Historical data for bid/ask price

kyriakos.eleftheriadis

Hi

I am trying to reload data for fixed income etc bonds in pycharm. Specifically, i would like to retrieve historical data for the bid and ask prices with daily or minute interval. I used the following code :

start_date = datetime.datetime(2023, 3, 1)
end_date = datetime.datetime(2023, 3, 10)


df, err = ek.get_data(
    instruments=['NL188254462='],
    fields=['ASK', 'ASK_YIELD', 'BID_YIELD', 'BID'],
     start_date= 'start_date',
     end_date= 'end_date',
     interval='daily')

however it does not work.

Either when i used this one :

start_date = datetime.datetime(2023, 3, 1)
end_date = datetime.datetime(2023, 3, 10)


df = ek.get_timeseries(['NL188254462='],
                  fields = [ 'ASK', 'BID', 'ASK_YIELD', 'BID_YIELD'],
                  start_date=datetime.timedelta(-20),
                  end_date=datetime.timedelta(0),
                  interval='daily')

The output returns N/A values.

How should i fix this ?

Thank you in advance,

Best,

Kyriakos

raksina.samasiri

Hi @kyriakos.eleftheriadis ,

Frq of minute is not available, you may use Data Item Browser tool available from Eikon deskop to confirm all available parameters and their respective values:

Or you can use use get_timeseries method instead of get_data. For example,

import refinitiv.data.eikon as ek
import datetime

ek.set_app_key('###YOUR_APP_KEY###')

start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 10).strftime('%Y-%m-%d')

ek.get_timeseries(['NL188254462='], 
                  start_date=start_date, 
                  end_date=end_date, 
                  interval='minute')

raksina.samasiri

Hi @kyriakos.eleftheriadis ,

You could use these fields instead, they can be discovered using Data Item Browser

import datetime
start_date = datetime.datetime(2023, 3, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 3, 10).strftime('%Y-%m-%d')

df, err = ek.get_data(
    instruments=['NL188254462='],
    fields=['TR.ASKPRICE','TR.ASKYIELD','TR.BIDPRICE','TR.BIDYIELD'],
    parameters={'SDate': start_date, 'EDate': end_date, 'Frq': 'D'})
df

If you have any questions regarding the field name or content in Refinitiv, you can raise a ticket in MyRefinitiv as the moderators on this forum are expertise in API usage, not all the content available in Refinitiv.

kyriakos.eleftheriadis

Hi,

Thank you for your answer. The same applies when i want to use the frequency as minute?

I tried 'Frq': 'MIN' but i receive NA again.

Kind regards,

Kyriakos