Hi,
I am generating TickHistoryTimeAndSales on demand extractions and have noted a difference in the bahaviour of requests, depending on whether instruments get pre-validated or not.
If I do not pre-validate the instrument list, then invalid instruments get ignored and there is no record of them at all in the resulting notes file. When i do pre-validate, the notes file correctly shows permission errors associated with the instruments.
I use the following code to generate requests.
First generate a collection of InstrumentIdentifier objects from a DataTable
var reutersInstruments = from DataRow r in instrumentTable.AsEnumerable()
select new InstrumentIdentifier()
{
Identifier = (string)r["Identifier"],
IdentifierType = IdentifierType.Ric
};
The following code for validating the list
var validateInstruments = context.InstrumentListOperations.ValidateIdentifiers(reutersInstruments, false);
The request is then populated in one of 2 possible ways
var request = new TickHistoryTimeAndSalesExtractionRequest
{
Condition = new TickHistoryTimeAndSalesCondition
{
ReportDateRangeType = reportDateRangeType,
TimeRangeMode = timeRangeMode,
QueryStartDate = queryStartDate,
QueryEndDate = queryEndDate,
ApplyCorrectionsAndCancellations = applyCorrectionsAndCancellations,
ExtractBy = extractBy,
MessageTimeStampIn = messageTimeStampIn,
SortBy = sortBy,
DisplaySourceRIC = displaySourceRIC
},
ContentFieldNames = fields.ToArray(),
IdentifierList = new InstrumentIdentifierList
{
// InstrumentIdentifiers = validateInstruments.ValidatedInstruments.ToArray()
InstrumentIdentifiers = reutersInstruments.ToArray()
},
};
The resulting requests (in JSON) and associated notes files are attached. requests.zip
I would expect the notes file to be the same in both cases.
