error while getting turnover data using get_timeseries

vamsi krishna
vamsi krishna
in Eikon Data APIs

Hi, tried using the below formula to get turnover time series data

import datetime

from dateutil.relativedelta import relativedelta

endDate = datetime.datetime.today()
startDate = endDate - relativedelta(months = 3)

temp = eikon.get_timeseries('BATS.L', fields='VALUE', start_date=startDate, end_date=endDate)

but the result is

BATS.L VALUE
Date
2017-06-28 NaN
2017-06-29 NaN
2017-06-30 NaN
2017-07-03 NaN
2017-07-04 NaN
...
2017-09-21 NaN
2017-09-22 NaN
2017-09-25 NaN
2017-09-26 NaN

[64 rows x 1 columns]

Is there any syntax error or is there any alternate formula which I can use to get the data?

Also Can I get the turnover values in EUR only and I don't need to multiply be any factors.

ex: I need to multiply turnover value by 10^6 in excel to get actual turnover

=TR("BATS.L","TR.TURNOVER*1000000","Frq=D SDate=2017-06-25 EDate=2017-09-25 Curn=EUR CH=Fd")

Tagged:

Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    For eikon.get_timeseries, if you don't specify the fields parameter, all fields will be returned. From the result, there is no "VALUE" field. 

    data = ek.get_timeseries('BATS.L', start_date=startDate, end_date=endDate)

    ...
    BATS.L            HIGH         LOW    OPEN   CLOSE    COUNT      VOLUME
    Date
    2017-06-28  5426.00000  5346.00000  5409.0  5351.0  15958.0   3021602.0
    2017-06-29  5371.00000  5235.00000  5340.0  5235.0  16880.0   3635156.0
    2017-06-30  5280.00000  5189.17539  5235.0  5234.0  15255.0   3621102.0
    2017-07-03  5253.00000  5210.00000  5214.0  5236.0  13974.0   2503098.0
    2017-07-04  5228.00000  5177.00000  5205.0  5177.0   9081.0   2095120.0

    I think that this is why the value of "VALUE" field returns NaN.

    For TR.TURNOVER, you can apply the Eikon Excel formula to Eikon Scripting API. For example, if Eikon Excel formula is:

    =TR("BATS.L","TR.TURNOVER*1000000","Frq=D SDate=2017-06-25 EDate=2017-09-25 Curn=EUR CH=Fd")

    the python code will be:

    data = ek.get_data(
        instruments=['BATS.L'],
        fields = [        
            'TR.TURNOVER*1000000'
        ],
        parameters = {
            'CH' : 'Fd',
            'SDate'  :   '2017-06-25',
            'EDate' : '2017-09-25',
            'Curn' : 'EUR',
            'Frq' : 'D'
        })

    Refer to Data Item Browser app, TR.TURNOVER is the unscaled turnover value (summation of the value of all trades during the market day) for a particular instrument.

    Moreover, I found that the TR function doesn't have a parameter to automatically apply factors to the turnover value as this is market specific. Therefore, Eikon Scripting API is unable to do it too.

Answers

  • pierre.faurel
    pierre.faurel

    TimeSeries service doesn't provide VALUE field but only HIGH, LOW, OPEN, CLOSE, COUNT and VOLUME.

    To check available fields, don't detail field list :

    >>> temp = ek.get_timeseries('BATS.L', start_date=startDate, end_date=endDate)
    >>> temp
    BATS.L            HIGH         LOW    OPEN   CLOSE    COUNT      VOLUME
    Date
    2017-06-28  5426.00000  5346.00000  5409.0  5351.0  15958.0   3021602.0
    2017-06-29  5371.00000  5235.00000  5340.0  5235.0  16880.0   3635156.0
    2017-06-30  5280.00000  5189.17539  5235.0  5234.0  15255.0   3621102.0
    ...                ...         ...     ...     ...      ...         ...
    2017-09-25  4613.50000  4550.00000  4613.5  4585.0  14948.0   3711885.0
    2017-09-26  4655.00000  4508.50000  4595.5  4650.0  23032.0   4485152.0
    2017-09-27  4717.00000  4638.00000  4664.5  4663.5   9135.0   1368120.0
    [65 rows x 6 columns]

    To get Turnover, you have to request on DataGrid service with get_data function:

    >>> temp = eikon.get_data('BATS.L', ['TR.TURNOVER.Date','TR.TURNOVER'], parameters={'SDate': '2017-06-25', 'EDate': '2017-0 9-25'})
    >>> temp
    (   Instrument                  Date     Turnover
    0      BATS.L  2017-06-26T00:00:00Z   134.927570
    1      BATS.L  2017-06-27T00:00:00Z   174.867660
    2      BATS.L  2017-06-28T00:00:00Z   162.414590
    ..        ...                   ...          ...
    62     BATS.L  2017-09-21T00:00:00Z   185.998271
    63     BATS.L  2017-09-22T00:00:00Z   141.654754
    64     BATS.L  2017-09-25T00:00:00Z   170.441317
    [65 rows x 3 columns], None)

    If you want TURNOVER in EUR, add 'curn':'EUR in parameters :

    >>> temp = ek.get_data('BATS.L', ['TR.TURNOVER.Date','TR.TURNOVER'], parameters={'SDate': '2017-06-25', 'EDate': '2017-0
    9-25', 'curn':'EUR'})
    >>> temp
    (   Instrument                  Date   Turnover
    0      BATS.L  2017-06-26T00:00:00Z   1.535270
    1      BATS.L  2017-06-27T00:00:00Z   1.976493
    2      BATS.L  2017-06-28T00:00:00Z   1.845156
    ..        ...                   ...        ...
    62     BATS.L  2017-09-21T00:00:00Z   2.115308
    63     BATS.L  2017-09-22T00:00:00Z   1.598960
    64     BATS.L  2017-09-25T00:00:00Z   1.937354
    [65 rows x 3 columns], None)

    As values are provided in millions, you can also adjust by multiplying turnover value by 10^6:

    >>> temp = ek.get_data('BATS.L', ['TR.TURNOVER.Date','TR.TURNOVER*1000000'], parameters={'SDate': '2017-06-25', 'EDate':
    >>> temp
    (   Instrument                  Date  TR.TURNOVER*1000000
    0      BATS.L  2017-06-26T00:00:00Z         1.535270e+06
    1      BATS.L  2017-06-27T00:00:00Z         1.976493e+06
    2      BATS.L  2017-06-28T00:00:00Z         1.845156e+06
    ..        ...                   ...                  ...
    62     BATS.L  2017-09-21T00:00:00Z         2.115308e+06
    63     BATS.L  2017-09-22T00:00:00Z         1.598960e+06
    64     BATS.L  2017-09-25T00:00:00Z         1.937354e+06
    [65 rows x 3 columns], None)

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