how to get specific bid/ask at 3pm edt

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in Eikon Data APIs

df, error = ek.get_data('USDSB3L1Y=TWEB', ['TR.ASKPRICE.Date', 'TR.ASKPRICE','TR.BIDPRICE'], parameters={'SDate':'2017-08-01', 'EDate':'2017-08-04'}) ---------------------------------------------------------------------------------- The code above gives me a daily value at close of day. However, I want to be able to get bid/ask at a specific time to synch with European markets ( 3 p.m. EST ). The get_timeseries() function doesn’t support bid/ask and the get_data() function doesn’t have a clear way of getting 3 p.m. EST bid/ask values. I am able to get this value using the Excel RHistory function by picking a daily 1 hour bar ending at 3 p.m. =RHistory(USDSB3L1Y=TWEB, .TIMESTAMP:BID.CLOSE,END: 01Aug17:15:00 NBROWS:1 TIMEZONE:EST INTERVAL:60M) Is there an equivalent call I can make using the get_data Python function? need bid/ask at specific time of 3 pm EDT

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    I'm afraid currently there's no way to achieve what you're looking for using Eikon Data APIs. The only two APIs currently available through Eikon that provide this capability are RHistory COM library, which can only be used in Excel VBA, and Eikon .NET API.

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