Time And Sales in Python: select fields to retrieve

emmanuel.godet
emmanuel.godet
in Eikon Data APIs

Hi, I am trying to pull trades for MiFID RICs. I wrote:

df = ek.get_timeseries(["DE0001102408=TWEA"],
interval = 'tick',
start_date="2018-06-01",
end_date="2018-06-30")

THis retrieves trade datetime, value and volume.

Can someone tell how to retrieve publication time, trade id, trade flags, etc.?

Cheers,

Emmanuel

Tagged:

Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov
    Answer ✓

    this data is not present in the tick interval views, but rather time and sales (TAS) which is not currently supported.

Answers

  • Alex Putkov.1
    Alex Putkov.1

    @emmanuel.godet
    The only two APIs currently available through Eikon that provide the capability to retrieve the data you're after are RHistory COM library, which can only be used in Excel VBA, and Eikon .NET API.

  • emmanuel.godet
    emmanuel.godet

    Thanks both of you. Is the permissioning of the calling python app, which uses a key I created with my Eikon account, will be the same as when I use Eikon? (I could probably experiment a bit, but you can probably answer my question quicker:))

  • Alex Putkov.1
    Alex Putkov.1

    If you're asking about data entitlements, the answer is yes. Since Eikon APIs retrieve data from Eikon platform, the same data entitlements are enforced as when you use Eikon application or Eikon Excel.

Categories