Hi,
I am using python to get the market depth data for ICE-Brent using the code below. But the output is resulting in an empty dataframe. (Please check the end of the post for output). I am unable to understand the error.
from json import dumps, loads
from requests import post
from requests import get
import pandas as pd
import os
from time import sleep
ticker="LCOM0"
def RequestNewToken(username="",password=''):
_AuthenURL = "https://hosted.datascopeapi.reuters.com/RestApi/v1/Authentication/RequestToken"
_header= {}
_header['Prefer']='respond-async'
_header['Content-Type']='application/json; odata.metadata=minimal'
_data={'Credentials':{
'Password':password,
'Username':username
}
}
print("Send Login request")
resp=post(_AuthenURL,json=_data,headers=_header)
if resp.status_code!=200:
message="Authentication Error Status Code: "+ str(resp.status_code) +" Message:"+resp.text
raise PermissionError(dumps(message))
return loads(resp.text)['value']
#Function ExtractRAW
def ExtractRaw(token,json_payload,ticker):
_extractRawURL="https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw"
#Setup Request Header
_header={}
_header['Prefer']='respond-async'
_header['Content-Type']='application/json; odata.metadata=minimal'
_header['Accept-Charset']='UTF-8'
_header['Authorization']='Token'+token
#Send HTTP post message to DSS server using extract raw URL
resp=post(_extractRawURL,data=None,json=json_payload,headers=_header)
#Raise exception with error message if the returned status is not 202 (Accepted) or 200 (Ok)
if resp.status_code!=200:
if resp.status_code!=202:
message="Error: Status Code:"+str(resp.status_code)+" Message:"+resp.text
raise Exception(message)
#Get location from header
_location=resp.headers['Location']
print("Get Status from "+str(_location))
_jobID=""
#pooling loop to check request status every 2 sec.
while True:
resp=get(_location,headers=_header)
_pollstatus = int(resp.status_code)
if _pollstatus==200:
break
else:
print("Status:"+str(resp.headers['Status']))
sleep(600) #wait for _retryInterval period and re-request the status to check if it already completed
# Get the jobID from HTTP response
json_resp = loads(resp.text)
_jobID = json_resp.get('JobId')
print("Status is completed the JobID is "+ str(_jobID)+ "\n")
# Check if the response contains Notes and print it.
if len(json_resp.get('Notes')) > 0:
print("Notes:\n======================================")
for var in json_resp.get('Notes'):
print(var)
print("======================================\n")
_getResultURL=str("https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/RawExtractionResults('"+_jobID+"')/$value")
print("Retrieve result from "+_getResultURL)
resp=get(_getResultURL,headers=_header,stream=True)
#Write Output to file.
outputfilepath = str(ticker+str(os.getpid()) + '.csv.gz')
if resp.status_code==200:
with open(outputfilepath, 'wb') as f:
f.write(resp.raw.read())
print("Write output to "+outputfilepath+" completed\n")
print("Below is sample data from "+ outputfilepath)
#Read data from csv.gz and shows output from dataframe head() and tail()
df=pd.read_csv(outputfilepath,compression='gzip')
print(df.head())
print("....")
print(df.tail())
requestBody ={
"ExtractionRequest": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.TickHistoryMarketDepthExtractionRequest",
"ContentFieldNames": [
"Ask Price",
"Ask Size",
"Bid Price",
"Bid Size",
"Number of Buyers",
"Number of Sellers",
],
"IdentifierList": {
"@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
"InstrumentIdentifiers": [
{ "Identifier": ticker, "IdentifierType": "Ric" }
]
},
"Condition": {
"View": "NormalizedLL2",
"NumberOfLevels": 10,
"MessageTimeStampIn": "GmtUtc",
"ReportDateRangeType": "Range",
"QueryStartDate": "2020-04-26T05:00:00.000Z",
"QueryEndDate": "2020-04-26T10:00:00.000Z",
"DisplaySourceRIC": True
}
}
}
ExtractRaw(RequestNewToken(),requestBody,ticker)
Output:
Send Login request
Get Status from https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRawResult(ExtractionId='0x0712dd1988f183b9')
Status:InProgress
Status is completed the JobID is 0x0712dd1988f183b9
Notes:
======================================
Extraction Services Version 13.3.41481 (25b358914bd2), Built Apr 1 2020 23:28:57
User ID: 9015265
Extraction ID: 2000000145144089
Schedule: 0x0712dd1988f183b9 (ID = 0x0000000000000000)
Input List (1 items): (ID = 0x0712dd1988f183b9) Created: 04/27/2020 10:29:12 Last Modified: 04/27/2020 10:29:12
Report Template (6 fields): _OnD_0x0712dd1988f183b9 (ID = 0x0712dd198b0183b9) Created: 04/27/2020 10:28:07 Last Modified: 04/27/2020 10:28:07
Schedule dispatched via message queue (0x0712dd1988f183b9), Data source identifier (0F47E0BA5DE047C49841ACBB5DEDF386)
Schedule Time: 04/27/2020 10:28:09
Processing started at 04/27/2020 10:28:09
Processing completed successfully at 04/27/2020 10:29:12
Extraction finished at 04/27/2020 10:29:12 UTC, with servers: tm07n03, TRTH (52.44 secs)
Instrument <RIC,LCOM0> expanded to 1 RIC: LCOM0.
