Last Updated: 21 Oct 2021
Overview
LSEG Tick History - REST API is a Representational State Transfer (REST)-compliant API that programmatically exposes Tick History functionality on the DataScope Select platform. Client applications can be written in most programming languages, such as C#, C++, Visual Basic, Java, Python, Objective-C, and Swift.
One of the favorite use cases for applications that use the legacy SOAP-based Tick History API is to use the API to expand a Chain RIC and get a RIC list. After getting the list, they can pass the list to retrieve some specific data using other Tick History functions and they can also export the list to other applications. This article will demonstrate how to use the new REST API to expand a Chain RIC and get a RIC list like the legacy API.
This example demonstrates how to interact with the LSEG Tick HIstory REST API without using.Net SDK. And we use Python programming language to demonstrate the API usages as it works as a script and it can work across OS. This example applies knowledge from Tick History document and tutorial from developer community website.
Introduction
The Legacy SOAP API has the ExpandChain method which will return a list of the RICs for all instruments that were part of the given chain at any time during the given time period. This Function expands the chain for the given RIC independently on each day in the requested range of dates and then collates the results as a single list of RICs. For the new REST API, clients can expand a chain RIC and get underlying RICs using HTTP endpoint /Search/HistoricalChainResolution. The API calls resolve current and past chain constituents given a Chain RIC. Instruments may be currently active, or inactive. It can be very time consuming on both SOAP and REST API. Try not to use this function with large ranges of dates.
HTTP Request
- Endpoint URL:
https://selectapi.datascope.refinitiv.com/RestApi/v1/Search/HistoricalChainResolution
- Method: POST
- Headers:
Prefer: respond-async
Content-Type: application/json; odata.metadata=minimal
Authorization: <Your Authorization Token>
- Body:
ChainRics: Identifies one or more chain RICs, each of which will be resolved into its constituent RICs.
Start: Start date. For example, 2017-01-01T00:00:00.000Z.
End: End date. For example, 2017-01-01T00:00:00.000Z.
- Sample Request Body
{
"Request":
{
"ChainRics": [ "0#HO:" ],
"Range": {
"Start": "2008-01-01T00:00:00.000Z",
"End": "2016-01-01T00:00:00.000Z"
}
}
}
HTTP Response
- Sample Response message
HTTP/1.1 200 OK
{
"@odata.context": "https://selectapi.datascope.refinitiv.com/RestApi/v1/$metadata#Collection(DataScope.Select.Api.Search.HistoricalChainInstrument)",
"value": [
{
"Identifier": "0#HO:",
"IdentifierType": "ChainRIC",
"Source": "",
"Key": "VjF8MHgxMDAwMDAwMDAwMDAwMDAwfDB4MTAwMDAwMDAwMDAwMDAwMHx8Q0hSfENIUnxDSFJ8SHx8MCNITzp8",
"Description": "Historical Chain",
"InstrumentType": "Unknown",
"Status": "Valid",
"Constituents": [
{
"Identifier": "HOF0",
"IdentifierType": "Ric",
"Source": "", "Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxIT0YwfA",
"Description": "Historical Instrument",
"InstrumentType": "Unknown",
"Status": "Valid",
"DomainCode": "6"
},
. . .
{
"Identifier": "HOZ9",
"IdentifierType": "Ric",
"Source": "",
"Key": "VjF8MHgzMDAwMDAwMDAwMDAwMDAwfDB4MzAwMDAwMDAwMDAwMDAwMHx8fHx8fHxIT1o5fA",
"Description": "Historical Instrument",
"InstrumentType": "Unknown",
"Status": "Valid",
"DomainCode": "6"
}]
]
}
]
}
From the HTTP response, it presents the chain’s constituent RICs. Hence the application has to parse JSON object and get the RIC list by accessing the value of Constituents.
