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lcontreras avatar image
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How to get historical ref data using Python TRTH for a small universe?

Hi, I'm following the TRTH_OnDemand_IntradayBars Python example (available under https://developers.refinitiv.com/en/api-catalog/refinitiv-tick-history/refinitiv-tick-history-rth-rest-api/download) to get HistoricalReferenceExtractionRequest (instead of TickHistoryIntradaySummariesExtractionRequest).

My template looks something like this:

{
"ExtractionRequest": {
 "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
    "ContentFieldNames": [
        "RIC",
        "Exchange Code",
        "Security Description",
        "Currency Code",
        "Expiration Date",
        "RIC Root",
        "Trading Status",
        "Underlying RIC",
        "Put Call Flag",
        "Start date",
        "Thomson Reuters Classification Scheme"
    ],
    "IdentifierList": {
      "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
      "InstrumentIdentifiers": [{
            "Identifier": "0#NIY:",
            "IdentifierType": "ChainRIC"
        },
        {
            "Identifier": "0#RTY:",
            "IdentifierType": "ChainRIC"
        }],
        "ValidationOptions": { "AllowHistoricalInstruments": true},
        "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
           "StartDate": "__QUERY_START_TIME_",
           "EndDate": "__QUERY_END_TIME_"
        }
     }
}

Everything looks good, except for when requesting a small universe (like in the template above).

The example assumes that there's always a 202 status code (extraction not finished - must wait) before a 200 code (extraction completed), but this is not always the case with a small universe. As a result, the code fails on the step #3 due to "r3" variable not defined.

#As long as the status of the request is 202, the extraction is not finished;
#we must wait, and poll the status until it is no longer 202:
while (status_code == 202):
    print ('As we received a 202, we wait 30 seconds, then poll again (until we receive a 200)')
    time.sleep(30)
    r3 = requests.get(requestUrl,headers=requestHeaders)
    status_code = r3.status_code
    print ('HTTP status of the response: ' + str(status_code))

#When the status of the request is 200 the extraction is complete;
#we retrieve and display the jobId and the extraction notes (it is recommended to analyse their content)):
if status_code == 200 :
    r3Json = json.loads(r3.text.encode('ascii', 'ignore'))
    jobId = r3Json["JobId"]
    print ('\njobId: ' + jobId + '\n')
    notes = r3Json["Notes"]
    print ('Extraction notes:\n' + notes[0])

I have not been able to find a workaround for this (other than requesting more instruments that I don't need, which is definitely not ideal). I tried defining "r3", but no luck to get the JobId.

Appreciate your help!

Thanks,

Luz

pythontick-history-rest-apihistorical
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1 Answer

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zoya faberov avatar image
23k ●22 ●9 ●14

Hello @lcontreras,

For me the simplest would be to modify Step 2 to call: 

requestUrl='https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractWithNotes'

instead of

requestUrl='https://hosted.datascopeapi.reuters.com/RestApi/v1/Extractions/ExtractRaw'

as this will allow you, per REST API Reference "If the results are ready before the request times out, it will return the result. If not, it will return a 202 response for the client to try to get the results from the ExtractResults method."

Next in Step 3 you can check for the result

if status_code == 200:
    jsonResponse = json.loads(r2.content)
    print(jsonResponse)
#If status is 202, display the location url we received, and will use to poll the status of the extraction request:
elif status_code == 202:
    requestUrl = r2.headers["location"]
    print ('Extraction is not complete, we shall poll the location URL:')
    print (str(requestUrl))
    
    requestHeaders={
        "Prefer":"respond-async",
        "Content-Type":"application/json",
        "Authorization":"token " + token
    }
    #As long as the status of the request is 202, the extraction is not finished;
    #we must wait, and poll the status until it is no longer 202:
    while (status_code == 202):   
...

Hope this approach helps, just in case, attaching my modified example pybook, zipped: TRTH_OnDemand_HistoricalReferenceExtractionReq2.zip




trth-ondemand-historicalreferenceextractionreq2.zip (6.1 KiB)
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