How to download stock market breadth for sp500(McClellan oscillator) using EIKON API with Python?

soroosh
soroosh
in Eikon Data APIs

I want to download McClellan Oscillator Indicator for sp500 using Eikon api with python ?


screenshot-from-2023-01-24-16-09-26.png

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @soroosh So we can get the number of advances and declines historically using our RD library:

    import refinitiv.data as rd
    rd.open_session()
    rd.get_history(universe=".AD.SPX", fields=['ISSUES_ADV','ISSUES_DEC'], interval="1D")

    1674600878700.png

    From here you can easily create the McClellan Oscillator.

    To get the current latest value snapshot you can use the rd.get_data function:

    rd.get_data(
        universe=['.AD.SPX'],
        fields=['CF_DATE','CF_TIME','ISSUES_ADV','ISSUES_DEC']
    )

    1674601291286.png

    I hope this can help.

Answers

  • jonathan.legrand
    jonathan.legrand

    Hi @soroosh,

    May I ask what was the formula in the excel sheet cell in your screenshot?

  • jason.ramchandani01
    jason.ramchandani01

    @soroosh I don't think we would deliver the Mclellan Oscillator as a precalc'd item but we have 3 potentially helpful fields - 'TR.ISSUESADVANCED', 'TR.ISSUESDECLINED', and 'TR.25DAYSMEANADVANCEDECLINERATIO' . Once you have these it is pretty straightforward to calculate the Oscillator in Python. However these fields don't seem to be populated which is strange - I have opened a support case number: 12137983 to look into this and will report back as soon as they respond. I hope this can help. Please bear with us.

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