Python Example
Prerequisite
- To run the example user should have python 2.7 or 3.6 installed on OS. A user can download python installer from the link below. Basically, users can open the example with any text editor. There are free Python IDEs such as PyCharm Community edition and Visual Studio Code developers can use to open python source file.
https://www.python.org
- In order to access the Tick History Endpoint, a user must have DSS account with permission to access Tick History’s REST API. Please contact your LSEG Account representative if you need a new account or additional permissions.
- To use HTTP request and response, this example uses the Python 'requests' module.
- This example uses pandas data frames and some functions from numpy to parse and display data so you have to install pandas and numpy module.
Implementation
The example starts from importing the required Python modules so you need to import requests and JSON module to the example. It also requires pandas and numpy module to convert JSON data to the pandas data frame.
from json import dumps, loads, load
from requests import post,get
...
import pandas as pd
import numpy as np
Authentication
To get an Authentication Token, the example will require a valid username and password and then send a new Authentication request to the DSS server to get a new Token. After it gets a new Token, it will pass the token to the Http request header. Below is the code for requesting a new token from the DSS server. If a user doesn’t want to get a new token as the old one still valid for 24 hours, feel free to modify RequestNewToken function to return valid token instead.
def RequestNewToken(username="",password=""):
_AuthenURL = "https://selectapi.datascope.refinitiv.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 Exception(dumps(message,indent=4))
return loads(resp.text)['value']
Expand Chain
Before sending an Http request with a post message to HistoricalChainResolution endpoint, it required the Authorization Token from the previous steps with JSON payload containing Chain RIC, start date and end date. Please find sample JSON payload from section Sample Request Body.
In order to get underlying RICs from HTTP response message(see section Sample Response message), the application has to access the Constituents list from JSON object and then convert the list to a pandas data frame. And then it can access RIC list under the Constituents list. Below is the python code from the example. It will print a data frame containing RIC name and Status to console.
def ExpandChain(token,json_payload):
_expandChainURL = "https://selectapi.datascope.refinitiv.com/RestApi/v1/Search/HistoricalChainResolution"
_header = {}
_header['Prefer'] = 'respond-async'
_header['Content-Type'] = 'application/json; odata.metadata=minimal'
_header['Accept-Charset'] = 'UTF-8'
_header['Authorization'] = 'Token' + token
resp = post(_expandChainURL, data=None, json=json_payload, headers=_header)
item_list = []
if(resp.status_code==200):
json_object=loads(resp.text,object_pairs_hook=OrderedDict)
if len(json_object['value']) > 0:
dataFrame = pd.DataFrame.from_dict(json_object['value'][0]['Constituents'])
else:
return pd.DataFrame()
else:
print("Unable to expand chain response return status code:",resp.status_code)
return dataFrame
#In the Main function
_jsonquery={
"Request": {
"ChainRics": [
_chainRIC
],
"Range": {
"Start": _startDate,
"End": _endDate
}
}
}
print("Start Expanding Chain "+_chainRIC+"\n")
df=ExpandChain(_token,_jsonquery)
if df.empty:
print("Unable to expand chain "+_chainRIC)
return
ricCount=len(df['Identifier'])
print("Found "+str(ricCount)+" RIC")
#Filter and print only RIC name and Status columns
pd.set_option('display.max_rows', ricCount)
newDF = df.filter(items=['Identifier','Status'])
newDF.index = np.arange(1,len(newDF)+1)
print(newDF)
Running example
To test the example, please run the following python command
>python ExpandChainREST.py
The example will ask a user to input DSS username and password then it will request a new Token and pass it to HTTP request as described. Feel free to change the following variables if you want to set chain RIC, start date, end date.
