how we should update the code to make it more efficient and compliant with the LSEG Data Library lim

Question

Posting this on behalf of Workspace user from case 15982026.

Could you please advise how we should update the code to make it more efficient and compliant with the LSEG Data Library limits? In particular, we would appreciate your guidance on the following:

* How to restructure the code so that multiple RICs are passed in a single universe list rather than calling ld.get_history() separately for each RIC.
* What batch size would be appropriate, given the 3,000 data point limit for interday requests?
* Whether the code should split requests by month, by RIC group, or by both month and RIC group.
* Whether there is a recommended way to identify valid expired SWMP option RICs before retrieving historical prices, so that the script does not test a large number of invalid RICs.
* Which field should be used for daily settle prices for these instruments: SETTLE, STL, or TRDPRC_1?
* Whether there is a better API method or endpoint for this type of historical expired options data extraction.

Hai Hon successfully downloaded one month of daily data, so the basic logic appears to work. However, when scaling the request to the full period from November 2021 to April 2026, the current approach appears to trigger limit issues. We would appreciate your advice on how best to modify the code for a larger historical extraction.

I have pasted the full code below.

Retrieve valid expired SWMP option.txt

Jirapongse · Answer

Yes, the "The universe is not found" error indicates that a RIC is invalid.

I try to search this valid historical RIC NWMP2550L1^L11 in the Search API and Workspace and it returns nothing.

However, the historical data is available in the CHT app.

These questions are content-related. Please contact the content support team directly via LSEG Support regarding how to find and validate those RICs. The content team should be able to provide those RICs.

sara.ali · Answer

Thank you. I tested December 2011 as a comparison month.

Some December 2011 RICs return data successfully. For example:

history = ld.get_history(
    universe=['NWMP2550L1^L11'],
    fields=['SETTLE'],
    interval='daily',
    start='2011-12-01',
    end='2011-12-31',
    header_type=HeaderType.NAME,
)

This returns settlement price data.

However, other generated candidate RICs for the same month fail. For example:

history = ld.get_history(
    universe=['NWMP2000L1^L11'],
    fields=['SETTLE'],
    interval='daily',
    start='2011-12-01',
    end='2011-12-31',
    header_type=HeaderType.NAME,
)

The error returned is:

LDError: No data to return, please check errors: ERROR: No successful response.
(TS.Interday.UserRequestError.70005, The universe is not found)

So it appears that some generated candidate RICs exist, while others do not. For November 2011, however, all the candidate RICs I tested so far return “The universe is not found”.

Could you please advise how I can identify the valid historical option RICs for each expiry month, rather than generating all possible strike combinations? Is there a historical chain RIC or reference data endpoint that should be used to retrieve the valid expired option RICs first?

Jirapongse · Answer

It would be helpful if you could log the parameter values passed to the ld.get_history method and then identify which values are unable to retrieve the data with the error text (if any).

history = ld.get_history(
 universe=batch,

fields=[FIELD],

interval="daily",

start=month.start_date,

end=month.end_date,

                header_type=HeaderType.NAME,

            )

Therefore, I can test those parameters on my machine.

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