For a deeper look into our DataScope Select SOAP API, look into:

Overview |  Quickstart |  Documentation |  Downloads |  Tutorials

question

Upvotes
Accepted
322 5 12 16

LookBackPeriod role and recommended value ?

I am extracting historical time-series from DSS using the Rest API. What is the role of parameter LookBackPeriod in the Condition, and what influence if any does it have on the extraction time? At the moment we are not passing anything. If I want to get data for the last 5 days or the last 10 years, which value should I use in both cases ? Can it be used with Start/End dates or they are mutually exclusive?

dss-rest-apidatascope-selectdsstime-seriesextraction
icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

1 Answer

Upvotes
Accepted
13.7k 26 8 12

The LookBackPeriod does not apply to a request for a Time Series, it only applies to a request for a Single Historical Price (which uses a different API call).

It is used if there is a null price on the specified trade date. The most recent price is searched for in the LookBackPeriod, expressed in months (1, 3, 4, 6 or 12 months). The default value is 4 months. The syntax since version 10.5 is: TPX-1M for 1 month, TPX-2M ... TPX-12M.

The Lookback is added to the Price date. That means if you selected January 2, 2008 as your Price Date and 4 months as your LookBackPeriod, DataScope Select would look back as far as September 2, 2007 if null prices were reported for the instruments on January 2, 2008

The longer the LookBackPeriod, the longer the extraction time, but the less chances of null values. Null values occur more frequently before the year 2000, less nowadays. Setting it to TPX-1M (1 month) will deliver better performance, but with a higher risk of null values. There is a tradeoff to be found here.

The lookback period for Single Historical Price cannot be disabled.

icon clock
10 |1500

Up to 2 attachments (including images) can be used with a maximum of 5.0 MiB each and 10.0 MiB total.

What's the endpoint for the Single Historical Price API call? Is there any example for the REST API? I can't find it.

Click below to post an Idea Post Idea