[Urgent] Bad Data Quality when using eikon.get_timeseries

jonabl
jonabl
in Eikon Data APIs

Bad data quality in the dataframe get from eikon.timeseries. Just getting 3 days minute data. A lot of missing data. The first dataframe is requesting from datetime 2018-07-30T14:00:00 - 2018-08-02T14:00:00. The last data row is stopped at 2018-08-02 06:14:00. Lots of missing data makes me frustrated.

eikon version 0.1.13

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  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    @jonabl
    Some of the gaps in the timeseries you see are due to market inactivity. E.g. for WZ8 there were no trades today between 5:50:25 am and 6:02:02 am GMT. The trade at 5:50:25 am is summarized into 5:51 am bar. The trade at 6:02:02 am is summarized into 6:03 am bar. All the one minute intervals between 5:51 am and 6:03 am will not have a bar. See this thread for explanation on how price history is summarized into intraday bars.
    Apart from this it looks like you're hitting the 50K limit on the number of rows returned for intraday intervals by a single get_timeseries request. You need to split your request into several by either breaking the time range into several shorter ranges or by breaking the list of instruments into several shorter lists, or by doing both. The 50K rows limit is shared by all RICs in the same request. So, if you'd like to retrieve 1-minute bars for a 72 hour period (4320 1-minute intervals) the max number of RICs that is safe to use in the request is 11 (50000/4320). It looks like the number of RICs in each of your requests is 62. If you're looking to retrieve 1-minute bars for 62 RICs, then the max time range that is safe to use in the request is 50000/62 minutes or 13 hours and 26 minutes.

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