The Histo Request

The purpose of the histo request is to provide a specific historical market data information for a quote, for example the open, high or low price for a certain instrument and trading date.

The histo format

There are 3 available formats for the histo request. All 3 of them have in common the instrument symbol and quote field parameters, while the difference consists in how the date is represented.

1. histo(SYMBOL, QUOTE_FIELD, MONTH, DAY, YEAR)
2. histo(SYMBOL, QUOTE_FIELD, MM/dd/yyyy)
3. histo(SYMBOL, QUOTE_FIELD, NR_TRADING_DAYS_AGO)

The SYMBOL parameter is the instrument symbol used in QST for different types of products (futures, options, spreads).

Note

For futures, you can use either the standard symbol, e.g. EGCV20, or the corresponding perpetual symbol, e.g. EGC1- .

Likewise, for future spreads, the standard symbol can be used, e.g. ZCZ20:H21[SP], or the corresponding perpetual symbol, e.g. ZC1-:2-[SP] .

While for option instruments, you can either use the actual symbol of the option, e.g. EWZ20C3400 (E-mini S&P End of Month options), or using the underlying symbol instead, e.g. ESZ20{EW}C3400 .

The QUOTE_FIELD parameter represents the specific market data information requested for an instrument.
Possible QUOTE_FIELD values:

  • op – Open

  • op1 – Open 1

  • op2 – Open 2

  • hg – High

  • lw – Low

  • cl – Close

  • cl1 – Close 1

  • cl2 – Close 2

  • st - Settlement

  • ps - Previous Settlement

  • vl – Volume

  • oi – Open Interest

  • ts – Timestamp Update

The date for which the market data information is requested, can be expressed either by 3 parameters (month, day and year) or by a single parameter: in the MM/DD/YYYY format or by specifying the number of trading days ago (not calendar!) since the present time.

Note

You can only request one specific piece of information per histo request, e.g. you can request the high price or the low price but not both in the same histo request. Likewise, you can only request that information from a specific date per histo request.

Examples of histo request

  1. Requesting the high price from the ZBZ20 (CBOT 30 Year US T Bond) future, on 08/11/2020:

=RTD("qst.rtd","","histo(ZBZ20, hg, 8, 11, 2020)")
../_images/histo_high.png

  1. Requesting the settlement price from the ESIZ20 (COMEX Silver) future, on 08/27/2020:

=RTD("qst.rtd","","histo(ESIZ20, st, 08/27/2020)")
../_images/histo_settle.png

  1. Requesting the open interest from the ESZ20C3300 (CME E-mini S&P) American option, from 25 trading days ago:

=RTD("qst.rtd","","histo(ESZ20C3300, oi, 25)")
../_images/histo_openint.png