Retrieve Time and Sales Data Information
Hello!
To explain the background of my questions: I am working on a project where I want to identify individual trades above and below a certain value threshold. For example, I want to get the volume of AAPL.O for trades above $10,000.
I use the Refinitiv Python API, specifically, the refinitiv-data library.
Question 1: I couldn't find any more elegant way other than retrieving the time and sales data and then analyzing the individual trades. Is it true that there is no such thing as a 'summary report' which allows getting the volume for trades above/below certain values?
Question 2: I am using the following Python code to obtain the time and sales data. Is there any way to use a Ticker instead of a RIC? Otherwise, I would only get the trades of the respective exchange, not the total trading?
Question 3: When running this code, it takes quite long to obtain the data. Is there any faster approach?
data = rd.get_history(universe = RIC, fields = ['TRDPRC_1','TRDVOL_1'],interval='tas',start=start_date,end=end_date)
Thanks everyone!
Best Answer
-
Thank you for reaching out to us.
1. As far as I know, the endpoint doesn't support filtering by prices.
2. To retrieve intraday real-time fields, you need to use RICs. However, the API provides an endpoint to convert tickers to RICs. Please, check the example on GitHub.
3. You can try to use the historical pricing in the content layer. The examples are on GitHub. Yon can use the parallel requests.
1
Answers
-
Thank you!0
Categories
- All Categories
- 6 AHS
- 37 Alpha
- 161 App Studio
- 4 Block Chain
- 4 Bot Platform
- 16 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 367 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 59 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