Data mismatch from eikon.get_data with parameter Frq=AM

oalexandere

Hello there. Here is a simple request for dividend yeild

params = {'Frq': 'AM', 'SDate': '2008-01-01', 'EDate': '2018-02-28'}
req, err = ek.get_data(instruments=['SCHN.PA'],
                       fields=['TR.DividendYield.calcdate', 'TR.DividendYield'],
                       parameters=params)

It's returns:

    Instrument   Calc Date  Dividend yield
0      SCHN.PA  2008-01-01        4.087193
1      SCHN.PA  2008-02-01        4.809794
2      SCHN.PA  2008-03-01        4.620554
...

115    SCHN.PA  2017-08-01        0.000000
116    SCHN.PA  2017-09-01        0.000000
117    SCHN.PA  2017-10-01             NaN
118    SCHN.PA  2017-11-01             NaN
119    SCHN.PA  2017-12-01             NaN
120    SCHN.PA  2018-01-01             NaN
121    SCHN.PA  2018-02-01             NaN

But if requesting in excel same data using formula:

=TR("SCHN.PA";"TR.DividendYield";"SDate=2008-01-01 EDate=2018-02-28 CH=Fd Frq=AM RH=calcdate NULL=blank";C4)

It returns next:

Updated at 09:37:35	
	Dividend yield
01.01.2008	
01.02.2008	
01.03.2008	
01.04.2008	
01.05.2008	
01.06.2008	4.08719346
01.07.2008	4.809794491
...
01.05.2017	2.813793103
01.06.2017	2.975495916
01.07.2017	0
01.08.2017	0
01.09.2017	0
01.10.2017	0
01.11.2017	0
01.12.2017	0
01.01.2018	0
01.02.2018	0

It's look like as mismatch data using python and excel. NaN values in variable req should be in the begining of the variable. Why this python request returns that?

Jirapongse

It is a known bug that the API doesn't handle NULL data properly. The NULL data is replaced with the next available data which causes the data is shifted upward.

The date for a fix is not fully committed yet, but it should be before end of April 2018.

Please refer to these questions:

• Corporate Action Adjustment Factor Missing Data Bug Eikon API
• EIKON API: Incorrect output when start_date is before first trade date

Alex Putkov.1

The issue is fixed as of 30-Apr-18.