Using Microsoft .NET with LSEG Tick History REST API

Limitation of REST API Toolkit

This section describing the issue when using the REST API Toolkit on macOS or Linux. At the time we write this article, we understand that the Toolkit has the following limitation.

• It supports only Windows Platform because the Toolkit is still building with .NET Framework 4.x.

• It's unable to run on macOS and Linux as it requires some of the dependency libraries available on Windows only.

• It’s not an Open Source SDK; therefore, we cannot modify the codes or change anything to upgrade the dependency libraries used by the Toolkit.

Typically you can create a new project target .NET 8.0 on Visual Studio 2022 and then add libraries from the REST API Toolkit to the project. You should be able to build the solution or project without any error, and you should be able to run it on a Windows platform. The following sample codes demonstrate an Extraction request, and it works very well on Windows with the .NET 8.0 Project type.

However, if you copy the same .NET project to macOS or Linux and rebuild it. You may receive errors about an unresolved reference like the following errors.

When we write this article, it looks like the OData Client version with related components used by the REST API toolkit is not compatible with the OData Client supported by .NET 8.0 and above. And it seems to be the main problem that prevents us from using the API Toolkit on macOS or Linux. The reason that it works on Windows because you have .NET Framework installed on the Windows. Therefore, the application can load underlying libraries provided by .NET Framework 4.x. If you copy the same project to a newly installed Windows and it has only .NET 8.0 installed, you should see the same error message generated by the dotnet command.

.NET Solution

As explained earlier, the .NET developer may choose an alternative approach by communicating directly over HTTPS like the other programming languages. So they can control everything, including the way to send HTTP requests and process the HTTP response. However, the developer has to understand the request messages they need to send and the HTTP Headers required by the server. There are REST API User Guide and the REST API Reference that provide more information about the API specification and the information about HTTP request and response along with the request condition and its parameters.

.NET SDK providing HTTPClient class, which can be used to send an HTTP request and process the response message, and it has a new version of NewtonSoft JSON.NET, which supports the .NET target platform and fully compatible with .NET 8.0. The developer can use both libraries or classes together to process the message and get the JSON data.

Technical Requirements

Based on the solution described above, this example requires the following SDK and library for implementing the .NET application.

• Visual Studio 2022 or Visual Studio Code.
• .NET 8.0. You can find installation instructions, including the document about .NET, from Microsoft website. This example uses HttpClient class to send a request and get a response from DSS Server.

• C# is the programming language used in the example application.

• Using NewtonSoft Json.Net to parse data from the HTTP response message.

You can use Visual Studio 2022 or using just Visual Studio code to open the example codes. We will provide sample codes in the next topic.

How to use HttpClient

It starts by explicitly create HttpClientHandler and then passes it to HttpClient. Next step application has to create HttpRequestMessage and select HttpMethod Post or Get and then set HTTP header according to REST API User Guide. To send HTTP Post message, the application needs to convert JSON request message according to the user guide to StringContent type and set it to Content of the HttpRequestMessage.

The following sample codes demonstrate how to use HttpClient class to send HTTP requests (Post/Get) and process HTTP response messages using Json.NET.

Send HTTP Post

Send Http Get

To get data from the response message, the application may use JObject.Parse from NewtonSoft Json.NET library to parse the data. The following sample codes demonstrate how to get JobID and Notes from the HTTP response message.

A sample of HTTP response message

Sample code to parse the JSON data

To download the result from the server, it can allow users to download data from Amazon S3 instead. The application has to add an X-Direct-Download custom header in the HTTP request message and set it to True to get HTTP Redirect to a new download location on Amazon S3. Below are sample codes from the example.

Demo

There are two console applications provide in the solution.

1. Authentication example

It's an example to demonstrate how to get Authentication Token from TickHistorical Server. We follow instructions from Tutorial 1 to create the request message.

This example sends an Authentication request to Tick History Server and prints Token to console output.

Running the example

1) Modify Credential.json in the Authentication folder. Set DSS User name and DSS Password and save.

2) Open Command line and change directory to folder Authentication

3) Run dotnet command with following options

You should see output like the following example. If there is no problem with the username and password, it will show the Token from the DSS server.

2. RawExtraction example

It's an example to demonstrate how to use the REST API to retrieve Time and Sales Tick History. The example will read the JSON file request query and then set it as a Content of HttpRequestMessage class. We will apply instructions and steps from REST API Tutorial 4: On-Demand tick data extraction to create the messages. Anyway, we will skip the steps to request a field list from the server and manually set required fields in the JSON file.

This example will retrieve data and write it to filename "output.csv.gz" by default. You have to unpack the .gz file and then open the output in CSV format. As the example read, the JSON file query could be applied with the End of Day Extraction request. The user can modify the request in the default JSON file and run the example.

Running the example

1) This example obtains a DSS username and password from the application user. It will read username and password from console input to don't need to use Credential.json like Authentication example.

2) Open Command line and change directory to RawExtraction

3) This example reads JSON request content from ExtractionRequest.json file so that you can modify ExtractionReqeust.json to request item and fields you want. The default value is for Time and Sales Tick Historical data.

4) Run command dotnet restore to restore required libraries and then build the example.

You should see the following console output.

Next step using dotnet run command to run the example

Below is sample console output from the example.

Unpack output.csv.gz and open output.csv you should see the output like this.

The RawExtraction example also provides file EODDataExtraction.json in the same project folder. It is a sample request for End of Day data. You can just replace ExtractionRequest.json with information from EODDataExtraction.json.

You can download examples from GitHub.

References

• LSEG Tick History - REST API
• NewtonSoft Json.NET
• .NET SDK
• .NET Guide