What are the correct filed names for the Volume and Last Trade to get get_timeseries in Python?

jeane.samson.refinitiv
jeane.samson.refinitiv
in Eikon Data APIs

I am using this instruction in Python to get tas data = ek.get_timeseries( "EMAR.DU", fields = ['LastTrade', "Volume", 'VWAP', 'Bid', 'BidSize', 'Ask', 'AskSize'], start_date='2024-02-28T00:00:00', end_date='2024-03-04T23:59:59', interval = 'tas', ) It is working for all the fields except 'LastTrade' abd "Volume". What are the correct filed names for the Volume and Last Trade? ‘Last’ and ‘Volume’ are still not working for get_timeseries.

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @jeane.samson.refinitiv So the older Eikon Data API get_timeseries method uses an older service with a reduced datamodel :

    ek.get_timeseries(['EMAR.DU'],
                      start_date='2024-02-28T00:00:00', 
                      end_date='2024-03-04T23:59:59', 
                      interval = 'tick'
                     )

    1709562135313.png

    Our newer Refinitiv Data Libraries provide a get_history function which uses a new service with an improved data model :

    !pip install refinitiv-data
    import refinitiv.data as rd
    rd.open_session()
    rd.get_history(universe="EMAR.DU", 
                   interval="tick",
                   start = '2024-02-28T00:00:00', 
                   end = '2024-03-04T23:59:59')

    1709562395446.png

    Here you can see a much expanded return - from here you can then close things down by selecting the fields you require. Here TRDPRC_1 is the traded price field, and the quote fields provide BID,BIDSIZE,ASK,ASKSIZE and an updated VWAP is reported with each trade. I hope this can help.

    I hope this can help.

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