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Marvin_deprecated_1 avatar image
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Historical CDS prices via DSS REST API

Hello I want to get historical CDS prices via the DSS REST API

I tried the following extraction request:

{
  "ExtractionRequest": {
    "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.PriceHistoryExtractionRequest",
    "ContentFieldNames": [
      "RIC",
      "Credit Default Swap Basis1",
      "Credit Default Swap Basis2",
      "Credit Default Swap Basis3",
      "Trade Date"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [{
        "IdentifierType": "Ric",
        "Identifier": "GE.N"
      }]
    },
    "Condition": {
      "AdjustedPrices": false,
      "QueryStartDate": "2019-02-02",
      "QueryEndDate": "2019-09-03"
    }
  }
}

I get back the following

 {
  'IdentifierType': 'Ric',
  'Identifier': 'GE.N',
  'RIC': 'GE.N',
  'Credit Default Swap Basis1': None,
  'Credit Default Swap Basis2': None,
  'Credit Default Swap Basis3': None,
  'Trade Date': '2019-08-09'
},

As you can see nothing is coming back for the CDS fields.

Any help is appreciated.

 
              
 
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  2   Answers  
  
             
           
 
           
 
            
 
             
 
              
             
 
              
 
               
 
                
                
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                   Christiaan Meihsl avatar image  
                 
 
                 
 
                   
                  
 
                   13.7k 
                    ●26  ●8  ●12 
                  
 
                 
 
                
 
                   
               
 
              
 
              
 
               
@Marvin,

               
When you run into such issues, you can check the latest DSS data content guide for coverage. Go to the "Field Descriptions" tab, and filter on column C and/or D to see only the report name and/or field names of interest. Data coverage is in columns O-AH (n = not available, y = available).

               
GE.N is an equity, and CDS is not available for equity. That is why you do not receive any data.

               

               
 
              
 
              
 
              
 
               
 
                 
                dss-cds-coverage.png 
                (49.0 KiB) 
               
 
              
 
               
               
              
 
               
 
                 
                 
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                   10 |1500   
                  
 
                    
                    
                   
 
                     
                     
                   
 
                  
 
                 
 
                 
 
                
 
                 
                 
                 
                 
                 
                
 
                 
  Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total. 
 
                 
 
                  
 
                  
 
                 
 
                
 
                
               
 
              
 
              
 
              
 
             
 
            
 
             
            
 
             
 
              
             
 
              
 
               
 
                
                
               Upvotes 
              
 
              
 
              
 
             
 
             
 
              
 
               
 
                
 
                 
 
                   Marvin_deprecated_1 avatar image  
                 
 
                 
 
                   
                  
 
                   1 
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Hi Christiaan,
 
               
Thank you for your answer.
 
               
Can you explain why I get 
 
               
[{
  'IdentifierType': 'Ric',
  'Identifier': 'GE5YUSAX=R',
  'Error': 'Not found'
}]

 
               
When I use the RIC code for the CDS: GE5YUSAX=R
 
              
 
               
               
              
 
               
 
                 
                 
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                   10 |1500   
                  
 
                    
                    
                   
 
                     
                     
                   
 
                  
 
                 
 
                 
 
                
 
                 
                 
                 
                 
                 
                
 
                 
  Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total. 
 
                 
 
                  
 
                  
 
                 
 
                
 
                
               
 
              
 
              
 
                
               
 
                
 
                 
 
                   Christiaan Meihsl avatar image 
                   Christiaan Meihsl 
                     
                 
 
                 
 
                  
@Marvin, that RIC is no longer quoted, it is what we call a "historical instrument", that is why it returns "Not Found". See my answer in this separate thread for the solution, using validation options to include historical instruments in the results.
 
                 
 
                 
 
                   
                   
                 
 
                
 
                 
                
 
                 
 
                  
 
                    Marvin_deprecated_1 avatar image 
                    Marvin_deprecated_1 
                      Christiaan Meihsl   
                      
                  
 
                  
 
                   
Hi Christiaan,
 
                   
Thanks for showing how that's done!
 
                   
However, my next question is why we are still receiving data for that instrument code from TRKD?
 
                   
When we search for GE5YUSAX=R there we get:
 
                   
{
  'GE5YUSAX=R': {
    'Fields': [{
        'DataType': 'Double',
        'Double': 131.95,
        'Name': 'CF_CLOSE'
      },
      {
        'DataType': 'Utf8String',
        'Name': 'CF_DATE',
        'Utf8String': '16 AUG 2019'
      }
    ]
  }
}
 
                   
Could you explain? 
 
                  
 
                  
 
                    
                    
                  
 
                 
 
                  
                 
 
                  
 
                   
 
                     Christiaan Meihsl avatar image 
                     Christiaan Meihsl 
                       Marvin_deprecated_1   
                       
                   
 
                   
 
                    
@Marvin,

                    
 I just tried a search in the DSS GUI for GE5YUSAX=R and it responds "No Securities Found", which fits with an instrument that is no longer quoted. On the other hand, if I make a historical search in DSS it tells me that the instrument is quoted till today !

                    
This seems contradictory, and I have no explanation for that.

                    
The moderators on this forum do not have the required deep expertise in all the content sets available through our products to answer your question. I advise you to call the Refinitiv Helpdesk number in your country. They will either have the answer for you right away, or will reach out to the content experts who can provide the answer you're looking for. An alternative is to open a content-related enquiry via MyRefinitiv.
 
                   
 
                   
 
                     
                     
                   
 
                  
 
                 
 
                
 
               
 
              
 
             
 
            
 
             
           
 
          
 
           
         
 
          
          
          
          
          
          
          
          
         
         
          
        
 
        
 
         

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