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jf13_deprecated_0 avatar image
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I am using TimeSeries.SetupDataRequest and getting incomplete data

DataServices.Instance.TimeSeries.SetupDataRequest(security.Ticker.ToUpper())
                .From(startDate)
                .To(endDate).WithAllFields()
                .WithTimeZone(TimezoneType.GMT)
                .WithInterval(CommonInterval.TradeAndQuotes)
                .WithNumberOfPoints(999999)
                .OnDataReceived(DataReceivedCallback1)
                .OnStatusUpdated(StatusUpdatedCallback)
                .CreateAndSend();

For a single day I am getting incomplete data.

I have to do it in 1 hour chunks which takes forever!

eikoneikon-data-apiworkspaceworkspace-data-apirefinitiv-dataplatform-eikonpythonapitime-seriestrade
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Zhenya Kovalyov avatar image Zhenya Kovalyov

@293b571b-7462-4aaa-b8e5-e0528f0fae86 could you please provide more details on this?

  1. What instruments are you requesting the data for? Can you give an example RIC?
  2. What are the values of the startDate and the endDate?
  3. What do you mean by incomplete data? Can you give an example?

Thanks!

2 Answers

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Zhenya Kovalyov avatar image
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@293b571b-7462-4aaa-b8e5-e0528f0fae86 Hi Jonathan,

60,000 items per request is a hard limit set on the .NET Time series API at the moment. Desktop usage workflow implies that this is more than enough, and in no way is able to handle 1,000,000 TasTaq data per request. So, you can either create multiple requests to get this data, or use an enterprise product (like Thomson Reuters Tick History) which has a REST API and is able to handle such volumes.

Let me know if you require any additional info on this.

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jf13_deprecated_0 avatar image
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aapl-example-traedes-and-quotes.zipThank you Zhenya, by the way - I speak Russian.

This is true for every ticker I can think of including AAPL.O

I am attaching an example file of incomplete data for AAPL.

In this example I requested data for 12/7/2018 from 12:00:00 to 23:59:59

I only got data from 15:52 to 16:02 (when the market closed)

What happened to 12:00:00 - 15:52:00 ?

It seems that the set limit of data points of 60,000 is ludicrous and completely unusable as there are usually well over 1,000,000 trades/quotes per day on any given day.


aapl-example-traedes-and-quotes.zip (349.3 KiB)
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Zhenya Kovalyov avatar image Zhenya Kovalyov

@293b571b-7462-4aaa-b8e5-e0528f0fae86 to get a predictable result, I suggest you use either startDate and WithNumberOfPoints, or the endDate and WithNumberOfPoints. This way you can control the size of the output.

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