Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Volat

jeremiemae.celajes

Using the python API, is there any way to retrieve the data from the Volatility Chart on XAU= (Volatility QC in eikon [VOLC].

Having this is a table with vol with different terms/pillars.

aramyan.h

Hi @jeremiemae.celajes ,

I was trying to answer to your question yesterday, however failed to find a comprehensive one. But let me share with you what I have found during my research and maybe you find it useful to take it from there.

I have tried using Instrument Price Analytics from Refinitiv Data Libraries to get the volatility surface for the required instrument. Please see my code below:

import refinitiv.data as rd
from refinitiv.data.content.ipa import surfaces
rd.open_session()

response = surfaces.fx.Definition(

    surface_tag="XAU/USD",
    underlying_definition=surfaces.fx.FxSurfaceDefinition(
        fx_cross_code="XAUUSD"
    ),
    surface_parameters=surfaces.fx.FxCalculationParams(
        volatility_model="SVI",
        x_axis="Tenor",
        y_axis="Strike",
        calculation_date="2023-10-18",
    ),
    surface_layout=surfaces.fx.SurfaceLayout(
        format="Matrix",
    ),
).get_data()

response.data.df

Below is the output for the the requested calculation date:

I have tried to see if there is a way to provide a time range, but failed to find a way to do it. You may try to make separate requests for each day.

You may find more information about the parameters/fields from the API Playground page of the endpoint and the official documentation here.

Also, you find useful some additional examples from our GitHub page.

Hope this helps, I will let my colleagues to contribute in case have missed anything here.

Best regards,

Haykaz

jeremiemae.celajes

Anyone who can assist. The client is using visual studio.

Thanks

jeremiemae.celajes

Thank you for the information.