RIC: ESH1m (Raw Legacy Market Depth)
QueryStartDate = new DateTimeOffset(2021, 03, 02, 00, 0, 0, TimeSpan.Zero),//startDate, QueryEndDate = new DateTimeOffset(2021, 03, 03, 00, 0, 0, TimeSpan.Zero),//lastDate,
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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#ES:" },//{ "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("ESH1"));
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, 02, 00, 0, 0, TimeSpan.Zero),//startDate,
QueryEndDate = new DateTimeOffset(2021, 03, 03, 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,"ESH1m")
},
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();
}
}
}
