Hello !
I am looking for past data on VIX.
Via the template of Instruments List, I have made some researches to get the Composite RIC of the Future linked to the VIX (.VIX).
I found VXV8^0 as the RIC of the Future contract in OCT 2008.
However, there is no historical data linked to this RIC.
What is the meaning of this RIC ? Does ^0 mean something special ?
Thanks in advance
JGD
as this query was posted in the DSS forum I assumed you were a DSS customer, but from what you just wrote here it seems like you are a TRTH customer (these 2 products often get mixed up because they both use the same servers). The TimeSeriesExtractionRequest I had suggested is only available to DSS customers.
The TickHistoryTimeAndSalesExtractionRequest delivers tick data, which is not available for this particular instrument. I don't know why that is the case. As that is not an API but a purely data issue, if you need to find the reason for that I suggest you open a content-related inquiry via MyRefinitiv, or call the Refinitiv Help Desk directly.).
Requesting data for this RIC using TRTH
The TRTH call that corresponds to the DSS TimeSeriesExtractionRequest is an ElektronTimeSeriesExtractionRequest. Both these calls deliver daily summaries.
Here is the body of a request that will retrieve data for this instrument (again, this is in Postman):
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ElektronTimeseriesExtractionRequest",
"ContentFieldNames": [
"Instrument ID",
"Trade Date", "Expiration Date", "Last Trading Day",
"Open", "High", "Low", "Last",
"Volume", "Ask", "Bid"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [ { "Identifier": "VXV8^0", "IdentifierType": "Ric" } ],
"ValidationOptions": { "AllowHistoricalInstruments": true, "AllowInactiveInstruments": true },
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"ReportDateRangeType": "Range",
"QueryStartDate": "2008-10-01T00:00:00.000Z",
"QueryEndDate": "2008-11-01T00:00:00.000Z"
}
}
}
Result (retrieved using the JobId):
Instrument ID,Trade Date,Expiration Date,Last Trading Day,Open,High,Low,Last,Volume,Ask,Bid VXV8^0,2008/10/01,2008/10/21,2008/10/21,30.9,32.14,30.8,31.94,1794,32,31.72 VXV8^0,2008/10/02,2008/10/21,2008/10/21,32.01,34.88,32.01,34.05,2722,34.15,34 VXV8^0,2008/10/03,2008/10/21,2008/10/21,33.9,35.9,32.32,35.79,1777,35.95,35.55 VXV8^0,2008/10/06,2008/10/21,2008/10/21,37.25,40.54,36.3,37.4,4106,37.43,37.3 VXV8^0,2008/10/07,2008/10/21,2008/10/21,36.4,41.99,35.85,41.75,3776,41.9,41.75 VXV8^0,2008/10/08,2008/10/21,2008/10/21,42.5,45.4,41.06,45.39,4031,45.65,45.53 VXV8^0,2008/10/09,2008/10/21,2008/10/21,44.8,52.99,42.62,52.5,3727,64.99,52 VXV8^0,2008/10/10,2008/10/21,2008/10/21,56.49,63.43,50.61,57.5,3774,57.2,56.2 VXV8^0,2008/10/13,2008/10/21,2008/10/21,53.5,55.2,50.5,50.78,3347,51,50.31 VXV8^0,2008/10/14,2008/10/21,2008/10/21,47.69,50.85,45.64,49.09,2363,49.45,49 VXV8^0,2008/10/15,2008/10/21,2008/10/21,51.47,59.05,50.73,58.36,2185,58.36,58 VXV8^0,2008/10/16,2008/10/21,2008/10/21,58,69.4,57.25,64,4211,64,63.75 VXV8^0,2008/10/17,2008/10/21,2008/10/21,66.25,68.7,56.75,63.77,2530,63.5,63 VXV8^0,2008/10/20,2008/10/21,2008/10/21,61,62,52.03,52.35,2523,52.35,52.35 VXV8^0,2008/10/21,2008/10/21,2008/10/21,54.5,55.2,49.88,52.99,3426,52.99,52.1
I hope this helps.
All that said, I agree with @nityanand.koppad, it would be much easier to use the continuation RIC VXc1. It delivers data for the calls I suggested, without any influence from the expiration dates, because it automatically rolls over to the next instrument.
Explanation on the RIC syntax using a ^
The ^0 indicates a delisted RIC (one that is currently not in use). The ^ is added after the original RIC name.
Usually you find a month and year code after the ^, like here: TRIL.L^I09. Syntax description: the original RIC (TRIL.L) is followed by “^”, followed by a month code and a year code that indicate when the RIC was delisted. For equities the month code starts at “A” for January, so “I” is for September. The year code 09 means 2009.
In your case VXV8^0 the information after the ^ is shorter. I'm not a data specialist but I'm guessing the reason is that the VXV8 RIC is subject to reuse, as it would apply both to a future contract for 2008 and for 2018.
This forum is for software developers using Refinitiv APIs, and technical discussions. For data content query like this one, the best and speediest way to receive an answer is to open a content-related inquiry via MyRefinitiv or to call the Refinitiv Help Desk directly.
