get_timeseries returns full DataFrame when queried for holidays

loic.guezennec
loic.guezennec
in Eikon Data APIs 
Hello,

First of all, thanks a lot for this API that is helping us a lot in our daily work.

We are using the get_timeseries to retrieve historical closing prices for different products, and we stumbled upon a weird behaviour.

When we query the method with a start_date and end_date which are holidays (week-ends or official closed days), we get a lot of results instead of an empty Dataframe.

For example :

> python
Python 3.5.2 (v3.5.2:4def2a2901a5, Jun 25 2016, 22:01:18) [MSC v.1900 32 bit (Intel)] on win32
Type "help", "copyright", "credits" or "license" for more information.
>>> import eikon as ek
>>> import datetime as dt
>>> ek.set_app_id('TRUNCATED')
>>> ek.get_timeseries('UEN.L', start_date=dt.datetime(year=2017,month=1,day=1), end_date=dt.datetime(year=2017,month=1,day=2))
UEN.L          HIGH      LOW   CLOSE    OPEN  COUNT     VOLUME
Date
2006-02-21  7750.00  7700.00  7700.0  7750.0   -1.0   10551.30
2006-02-22  7700.00  7400.00  7550.0  7700.0   -1.0   10163.20
2006-02-23  7550.00  7550.00  7550.0  7550.0   -1.0    2772.00
2006-02-24  7550.00  7550.00  7550.0  7550.0   -1.0     908.55
2006-02-27  7800.00  7550.00  7800.0  7550.0   -1.0    5851.05
[...]
2018-01-03    60.00    58.20    60.0    60.0    2.0    7600.00
2018-01-04      NaN      NaN     NaN    60.0   -1.0        NaN

As you can see, we receive a full DataFrame of 3000 rows, which I guess is the max results you can provide in one call.

Changing the end_date with a date that is not a holiday gives us the expected result :

>>> ek.get_timeseries('UEN.L', start_date=dt.datetime(year=2017,month=1,day=1), end_date=dt.datetime(year=2017,month=1,day=3))
UEN.L        HIGH   LOW  CLOSE  OPEN  COUNT   VOLUME
Date
2017-01-03  73.88  64.0   67.5  65.0    7.0  12893.3

Doing the same calls with strings instead of datetime gives the same results.

Is it an expected behaviour on your side ?


Thanks in advance,


Grégoire Bärtschi

Tagged:

Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov
    Answer ✓

    Hi Gregoire! This is a bug with an underlying time series service, thanks for reporting it.

Answers

  • algirdas.grybas
    algirdas.grybas

    Hi @Zhenya Kovalyov, I think I ran into a similar issue: when querying for time ranges when the series has no data, an entire time series is returned:

    >>> df = ek.get_timeseries(['ROGV1YDP=SM'], ['VALUE'], start_date='1980-01-01', end_date='1980-01-10')
    >>> df.head()
    ROGV1YDP=SM      VALUE
    Date                  
    2010-01-31    4.794667
    2010-02-28    4.959043
    2010-03-31   14.834607
    2010-04-30   12.778536
    2010-05-31   12.649895
    >>> df.tail()
    ROGV1YDP=SM     VALUE
    Date                 
    2018-01-19   0.887557
    2018-01-22   0.887162
    2018-01-23   0.887162
    2018-01-24   0.838863
    2018-01-25   0.838449

    Do you have a timeline when this bug will be fixed? It would be much appreciated!

    Thanks,
    Algirdas

  • pierre.faurel
    pierre.faurel

    I just tested again both examples and it seems that the issue was fixed.

    First example:

    >>> import eikon as ek
    >>> ek.set_app_key(‘xxxxxxxxxxxxxxxxx’)
    >>> import datetime as dt
    >>> ts=ek.get_timeseries('UEN.L', start_date=dt.datetime(year=2017,month=1,day=1), end_date=dt.datetime(year=2017,month=1,day=2))
    Error with UEN.L: No data available for the requested date range
    UEN.L: No data available for the requested date range |
    Traceback (most recent call last):
      File "<stdin>", line 1, in <module>
      File "C:\Python36\lib\site-packages\eikon\time_series.py", line 184, in
    get_timeseries
        raise EikonError('Error', message=ts_error_messages)
    eikon.eikonError.EikonError: 'Error code Error | UEN.L: No data available for the requested date range |  '

    Second example:

    >>> df = ek.get_timeseries(['ROGV1YDP=SM'], ['VALUE'], start_date='1980-01-01', end_date='1980-01-10')
    Error with ROGV1YDP=SM: No data available for the requested date range
    ROGV1YDP=SM: No data available for the requested date range |
    Traceback (most recent call last):
      File "<stdin>", line 1, in <module>
      File "C:\Python36\lib\site-packages\eikon\time_series.py", line 184, in
    get_timeseries
        raise EikonError('Error', message=ts_error_messages)
    eikon.eikonError.EikonError: 'Error code Error | ROGV1YDP=SM: No data available for the requested date range |  '
  • Olivier DAVANT
    Olivier DAVANT

    Hi @Zhenya Kovalyov, Hi @loic.guezennec,

    In case you did not notice it yet, this issue has been fixed in the Eikon time series service in May 2018.

    Olivie

Categories