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Sunny.Wu avatar image
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Which request for Open/Last Trade Price + Net Asset Value + Day Change Percentage

Hi,

I need a request that would give me the following stats once a day for past n months.

  • Open price (first trade price of the day)
  • Last price (last trade price of the day)
  • Net asset value
  • Percentage change of yesterday's last trade to today's last trade price

I have looked into couple of requests:

  • Tick History Time and Sales doesn't seem to have Net Asset Value
  • Elektron Time Series seem to miss the Percentage Change field.

Is there a single request that lets me get all these values?

Thanks.

tick-history-rest-api
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2 Answers

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Christiaan Meihsl avatar image
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@Sunny.Wu,

1. How to find fields and extractions

The best way to find what extraction delivers what fields is to use the custom reporting data dictionary (the link is to the 12.2 version; always ensure you use the latest one available). Go to tab Field Descriptions, and use a text filter on the Field Name (column D) to find the fields you are interested in. Column E gives a short field description. Column C tells you what extraction type delivers that field.

For the fields you are interested in, using a text filter on fields that contain:

  • "Open": shows the instruments first price is available in field "Open" of Elektron Timeseries, and the instruments official open price is available in field "Trade - Open" of Tick History Time and Sales.
  • "Last" or "Close": shows the instruments last trade price is available in field "Last", and Universal Close Price is available in field "Universal Close Price", both of Elektron Timeseries.
  • "NAV" or "Net Asset Value": shows the instruments NAV is available in field "Net Asset Value" of Elektron Timeseries, and field "Trade - Final NAV" of Tick History Time and Sales.
  • "Percent change" shows the instruments percentage change in the latest trade price or value from the historic close is available in field "Trade - Percent Change" of Tick History Time and Sales. This is not the change versus the previous day.

Hopefully this method should help you find the appropriate field names and API calls. You might also find this tutorial section useful, it contains a part on this topic.

2, Those you need for your use case

Applying that to your case, for a daily value of:

  • Open price (first trade price of the day) - use field "Open" of Elektron Timeseries
  • Last price (last trade price of the day) - field "Last" of Elektron Timeseries
  • Net asset value - field "Net Asset Value" of Elektron Timeseries
  • Percentage change of yesterday's last trade to today's last trade price - this is not available, you will have to calculate it.

Note: I recommend using Elektron Timeseries, because that call is tailored to deliver daily values. Tick History Time and Sales is for intraday ticks, less appropriate for your use case.

Hope this helps.

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Sunny.Wu avatar image Sunny.Wu

Thanks @Christiaan Meihsl

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warat.boonyanit avatar image
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Hi @Sunny.Wu

I believe Tick History Time & Sale does have Net Asset Value under "Trade - Final NAV" field.

Have you tried it?

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Sunny.Wu avatar image Sunny.Wu

Right i missed that - thanks! But is it possible to generate one record per day in Tick History Time&Sale query?

Christiaan Meihsl avatar image Christiaan Meihsl Sunny.Wu

@Sunny.Wu, sorry, that is not possible. That is why I recommended using Elektron Timeseries, and its field "Net Asset Value".

warat.boonyanit avatar image warat.boonyanit Sunny.Wu

@Sunny.Wu

As Christiaan said, you have to use Elektron Time Series if you want to generate one record per day.

The percentage change can be easily calculated.

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