Requesting data for this RIC using DSS
Here is the body of a request that will retrieve data for this instrument:
{
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TimeSeriesExtractionRequest",
"ContentFieldNames": [
"Trade Date", "Expiration Date", "Last Trading Day",
"Open Price", "High Price", "Low Price", "Close Price", "Volume",
"Ask Price", "Bid Price"
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [ { "Identifier": "VXV8^0", "IdentifierType": "Ric" } ],
"ValidationOptions": { "AllowHistoricalInstruments": true, "AllowInactiveInstruments": true },
"UseUserPreferencesForValidationOptions": false
},
"Condition": {
"LastPriceOnly": false,
"StartDate": "2008-10-01T00:00:00.000Z",
"EndDate": "2008-11-01T00:00:00.000Z"
}
}
}
Extract of the results:
{
"@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.ExtractionResult",
"Contents": [
{
"IdentifierType": "Ric",
"Identifier": "VXV8^0",
"Trade Date": "2008-10-22",
"Expiration Date": "2008-10-21",
"Last Trading Day": "2008-10-21",
"Open Price": null,
"High Price": null,
"Low Price": null,
"Close Price": null,
"Volume": null,
"Ask Price": null,
"Bid Price": null
},
{
"IdentifierType": "Ric",
"Identifier": "VXV8^0",
"Trade Date": "2008-10-21",
"Expiration Date": "2008-10-21",
"Last Trading Day": "2008-10-21",
"Open Price": 54.5,
"High Price": 55.2,
"Low Price": 49.88,
"Close Price": 52.99,
"Volume": 3426,
"Ask Price": 52.99,
"Bid Price": 52.1
},
{
"IdentifierType": "Ric",
"Identifier": "VXV8^0",
"Trade Date": "2008-10-20",
"Expiration Date": "2008-10-21",
"Last Trading Day": "2008-10-21",
"Open Price": 61,
"High Price": 62,
"Low Price": 52.03,
"Close Price": 52.35,
"Volume": 2523,
"Ask Price": 52.35,
"Bid Price": 52.35
},
Hope this helps.
There are more ways to see the historical data, we have continuation RICs e.g. for .VIX is VXc1. This RIC will store history for all the nearest month contract expiry. To know the history availability then you can below API.
Request
https://hosted.datascopeapi.reuters.com/RestApi/v1/Search/HistoricalBulkSearch
{
"Request": {
"Identifiers": [
{
"Identifier": "VXc1",
"IdentifierType": "Ric"
}
],
"Range": {
"Start": "2005-11-17T00:00:00.000Z",
"End": "2019-01-24T00:00:00.000Z"
}
}
}
Response
{
"@odata.context": "https://hosted.datascopeapi.reuters.com/RestApi/v1/$metadata#ThomsonReuters.Dss.Api.Search.HistoricalBulkSearchResult",
"Results": [
{
"Identifier": "VXc1",
"IdentifierType": "Ric",
"Source": "",
"Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxWWGMxfA",
"Description": "Historical Instrument",
"InstrumentType": "Unknown",
"Status": "Valid",
"DomainCode": "6",
"FirstDate": "2006-05-05T00:00:00.000Z",
"LastDate": "2019-01-29T00:00:00.000Z",
"History": []
}
],
"TruncatedIdentiferExpansionCount": 0,
"Truncated": false,
"ValidationMessages": []
}
To find F&O continuation RIC then you can create search API using below code
https://hosted.datascopeapi.reuters.com/RestApi/v1/Search/FuturesAndOptionsSearch
{
"SearchRequest": {
"ExchangeCodes": ["CBF"],
"IdentifierType": "Ric",
"Identifier": "VX*",
"PreferredIdentifierType": "Ric"
}
}
@Christiaan Meihsl
Your example does not work on my Postman.
Perhaps I lack some authorizations cause of my license...
However, by modifying it a little bit your request to allow me to do it :
{ "ExtractionRequest": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryTimeAndSalesExtractionRequest", "ContentFieldNames": [ "Quote - Bid Price", "Quote - Ask Price" ], "IdentifierList": { "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [ { "Identifier": "VXV8^0", "IdentifierType": "Ric" } ], "ValidationOptions": { "AllowHistoricalInstruments": true, "AllowInactiveInstruments": true }, "UseUserPreferencesForValidationOptions": false }, "Condition": { "MessageTimeStampIn": "GmtUtc", "ApplyCorrectionsAndCancellations": false, "ReportDateRangeType": "Range", "QueryStartDate": "2008-10-08T00:00:00.000Z", "QueryEndDate": "2008-10-09T00:00:00.000Z", "DisplaySourceRIC": true } } }
I got the following message :
Extraction Services Version 12.3.40157 (ef2d4ecc8c9c), Built Jan 8 2019 20:54:15\nUser ID: 9013496\nExtraction ID: 2000000061795125\nSchedule: 0x06811eedd4f03e47 (ID = 0x0000000000000000)\nInput List (1 items): (ID = 0x06811eedd4f03e47) Created: 01/30/2019 11:06:49 Last Modified: 01/30/2019 11:06:49\nReport Template (2 fields): _OnD_0x06811eedd4f03e47 (ID = 0x06811eedd5103e47) Created: 01/30/2019 11:06:48 Last Modified: 01/30/2019 11:06:48\nSchedule dispatched via message queue (0x06811eedd4f03e47)\nSchedule Time: 01/30/2019 11:06:49\nProcessing started at 01/30/2019 11:06:49\nProcessing completed successfully at 01/30/2019 11:06:49\nExtraction finished at 01/30/2019 10:06:49 UTC, with servers: x07q13\nInstrument <RIC,VXV8^0> expanded to 0 RICS.\nReport suppressed because there are no instruments\n
From my point of view, it seems the RIC VXV8^0 has no data... However, you managed to get something.
What is the difference between our two requests ?
Hello,
Thank you for pour answers.
Let's me sup up :
@Jerome Guiot-Dorel, yes, thank you, this is a good summary. For the absence of data before 2012 I also suggest asking the help desk, as this is purely data related.
