Tick Historical data
Good Morning,
I have a question regarding how to retrieve tick historical data for bonds using pycharm.
To get historical time series data i use the following code:
df = rd.get_history(
universe=rics,
fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
start=start_date,
end=end_date,
interval='1M'
Does the same work or i need to adjust my script?
Thank you in advance,
Kind regards,
Kyriakos
Best Answer
-
Thank you for your question.
To get the tick date you need to provide value "tick" under interval parameter. Please see below:
df = rd.get_history(
universe='DE253877847=',
fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
start='2023-01-05',
end='2023-05-10',
interval='tick')
dfPlease note that tick data goes back up to 3 month.
Hope this helps.
Best regards,
Haykaz
0
Answers
-
Dear @h.aramyan01 ,
Thank you very much for your answer.
Is it possible to do it for futures as well, specifically i try for this one 'ESXM23' but it does not work.
Also, we want to view data for more than 3 months and we got a datascope refinitiv account.
Is it possible to get data tick data for the future i mentioned above regarding bid/ask price and bid/ask size as well through datascope account?
Thank you again and wish you a nice afternoon,
Kind regards,
Kyriakos
0 -
What error are you getting there? It worked for futures on my end:
df = rd.get_history(
universe='ESXM23',
start='2023-01-05',
end='2023-05-10',
interval='tick')
dfAbove I didn't specify fields to see all available ones. You may specify also the ones you want as in the original example.
As for the Datascope I believe it should be possible, but I am not an expert on Datascope and would advice opening a separate ticket where my colleagues will address.
Best regards,
Haykaz
0 -
Hi @h.aramyan01 ,
Thank you for your answer.
There is no error at all. I can receive the data with this way.
I am just wondering if it's possible to do it through Datascope do get data more than 3 months.
Thank you again, wish you a nice day
Best,
Kyriakos
0 -
HI @kyriakos.eleftheriadis ,
You are welcome, happy to be helpful. I am just not experienced with Datascope that is why suggested to open a separate ticket for that.
Best regards,
Haykaz
0
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