Python: Can I call a TR Formula inside the function get_timeseries?

aquilesjlp300
aquilesjlp300
in Eikon Data APIs

Hello guys,

I'm trying to get TR.TotalReturn using Eikon Scripting API for Python, but I'd like to minimize the amount of calls I do to the API. So far, using a list of the identifiers helps minimizing the amount of calls. On the other hand, I want daily returns for a given range of dates. And I believe the only function can provide that kind of thing is get_timeseries.

Is it possible to use TR.TotalReturn combined with get_timeseries to acquire returns (or any other TR formula) into a timeseries? I readed the manual, and it doesn't seem to be a way https://developers.thomsonreuters.com/tr-eikon-scripting-apis/python-thin-library-pyeikon#get_timeseries

Do you know if there's any chance of doing it this way?

Thanks for your time!

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Best Answer

  • Jirapongse
    Jirapongse
    Answer ✓

    I am afraid not.

    get_timeseries support the following fields: 'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT'.

    However, you can use Build Formula in Eikon Excel to create a formula to retrieve TR.TotalReturn and then apply it to get_data function.

    For example:

    df = ek.get_data(["AAPL.O", "IBM.N"], 
                     ["TR.TotalReturn.Date","TR.TotalReturn",],
                     {"SDate":"2017-10-23","EDate":"2017-11-29","Frq":"D","CH":"Fd", "RH":"IN"});

    It returns:

    (   Instrument                  Date  Total Return
     0      AAPL.O  2017-11-29T00:00:00Z     -2.074305
     1      AAPL.O  2017-11-28T00:00:00Z     -0.585904
     2      AAPL.O  2017-11-27T00:00:00Z     -0.502943
     3      AAPL.O  2017-11-24T00:00:00Z      0.005716
     4      AAPL.O  2017-11-22T00:00:00Z      1.051172
     5      AAPL.O  2017-11-21T00:00:00Z      1.859042
     6      AAPL.O  2017-11-20T00:00:00Z     -0.099912
     7      AAPL.O  2017-11-17T00:00:00Z     -0.555231
    ...

Answers

  • aquilesjlp300
    aquilesjlp300

    Thanks a lot for your valuable help.

    Is there a way to make the dates appear as column headers and place the corresponding returns in them?

  • Jirapongse
    Jirapongse

    It can return JSON instead of data frame by setting raw_output parameter to True.

    df = ek.get_data(["AAPL.O"], ["TR.Close.Date","TR.CLose",],{"SDate":"2015-08-01","EventType":"ALL", "EDate":"2017-11-20","CH":"Fd","RH":"IN"}, raw_output=True);

    The output is:

    {'columnHeadersCount': 1,
     'data': [['AAPL.O', '2015-08-03T00:00:00Z', 118.44],
    ...
      ['AAPL.O', '2017-11-20T00:00:00Z', 169.98]],
     'headerOrientation': 'horizontal',
     'headers': [[{'displayName': 'Instrument'},
       {'displayName': 'Date', 'field': 'TR.CLOSE.DATE'},
       {'displayName': 'Price Close', 'field': 'TR.CLOSE'}]],
    ...
    }

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