One of my clients has the following use case
DSS Template- Price History
If queried date is a Market holiday can Price history template provide previously traded price and date? If yes, what additional conditions/query should we be using?
@nagesh.babu
I checked and found that Single Price History (SinglePriceHistoryExtractionRequest) can return a single price for a specific date. However, it does not support retrieving data for a date range.
{ "ExtractionRequest": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.SinglePriceHistoryExtractionRequest", "ContentFieldNames": [ "File Code", "RIC", "Trade Date", "Universal Close Price", "High Price", "Low Price", "Open Price", "Volume Weighted Average Price", "Turnover", "Accumulated Volume Unscaled", "Bid Price", "Asset Type", "Quote ID", "Exchange Code", "Currency Code" ], "IdentifierList": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [ { "Identifier": "PTT.BK", "IdentifierType": "Ric" } ], "ValidationOptions": { "AllowHistoricalInstruments": true }, "UseUserPreferencesForValidationOptions": false }, "Condition": { "EndDate": "2026-07-29T00:00:00.000Z", "AdjustedPrices": true, "LastEntityOnly": false } } }
"Lookback": "TwelveMonths",
Thank you for reaching out to us.
I was unable to locate that parameter in PriceHistoryCondition. For confirmation, please reach out to the DSS support team via LSEG Support.
Thank you. We see a parameter under EOD pricing (Exclude Null Codes For Universal Close Price) however do not see similar condition under Price history. Let me raise with support team then
Hello All, I had a discussion with DSS product manager and we found that Single Price History solves this. I have tried this with an extarction in GUI and it works. However we do not have API call for SPH. Could you please help with this
Thank you.
One additional validaiton or condition that is missing is..
Lookback:1 Month3 Months4 Months6 Months12 Months
Once this condition is added, it will work. Would you be able to add this condition please?
This is its definition.
The Lookback is added to the Price date. That means if you selected January 2, 2016 as your Price Date and 4 months as your Lookback, DataScope Select would look back as far as September 2, 2015 if null prices were reported for the instruments on January 2, 2016.
Its default value is "4 months".
{ "ExtractionRequest": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.SinglePriceHistoryExtractionRequest", "ContentFieldNames": [ "File Code", "RIC", "Trade Date", "Universal Close Price", "High Price", "Low Price", "Open Price", "Volume Weighted Average Price", "Turnover", "Accumulated Volume Unscaled", "Bid Price", "Asset Type", "Quote ID", "Exchange Code", "Currency Code" ], "IdentifierList": { "@odata.type": "#DataScope.Select.Api.Extractions.ExtractionRequests.InstrumentIdentifierList", "InstrumentIdentifiers": [ { "Identifier": "PTT.BK", "IdentifierType": "Ric" } ], "ValidationOptions": { "AllowHistoricalInstruments": true }, "UseUserPreferencesForValidationOptions": false }, "Condition": { "EndDate": "2026-07-29T00:00:00.000Z", "AdjustedPrices": true, "LastEntityOnly": false, "Lookback": "FourMonths" } } }
Thank you, appreciate it
If client needs it to be changed to 12 months can they just amend the condition?
