Unable to Retrieve 1-Minute Historical Bid and Ask Size using Refinitiv's Python SDK

s1810335
s1810335
in Eikon Data APIs

Hello,

I am trying to access historical bid and ask size data for the instrument HKY.OL on a 1-minute interval using Refinitiv's Python Software Development Kit (SDK). However, I'm consistently receiving NA values for both bid and ask sizes.

Here's the code I've been working with:


import datetime
import refinitiv.data as rd
rd.open_session()


## Set the datetime
start_date = datetime.datetime(2023, 1, 1).strftime('%Y-%m-%d')
end_date = datetime.datetime(2023, 2, 1).strftime('%Y-%m-%d')


## Fetch data from Refinitv
df = rd.get_history(
    universe= ['HKY.OL'],
    fields=['ASK', 'ASKSIZE', 'BID', 'BIDSIZE'],
    start = start_date,
    end = end_date,
    interval = '1min'
)
df


The fields ASK and BID return values as expected, but ASKSIZE and BIDSIZE are returning NA. I have verified that the instrument has data for the specified date range, but I am unsure if I'm using the correct field names or if there's an inherent limitation to the data's granularity. Here is my current output data:
skjermbilde-2023-09-26-kl-090054.png

Any guidance on how to correctly retrieve this data, or insights into potential issues, would be highly appreciated. Thank you!

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    @s1810335

    Thank you for reaching out to us.

    The BIDSIZE and ASKSIZE fields are not valid fieds of 1 minute interval data of HKY.OL. You can remove the fields parameter to get all available fields.

    The valid fields are:

    Index(['HIGH_1', 'LOW_1', 'OPEN_PRC', 'TRDPRC_1', 'NUM_MOVES', 'ACVOL_UNS',
           'HIGH_YLD', 'LOW_YLD', 'OPEN_YLD', 'YIELD', 'BID_HIGH_1', 'BID_LOW_1',
           'OPEN_BID', 'BID', 'BID_NUMMOV', 'ASK_HIGH_1', 'ASK_LOW_1', 'OPEN_ASK',
           'ASK', 'ASK_NUMMOV', 'MID_HIGH', 'MID_LOW', 'MID_OPEN', 'MID_PRICE'],
          dtype='object', name='HKY.OL')

    You can contact the Elektron Data Platform - Historical Pricing API support team directly via MyRefinitiv to verify if this endpoint can provide the BID size and ASK size.

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