question

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Accepted
89 2 6 9

download ETH Expiry Date

RIC: ECSSZ0 (Raw Legacy Market Depth)

help me

How to download choose only day " "ETH Expiry Date"?

code:

using System;
using System.Linq;
using System.Diagnostics;
using System.IO;
using ThomsonReuters.Dss.Api.StandardExtractions;
using ThomsonReuters.Dss.Api;
using ThomsonReuters.Dss.Api.Content;
using ThomsonReuters.Dss.Api.Extractions;
using ThomsonReuters.Dss.Api.Extractions.ExtractionRequests;
using ThomsonReuters.Dss.Api.Extractions.ReportExtractions;
using ThomsonReuters.Dss.Api.Extractions.ReportTemplates;
using ThomsonReuters.Dss.Api.Extractions.Schedules;
using ThomsonReuters.Dss.Api.Extractions.SubjectLists;
using ThomsonReuters.Dss.Api.Search;
using ThomsonReuters.Dss.Core.RestApi;
using System.Text;
using ICSharpCode.SharpZipLib.GZip;

namespace RefinitivHistoryTesting
{
    class Program
    {
        static void Main(string[] args)
        {
            //-----------------------------------------------------------------
            //Connect and authenticate to the DSS server:
            //-----------------------------------------------------------------
            Uri dssUri = new Uri("https://hosted.datascopeapi.reuters.com/RestApi/v1/");
            string dssUserName = "****";
            string dssUserPassword = "****";

            var out_dir = @".\Storage\";
            var SearchContext = new SearchContext(dssUri, dssUserName, dssUserPassword);
            var ExtractionsContext = new ExtractionsContext(dssUri, dssUserName, dssUserPassword);
            var availableMbPFields = ExtractionsContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistoryRaw);
            var availableLL2Fields = ExtractionsContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistoryMarketDepth);
            var availableTnSFields = ExtractionsContext.GetValidContentFieldTypes(ReportTemplateTypes.TickHistoryTimeAndSales);


            ExtractionsContext.Options.AutomaticDecompression = false;

            var dateRange = DateTimeRange.Create(
                new DateTimeOffset(2008, 01, 01, 0, 0, 0, TimeSpan.Zero),
                new DateTimeOffset(2020, 12, 22, 0, 0, 0, TimeSpan.Zero));

            var request = new HistoricalChainResolutionRequest
            {
                ChainRics = new[] { "0#ECSS:" },//{ "0#1URO:" },
                Range = dateRange
            };

            var chain_results = SearchContext.HistoricalChainResolution(request);
            foreach (var chain in chain_results)
            {
                Console.WriteLine("Chain Identifier: {0} {1}, Constituents: {2}", chain.IdentifierType, chain.Identifier, chain.Constituents.Count());
                foreach (var constituent in chain.Constituents)
                {
                    var searchResults = SearchContext.HistoricalSearch(
                        HistoricalSearchRequest.Create(
                            constituent.Identifier, constituent.IdentifierType, dateRange, HistoricalResultsBy.Ric, null));

                    //foreach (var result in from pos in searchResults where pos.DomainCode == "8" select pos)
                    //foreach (var result in searchResults)

