rd.get_history does not return values for granular intervals

np1

Hi there.

The rd.get_history method does not appear to be returning prices for granular intervals.

this code:

testobj = rd.get_history(universe=CLF3^2,

fields=['TR.SETTLEMENTPRICE'],

interval="daily",

start="2022-11-12",

end="2022-11-25"

)

print(testobj.shape)

testobj

(9, 1)

CLF3^2Settlement PriceDate

2022-11-1485.162022-11-1586.252022-11-1685.0

yet more granular intervals return erroneous data, they simply return daily data

testobj = rd.get_history(universe=CLF3^2,

fields=['TR.SETTLEMENTPRICE'],

interval="1min",

start="2022-11-12",

end="2022-11-25"

)

print(testobj.shape)

testobj

(9, 1)

CLF3^2Settlement PriceDate

2022-11-1485.162022-11-1586.252022-11-1685.0

my goal is to return the settlement price (and potentially volume) for 1 minute or 5 minute bars for several commodity futures (expired futures).

Also, can you pls also advise where I can find relevant fields? The data browser does not seem to contain the relevant fields.

nick.zincone

Hi @np1

To address the relevant fields, if you leave the 'fields' specification out of the request, you will retrieve all available fields for the specific instrument. For example:

# Defaults to 'daily'
rd.get_history("CLF3^2", start="2022-11-12", end="2022-11-25")

Regarding intraday data for the above instrument, I did not see any.

It's quite possible there is no intraday data available for this instrument. Given this is a content issue, I would suggest you open a ticket within the Helpdesk and they can bring in a content specialist to confirm.