get more data field on tick data of ek.get_timeseries()?

renee.yao
renee.yao
in Eikon Data APIs

Hi,

I am using

ek.get_timeseries(['AAPL.O'],interval='tick',start_date='2018-05-08T13:35:01',end_date='2018-05-08T13:40:01')

which will return every trade with price and volume, is there way to get more data field for each trade, say exchange code or condition code?

Thanks a lot.

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    Not today. At the moment the only two APIs that can provide the full breadth of price history timeseries data available through RHistory Excel function are RHistory COM library, which can only be used in Excel VBA, and Eikon .NET API.

Answers

  • renee.yao
    renee.yao

    Bummer. But thank you still for the quick reply, Alex.

  • renee.yao
    renee.yao

    Hi Alex,

    I encountered some inconsistency issue with tick time series,

    ek.get_timeseries(['URBN.O'],interval='tick',start_date='2018-05-16T14:45:01',end_date='2018-05-16T14:50:01') contains a trade:

    2018-05-16 14:48:09.984 41.700 126900.0

    But this does not appear in the Eikon Desktop Time&Sales App. Also there are other trades that appears in Time&Sales App but not in the results of ek.get_timeseries. I wonder what is the criterion for selection of trades(odd lot, block trade, etc) returned by the api?

  • Alex Putkov.1
    Alex Putkov.1

    Time & Sales app by default filters out certain trade flags. If you clear all filters in the Trade Flags column you'll see this trade displayed in Time & Sales app.
    As for trades visible in Time & Sales app but not returned by get_timeseries method, I don't see any examples of that. Can you point me to one?

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