                    var result = searchResults.FirstOrDefault(pos => pos.Identifier.Contains("ECSSZ0"));
                    if (result != null)
                    {
                        var startDate = result.FirstDate;//new DateTimeOffset(2021, 03, 09, 0, 0, 0, TimeSpan.Zero);//result.FirstDate;
                        var lastDate = result.LastDate;//new  DateTimeOffset(2021, 03, 09, 23, 59, 59, TimeSpan.Zero);//result.LastDate;
                        Console.WriteLine("{0},\t {1},\t {2},\t {3},\t {4}", result.Identifier, result.IdentifierType, startDate, lastDate, result.DomainCode);
                        var extractionResult = ExtractionsContext.ExtractRaw(
                        new TickHistoryMarketDepthExtractionRequest
                        {
                            Condition = new TickHistoryMarketDepthCondition
                            {
                                ReportDateRangeType = ReportDateRangeType.Range,
                                QueryStartDate = new DateTimeOffset(2021, 03, 05, 00, 0, 0, TimeSpan.Zero),//startDate,
                                QueryEndDate = new DateTimeOffset(2021, 03, 06, 00, 0, 0, TimeSpan.Zero),//lastDate,
                                ExtractBy = TickHistoryExtractByMode.Ric,
                                MessageTimeStampIn = TickHistoryTimeOptions.GmtUtc,
                                SortBy = TickHistorySort.SingleByRic,
                                View = TickHistoryMarketDepthViewOptions.LegacyLevel2,
                                DisplaySourceRIC = true

                            },
                             //ContentFieldNames = availableLL2Fields.Select(f => f.Name).ToArray(),
                             IdentifierList = new InstrumentIdentifierList
                            {
                                InstrumentIdentifiers = new[]
                                {
                                     InstrumentIdentifier.Create( IdentifierType.Ric,"ECSSZ0m")
                                },
                                ValidationOptions = new InstrumentValidationOptions
                                {
                                    AllowHistoricalInstruments = true
                                }
                            },
                       
                    });
     /*
                        using (var response = ExtractionsContext.RawExtractionResultOperations.GetReadStream(extractionResult))
                        using (var reader = new StreamReader(response.Stream))
                        {
                            var fileName = out_dir + "_" + result.Identifier + "_" + startDate.DateTime.ToString("dd.MM.yyyy") + "_" + lastDate.DateTime.ToString("dd.MM.yyyy") + "_MarketByPrice.txt";
                            using (var fileStream = File.Create(fileName))
                                response.Stream.CopyTo(fileStream);
                        }
     */
                        string line;
                        var fileName = out_dir + "_" + result.Identifier + "_" + startDate.DateTime.ToString("dd.MM.yyyy") + "_" + lastDate.DateTime.ToString("dd.MM.yyyy") + "_RawLegacyMarketDepth.csv";
                        var sw = new StreamWriter("Storage\\output.csv", false);
                        var streamResponse = ExtractionsContext.GetReadStream(extractionResult);
                        {
                            using (GZipInputStream gzip = new GZipInputStream(streamResponse.Stream))
                            {
                                using (StreamReader reader = new StreamReader(gzip, Encoding.UTF8))
                                {
                                    while ((line = reader.ReadLine()) != null)
                                    {
                                        sw.WriteLine(line);
                                    }
                                }
                            }
                        }
                        sw.Close();
                    }
                }
            }

            Console.WriteLine("Press Enter to exit");
            Console.ReadLine();
        }
    }

}



tick-history-rest-api
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Upvote
Accepted
23k 22 9 14

Hello @s61670,

After you have expanded the chain, you can use HistoricalReferenceExtractionRequest to obtain Expiration dates:

{ {protocol}}{ {host}}{ {api}}Extractions/Extract

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
       "ContentFieldNames": [
            "RIC",
            "Start date",
            "Change Date",
            "Expiration Date"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "ECSSH1",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": {"AllowHistoricalInstruments": true},
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "StartDate": "2007-01-01T00:00:00.000Z",
            "EndDate": "2021-03-25T23:59:59.000Z"
        }
    }
}

Next you can request TickHistoryRaw according to the Expiration date.

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Upvotes
89 2 6 9

as in DataScope - Historical Instrument


ecssz0.png (50.9 KiB)
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Upvote
23k 22 9 14

Hello @s61670,

You may find it useful to refer to Data Dictionary - Refinitiv Tick History Custom Reporting guide for the list of all available fields and descriptions and to download RTH REST Postman Collection with many request types that you can duplicate and test/run/tune without having to make any code changes, this Tutorials Collection goes over most commonly used requests, in Postman, step-by-step.

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