Catapult XML

Technical Description

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Time Series interface


This form demonstrates the TimeSeries interface using https and the POST method. The response is displayed on a new page. Return here using the browser Back button.
TimeSeries:
Symbol:

Fields :

TimeScale (optional):

Replyformat (optional):

From or Origin (optional):

To (optional):

TimeZone (optional):

Direction (optional):

MaxPoints (optional):

PriceCheck (optional):

Token (expires: ) Renew token

The time series interface is used to retrieve historic price data. It can be seen as a textual representation of a chart. Each price point is comprised of one or more data fields. Optionally, the frequency (e.g. DAILY or WEEKLY) and maximum number of price points can be specified. For example, TimeScale=10080 (WEEKLY) and MaxPoints=20 retrieves prices on Monday for the previous 20 weeks.

https://<server>/XML/TimeSeries.xml

Parameters

Name Values Default Description
Symbol Data Symbol
YTM- prefix can be used to request Yield To Maturity bond series
CSSymbol Case-sensitive data symbol
Either parameter Symbol or CSSymbol can be used
Fields
last
open
high
low
close
volume
netchg
pctchng 		time
gmt
date
dategmt
openint
trnovr
vwap

Specific to tick time scale
bid
ask
source
tradeid
tradedate
tradetime
tradeusec
slscond

type

flags 		bid when last updated
ask when last updated
trade source
trade identifier
trade date
trade time
trade microsecond
Sales Condition
(contact FIS for full list)
trade type
(contact FIS for full list)
1=ErrorBanded 2=OffExch

Specific to daily and beyond time scale
trades
clsbid
clsask
bidhi
asklo
evwap
 number of trades
last closing bid
last closing ask
highest bid
lowest ask
exchange provided daily vwap
Not all fields are available for all timescales
TimeScale
[optional]
0 =
1 =
5 =
10 =
15 =
30 =
60 =
120 =
240 =
480 =
1440 =
10080 =
43200 =
129600 =
259200=
525600= 		tick
1 minute
5 minutes
10 minutes
15 minutes
30 minutes
1 hour
2 hours
4 hours
8 hours
daily
weekly
monthly
quarter
half-year
yearly
1440 Value of the timescale.
MaxPoints
[optional] 		25 The maximum number of points. The total number of points cannot exceed 40000. If it does, value is forced to 40000
From or Origin
[Optional] 		YYYYMMDD or YYYYMMDDhhmmss or
TODAY, DAY or nDAY or
WEEK or nWEEK or
MONTH or nMONTH or
YEAR or nYEAR 		If the Direction parameter is set at Forward, this is the start point of the series.
Otherwise it specifies the most recent point in the series.
If MaxPoints is not adequate then the series will terminate early (From or Origin will not be reached).
Keywords start at start of trading day (market time). n is a digit, e.g. 52WEEK, 7DAY
For tick timescale in request in past days, from and to date must be the same.
Date is provided in GMT time. See TimeZone tag for market time.
To
[Optional] 		YYYYMMDD or YYYYMMDDhhmmss If the Direction parameter is set at Backward, this is the end point of the series.
Otherwise it specifies the start point of the series.
If MaxPoints is not adequate then the series will terminate early (From or Origin will not be reached).
For tick timescale in request in past days, from and to date must be the same.
Date is provided in GMT time. See TimeZone tag for market time.
TimeZone
[Optional] 		gmt or market gmt For intraday requets, if the TimeZone parameter is set as market, the from and to parameters means market time.
Otherwise the market is set as gmt (independant from DST).
Direction
[Optional] 		Backward
Forward 		Backward Determines the direction of points returned.
Backward : The series commences from the "to" parameter.
Forward : The series commences from the "from" parameter.
ReplyFormat
[Optional] 		array
shorttime
hhmmdd or ctime or iso
usec 		hhmmss array: provides a compact display for each of the requested fields in a pipe delimited format.
shorttime: returns times as hhmmdd instead of hh:mm:dd and dates as yyyymmdd instead of yyyy.mm.dd
hhmmss: format time as hh:mm:ss
ctime: formats time fields as a unix time (number of seconds elapsed since 01-01-1970)
iso: formats time fields as iso-8601 yyyy-mm-ddThh:mm:ss.microseconds
usec: if available, the milliseconds or microseconds are added to the decimal part of the tradetime

ctime,iso,hhmmss are mutualy exclusive.
Array format and compresssed time format can be combined: &ReplyFormat=array,shorttime
PriceCheck
[Optional] 		yes
no 		no Prior making the timeserie request, a price request is made to:
This can quickly convert special request syntax (e.g. ISIN= CUSIP= etc)
before instrument is sent.
Note: Request without extension is automatically considered as US extensions (.O .N .A) and will trigger PriceCheck=yes automatically

Complete Url
https://<server>/XML/TimeSeries.xml?Symbol=goog.o&TimeScale=1440&MaxPoints=3&From=20130101&To=20130201&Direction=Forward&ReplyFormat=array
https://<server>/XML/Timeseries.xml? Symbol=EUR=&MaxPoints=1600&TimeScale=60&Fields=close,date,time&From=7DAY

Corporate action filtering

Time series data are automatically adjusted to include all Corporate Actions except Cash Dividends and Return of Capital. If necessary, individual action types can be applied selectively.
For example:
CSSymbol=ABC.N{ca:Bo+Bb+Ca+Co+Dm+Ds+Dic+Dis+E+Po+Rc+Rt+Sd

If unadjusted data is required (raw data received), prefix the instrument with RAW_
CSSymbol=RAW_ABC.N

Corporate Action types

Event Name Code
Bonus Bo
Buy Back Bb
Capital Reduction Ca
Consolidation Co
Demerger Dm
Distribution Ds
Dividend (Cash) Dic
Dividend (Stock) Dis
Entitlement E
Purchase Offer Po
Return of Capital Rc
Rights Rt
Subdivision Sd