ETF data for Issuer, AUM, NAV and other fields
I am currently trying to retrieve two types of data: Static Data and Historical Data. Below is a sample code that I've been working with, but I am having trouble identifying the correct fields to use. I would appreciate your help in correctly adjusting the Select
or Fields
sections.
- For Static Data, I need the following information: ETF Issuer, ETF Inception (Listed) Date, ETF Termination (Delisted) Date.
- For Historical Data, I need the following information: Number of Outstanding Shares, AUM, NAV, Tracking Error, Price, Adjusted Price, Return
- I tried using the fields from a search on the DIB in Refinitiv Workstation, but it didn’t work. Could you guide me on where and how to find the appropriate fields?
Below is my sample code:
# Static Data
rd.open_session(app_key=APP_KEY)
df_nyse = rd.discovery.search(
view = rd.discovery.Views.FUND_QUOTES,
filter = "AssetCategory eq 'ETF' and ExchangeName eq 'New York'",
select = "DocumentTitle,AssetCategory,DTSimpleType,ExchangeName,RIC,IssueISIN",
top = 10000)
print(df_nyse)
---
# Historical Data
rdp.open_platform_session(
APP_KEY,
rdp.GrantPassword(
username = RDP_LOGIN,
password = RDP_PASSWORD
)
)
df_historical = rdp.get_historical_price_summaries(
universe = 'IVV',
interval = rdp.Intervals.DAILY,
fields = ['BID','ASK','OPEN_PRC','HIGH_1','LOW_1','TRDPRC_1','NUM_MOVES','TRNOVR_UNS'],
)
print(df_historical)
Best Answer
-
Hi @lj9967 , For ETFs, it is better to separate the data from exchange and the data from fund management company (Lipper data). For Lipper data, the field name typically starts with "TR.FUND". Below are some sample data fields you mentioned. If no period are specified, the API should return the latest available data.
import refinitiv.data as rd
rd.open_session()
df = rd.get_data(
universe = ['IVV'],
fields = [
'TR.CUSIP',
'TR.FundLaunchDate',
'TR.FundNAV',
'TR.FundTotalNetAsset',
'TR.FundCompany',
'TR.FundTrackingError1Year',
'TR.FundTrackingError5Year',
'TR.FundTrackingError10Year',
]
)
display(df)This gives me the result in Codebook app on Workspace.
InstrumentCUSIPLaunch DateNAVFund CompanyTracking Error for 1 Year to Last Month EndTracking Error for 5 Years to Last Month EndTracking Error for 10 Years to Last Month EndIVV4642872005/15/2000565.408456BlackRock Fund Advisors0.0028630.0019220.002309For Lipper's historical data, you can specify dates. e.g.:
import refinitiv.data as rd
rd.open_session()
df = rd.get_data(
universe = ['IVV'],
fields = ['TR.FundNAV(SDate=20240801, EDate=20240825, Curn=Native)',
'TR.FundNAV(SDate=20240801, EDate=20240825, Curn=Native).date']
)
display(df)Shall give you:
Instrument NAV Date
0 IVV 545.988134 2024-08-01
1 IVV 535.958628 2024-08-02
2 IVV 519.919766 2024-08-05
3 IVV 525.308683 2024-08-06
4 IVV 521.263715 2024-08-07
5 IVV 533.277902 2024-08-08
6 IVV 535.832836 2024-08-09
7 IVV 535.927338 2024-08-12
8 IVV 544.960967 2024-08-13
9 IVV 547.060133 2024-08-14
10 IVV 556.046823 2024-08-15
11 IVV 557.230747 2024-08-16
12 IVV 562.706533 2024-08-19
13 IVV 561.606761 2024-08-20
14 IVV 564.011572 2024-08-21
15 IVV 558.98436 2024-08-22
16 IVV 565.408456 2024-08-230
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