5.592,5.595,5.586,5.586,865217 SAN.MC,Market Price,2017-09-14T09:20:00.000000000+02,Intraday 5Min,5.586,5.586,5.579,5.58,416123 SAN.MC,Market Price,2017-09-14T09:25:00.000000000+02,Intraday 5Min,5.58,5.581,5.57,5.572,398044 SAN.MC,Market Price,2017-09-14T09:30:00.000000000+02,Intraday 5Min,5.572,5.576,5.564,5.575,384348
The extraction provide us no data for FX instruments (EUR=,EUR10MV=)
Any idea about what's happening?
Thanks
Ricardo