_chainRIC="0#.FTSE"
_startDate="2017-03-14T00:00:00.000Z"
_endDate="2017-03-15T00:00:00.000Z"
After running the example, it will display the following console output
Login to DSS Server
Send Login request
Authorization Token:_tHSMJfR5k2n4a56GCmGhhyCCYjt1AA6F5FC3DswB9ad55M5TQhpkOuK6jw5NWy3ir9Vzq5phjQ71rHkZhYrB7tA0c6eBEAVDlOK26H98YWYe9QqVSYp-5IeaMsI9QYIvB-ZxQr5xEv1Mc6u1KF9Afzbq3LtSC11qALNdIIS4JbGjNLqKJ8HgTD6VYuUa6Vc-OlXvEkIlClkUH7_tLCKNwqNZZYK7LPFxnhXWq9NhsoxAoxMOj2kRM1NnhUoCIIgOYfkyw69GEMTauLoHLyOHprN_4KsDlBQN59BQ8OAQu5c
Start Expanding Chain 0#.FTSE
Found 103 RIC
Identifier Status
1 .AD.FTSE Valid
2 .FTSE Valid
3 AAL.L Valid
4 ABF.L Valid
5 ADML.L Valid
6 AHT.L Valid
7 ANTO.L Valid
8 AV.L Valid
9 AZN.L Valid
10 BAB.L Valid
11 BAES.L Valid
12 BARC.L Valid
13 BATS.L Valid
14 BDEV.L Valid
15 BLND.L Valid
16 BLT.L Valid
17 BNZL.L Valid
18 BP.L Valid
19 BRBY.L Valid
20 BT.L Valid
21 CCH.L Valid
22 CCL.L Valid
23 CNA.L Valid
24 CPG.L Valid
25 CRDA.L Valid
26 CRH.L Valid
27 CTEC.L Valid
28 DCC.L Valid
29 DGE.L Valid
30 DLGD.L Valid
31 EXPN.L Valid
32 EZJ.L Valid
33 FRES.L Valid
34 GKN.L Valid
35 GLEN.L Valid
36 GSK.L Valid
37 HIK.L Valid
38 HMSO.L Valid
39 HRGV.L Valid
40 HSBA.L Valid
41 ICAG.L Valid
42 IHG.L Valid
43 III.L Valid
44 IMB.L Valid
45 INF.L Valid
46 INTUP.L Valid
47 ITRK.L Valid
48 ITV.L Valid
49 JMAT.L Valid
50 KGF.L Valid
51 LAND.L Valid
52 LGEN.L Valid
53 LLOY.L Valid
54 LSE.L Valid
55 MCRO.L Valid
56 MDCM.L Valid
57 MERL.L Valid
58 MKS.L Valid
59 MNDI.L Valid
60 MRW.L Valid
61 NG.L Valid
62 NXT.L Valid
63 OML.L Valid
64 PFG.L Valid
65 PPB.L Valid
66 PRU.L Valid
67 PSN.L Valid
68 PSON.L Valid
69 RB.L Valid
70 RBS.L Valid
71 RDSa.L Valid
72 RDSb.L Valid
73 REL.L Valid
74 RIO.L Valid
75 RMG.L Valid
76 RR.L Valid
77 RRS.L Valid
78 RSA.L Valid
79 RTO.L Valid
80 SBRY.L Valid
81 SDR.L Valid
82 SGE.L Valid
83 SHP.L Valid
84 SJP.L Valid
85 SKG.L Valid
86 SKYB.L Valid
87 SL.L Valid
88 SMIN.L Valid
89 SMT.L Valid
90 SN.L Valid
91 SSE.L Valid
92 STAN.L Valid
93 SVT.L Valid
94 TSCO.L Valid
95 TUIT.L Valid
96 TW.L Valid
97 ULVR.L Valid
98 UU.L Valid
99 VOD.L Valid
100 WOS.L Valid
101 WPG.L Valid
102 WPP.L Valid
103 WTB.L Valid
Note
The time to expand chain is proportional to the number of days in the date range. Do not specify longer date ranges than necessary.
Source Code Downloads
The sources code can be downloaded from ExpandChain
Downloads
