Update to the Thomson Reuters Tick History API for R

We have released an update to the TRTH API for R package. This update adds additional functionality to the submitRequest and submitFTPRequest functions where it is now possible to submit and display requests in Local time. Previously this was only available in GMT.

Please contact us if you would like the updated install file and any additional information.

TRTH API for “R”

Sirca is pleased to announce the beta release of the TRTH API package for the open source programming language “R”.  This is an exclusive release only available to our academic user base. The package allows Tick History users to directly import data from within R.

Users must first create a TH credential object in R to authenticate with the TH services.  The credential object is created using the createCredential function. Once you have established a session with the Tick History service you can use it for later requests.

In a similar fashion to MATLAB, the TRTH API R package lets user import data in two ways.  The simplest way to import data into R is by using the submitRequest function, but only use this if you are intending to request single day, single RIC.  It is also possible to request larger requests using the submitFTPRequest function.  The latter submits the request to the Tick History service for batch processing.

We have also implemented the expandChains function, so that it is possible to expand chain RICs within R.  The function is very simple to use, you only need provide the credential object, the chain RIC and the date and time.

If you are interested to find out more about the package, e.g features, functionalities and installation instructions please contact us.

Seamless Access to TRTH for MATLAB® Users

MathWorks® has built a package for MATLAB® to import data seamlessly from Thomson Reuters Tick History (TRTH) via our API. This package saves TRTH users from having to know any web service programming.

MATLAB® users have two ways to import data into MATLAB®: 1.) you can choose to import directly via the TRTH API or; 2.) import data downloaded from TRTH.

To use the TRTH API with MATLAB®, you must first create a rdth object in MATLAB® with your username and password. This will create and maintain a connection to the TRTH API service which will be used by other rdth functions later on.

The MATLAB® fetch command can be used to import data directly from the TRTH. This is equivalent to creating a preview in the TRTH user interface.

The fetch command is used in two ways. Firstly, it retrieves information on a security you provide. The other use is to retrieve data for a security and the message types you specify.

The fetch command is ideal for small requests (typically requests consisting of no more than 30,000 rows). For larger requests, the submitftp command is recommended. It submits an FTP pull request to TRTH, which downloads data into a file that you can later import into MATLAB® with the rdthloader command. This is the recommended approach for large requests.

Additional parameters can be set in rdthloader to customise an import, such as limiting the number of rows to import or selectively import data within a certain date range.

You can even poll the progress of a submitftp command from with MATLAB® so program execution can continue as soon as the data is available.

The reference manual and detailed examples for this package, are available from MathWorks®’s website here.

At last …. API access to Tick History for academic users!

By far the most common way currently for the academic community to access data from Thomson Reuters Tick History is via a web browser.

This requires a person to interact with a computer to set query parameters on a web page, execute a query and then download the results. Results can then be loaded into a software package for analysis and further processing. We see a wide range of packages such as Excel, SAS, Matlab, and R being used for this.

In order to make the process less labour intensive and more reliable, some users write software to automate the process. In order to do this, they need to be able to write code that accesses Tick History via a different interface called an Application Programming Interface (API). This allows a software developer to create tools to automatically download Tick History data and process it. As this is being done by software, it can be scheduled to run automatically. API access to Tick History has been available to commercial customers of Thomson Reuters Tick History for some time.
The good news is that Sirca has recently invested in new server infrastructure in order to allow access to the Tick History API for our Academic members. We should add that Sirca has also recently undertaken a substantial code optimisation effort. This has resulted in considerably faster execution of API queries – up to 40% faster than previously and 30% faster on average.

A note of caution for academic users however, a reasonable degree of programming ability is required to use the Tick History API. As this is a web service, a wide range of programming languages can be used.
Please get in touch with us if you need access to the Tick History API user documentation, or if you would like to talk about this in more detail. We will be progressively enabling API access to all of Sirca’s datasets over the next few months, we will keep you posted.