Historical Inflation swap data from ek.timseries giving bid rather than mid

George Gent

I'm trying to get historical mids for inflation swaps in Python. My current code is

ek.get_timeseries("GBRPIZ1Y=", start_date="2023-08-01", end_date="2023-08-04", interval='daily')

However, this gives bid values not mids.

Is there a way to get mids instead?

I can get them in Eikon Excel using

=RHistory("GBRPIZ1Y=","MID_PRICE.Timestamp;MID_PRICE.Close","START:01-aug-2023 END:04-Aug-2023 INTERVAL:1D",,"TSREPEAT:NO CH:Fd",I2)

Jirapongse

@George Gent

Thank you for reaching out to us.

The ek.get_timeseries method can only retrieve the default view of historical data. For GBRPIZ1Y=, it should be BID view.

To get other views, you need to use Refinitiv Data Library for Python instead. The examples are available on GitHub.

The RD Library can connect to the desktop session which is the same session used by Eikon Data API. You can configure the application key in the RD configuration file.

Change the default session to "desktop.workspace" and set the "app-key" configuration. Then run the EX-2.01.01-HistoricalPricing.ipynb example with the followiing code.

response = historical_pricing.summaries.Definition(
    universe=['GBRPIZ1Y='],
    start="2023-07-31",
    end="2023-08-04",
    fields=["MID_PRICE"]
).get_data()
response.data.df

George Gent

Thanks, this is just what I was looking for.