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richter avatar image
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Best Template for Option/Futures reference data

Hi,

I am dealing with reference data for options and futures and wanted to know, which template is the preferred one to use:

- HistoricalReferenceExtractionRequest

- TermsAndConditionsExtractionRequest

Both are covering fields I am interested in, like Expiration Date - Strike Price - Put Call Flag. This is a daily job, that requests the current data, no historical instruments.

I assume the data should be the same on both templates.

-----

So far I was only able to request data using the HistoricalReferenceExtractionRequest template.

If anyone has an example how I can for example request this reference data for the 0#SPXW*.U Chain RIC I would be very glad - I did not found any tutorial covering this asset class in the TermsAndConditionsExtractionRequest.

Kind regards,

Max

dss-rest-apitick-history-rest-apisearchderivativesfuturestemplate
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2 Answers

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veerapath.rungruengrayubkul avatar image
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Hi @richter

The HistoricalReference provides historical reference data for a specified date range, while the TermsAndConditions provides current reference data. As you want to request current data, the TermsAndConditions should be more preferable. You can find tutorial for TermsAndConditionsExtractionRequest in User Guide for TickHistory 12.1 REST API or tutorial of DataScope Select.

Below is the sample of request.

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TermsAndConditionsExtractionRequest",
        "ContentFieldNames": [
           "RIC", "Expiration Date","Strike Price", "Put Call Flag"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                { "Identifier": "0#SPXW*.U", "IdentifierType": "ChainRIC" }
            ]
        }
    }
}

If you still are not able to request data using TermsAndConditionsExtractionRequest, please share your request and response.

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richter avatar image
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Hi @veerapath.rungruengrayubkul

thank you for the snippet that worked like a charm!

Is it correct that TermsAndConditionsExtractionRequest (~15 seconds) runs much faster than the HistoricalReferenceExtractionRequest (~5 minutes) request?

-- Max

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veerapath.rungruengrayubkul avatar image veerapath.rungruengrayubkul
@richter

I have found the same result. Data of the HistoricalReference and TermsAndConditions template should be extracted from difference source. However, I cannot confirm whether this is expected extraction time for HistoricalReference. You can contact TRTH support team via ContactUs. In the product field, select Thomson Reuters Tick History v2.

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