Tick History - Eikon premium user

asli.sahin01
asli.sahin01
in Eikon Data APIs

hi, is it possible to get tick data through API for FGBL (bund futures), FGBX (BUXL futures), FGBM (BOBL futures) and EURIBOR futures. ( Eikon premium user)

If so what are the limitations, is there an article available explaining the steps, use case.

Thanks.

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @asli.sahin01 Thanks for your question - so its best to use the Historical Pricing service on RDP - or you can simply use the get_history RD Library function. Data depth is 90 days of tick-level data.

    1698834566373.png

    import refinitiv.data as rd
    rd.open_session()
    df=rd.get_history(universe="FGBLc1", interval="tick", count=2000) #start="2023-09-01",end="2023-10-01",

    df

    1698835121614.png

    There is an example notebooks available in Codebook both at the access layer and also at the content layer:

    Access__Get_History.ipynb

    Content__Historical_Pricing

    Content__Historical_Pricing_Requests_With_Events.ipynb

    Content__Historical_Pricing_Parallel_Requests.ipynb

    Content__Historical_Pricing__Erorr_Management.ipynb


    These are also available in the RD Library examples folder on github.

    I hope this can help.

Answers

  • aramyan.h
    aramyan.h

    Hi @asli.sahin01 ,


    You can access the recent 3-month tick data of these futures using our Eikon API. The code below returns the tick data for the Continuation RIC for FGBLc1, i.e:

    ek.get_timeseries('FGBLc1', interval = 'tick', start_date = '2023-08-01', end_date = '2023-08-02')

    If you want the actual RICs not the continuation one, you would need to reconstruct the expired futures RIC and the request the pricing data. In this article I show how to do that:

    Reconstructing RICs for expired futures contracts | Devportal (lseg.com)

    If you need tick data going far back you can check our Refinitiv Tick History offering:

    Refinitiv Tick History (RTH) - REST API | Devportal (lseg.com)


    Hope this helps.


    Best regards,

    Haykaz

  • nathan.simonis2
    nathan.simonis2
    Hi
    @jason.ramchandani01,


    Tthis method seems to be giving <NA> for most fields including crucial ones for tick data. With this example on FGBLc1, I only have <NA> for the columns TRDVOL_1 and ACVOL_UNS which should provide details about the size of the trade. TRDPRC_1 seems complete though. Do you know if I need to use another set of fields if I am interesting in Timestamp, Security, Price, Quantity for each 'tick'?


    Thank you

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