Total instruments after instrument expansion = 1
Manifest: #RIC,Domain,Start,End,Status,Count
Manifest: LCOM0,Market Price,,,Inactive,0
======================================
Retrieve result from https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/RawExtractionResults('0x0712dd1988f183b9')/$value
Write output to LCOM014912.csv.gz completed
Below is sample data from LCOM014912.csv.gz
Empty DataFrame
Columns: [#RIC, Domain, Date-Time, GMT Offset, Type, L1-BidPrice, L1-BidSize, L1-BuyNo, L1-AskPrice, L1-AskSize, L1-SellNo, L2-BidPrice, L2-BidSize, L2-BuyNo, L2-AskPrice, L2-AskSize, L2-SellNo, L3-BidPrice, L3-BidSize, L3-BuyNo, L3-AskPrice, L3-AskSize, L3-SellNo, L4-BidPrice, L4-BidSize, L4-BuyNo, L4-AskPrice, L4-AskSize, L4-SellNo, L5-BidPrice, L5-BidSize, L5-BuyNo, L5-AskPrice, L5-AskSize, L5-SellNo, L6-BidPrice, L6-BidSize, L6-BuyNo, L6-AskPrice, L6-AskSize, L6-SellNo, L7-BidPrice, L7-BidSize, L7-BuyNo, L7-AskPrice, L7-AskSize, L7-SellNo, L8-BidPrice, L8-BidSize, L8-BuyNo, L8-AskPrice, L8-AskSize, L8-SellNo, L9-BidPrice, L9-BidSize, L9-BuyNo, L9-AskPrice, L9-AskSize, L9-SellNo, L10-BidPrice, L10-BidSize, L10-BuyNo, L10-AskPrice, L10-AskSize, L10-SellNo]
Index: []
....
Empty DataFrame
Columns: [#RIC, Domain, Date-Time, GMT Offset, Type, L1-BidPrice, L1-BidSize, L1-BuyNo, L1-AskPrice, L1-AskSize, L1-SellNo, L2-BidPrice, L2-BidSize, L2-BuyNo, L2-AskPrice, L2-AskSize, L2-SellNo, L3-BidPrice, L3-BidSize, L3-BuyNo, L3-AskPrice, L3-AskSize, L3-SellNo, L4-BidPrice, L4-BidSize, L4-BuyNo, L4-AskPrice, L4-AskSize, L4-SellNo, L5-BidPrice, L5-BidSize, L5-BuyNo, L5-AskPrice, L5-AskSize, L5-SellNo, L6-BidPrice, L6-BidSize, L6-BuyNo, L6-AskPrice, L6-AskSize, L6-SellNo, L7-BidPrice, L7-BidSize, L7-BuyNo, L7-AskPrice, L7-AskSize, L7-SellNo, L8-BidPrice, L8-BidSize, L8-BuyNo, L8-AskPrice, L8-AskSize, L8-SellNo, L9-BidPrice, L9-BidSize, L9-BuyNo, L9-AskPrice, L9-AskSize, L9-SellNo, L10-BidPrice, L10-BidSize, L10-BuyNo, L10-AskPrice, L10-AskSize, L10-SellNo]
Index: []
