is it possible to pull in a historical time series of metadata, e.g. 'CONTR_MNTH'?

COFFIN
COFFIN
in Eikon Data APIs

specifically i'm trying to do something like ek.get_timeseries(['S-BRZPAR-B1'],start_date='2005-01-01',fields=['CONTR_MNTH']) where the goal is to view the contract month referenced by 'S-BRZPAR-B1' over time

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    The history for both the delivery month and the basis month for these RICs is available in Excel through RHistory function and through Eikon .NET API. Unfortunately it's not yet available through Eikon Data APIs.

Answers

  • Zhenya Kovalyov
    Zhenya Kovalyov

    S-BRZPAR-B1 is a spot quote and not a futures. The corresponding futures code is Sc1, and you can not get a historic contract month, unfortunately, but you can calculate one from the trading date.

    See this for example.

  • COFFIN
    COFFIN

    the spot quotes implicitly reference a future month period. the description is 'Yellow Soybeans Paranagua Brazil FOB Bid 1' - the '1' references either '1 month ahead', or '1st position', i think, so i'm trying to figure out which it is (same applies to S-BRZPAR-B[2-4].) how do i calculate the reference month from the trading date?

  • COFFIN
    COFFIN

    maybe this is more helpful - if i pull spot metadata (ek.get_data()) on the instruments below for 'CONTR_MNTH' and 'DATE_RANGE', i can see the data i'm looking for. I want to be able to look this data up on a historical basis (which, if it doesn't exist in your api, it definitely should):

    Instrument S-BRZPAR-B1 S-BRZPAR-B2 S-BRZPAR-B3 S-BRZPAR-B4 CONTR_MNTH X X X F
    DATE_RANGE OCT8 NOV8 DEC8 FEB9

  • COFFIN
    COFFIN

    No, he misunderstood my question and never replied to my follow-ups below.

  • COFFIN
    COFFIN

    could you give an example of how to retrieve this with the RHistory function? I installed the excel add-ins and am reading through what i think is the official documentation (http://training.thomsonreuters.com/docs/attachments//shared/eikon_office_quick_start_guide.pdf) but the examples given don't even work

  • Alex Putkov.1
    Alex Putkov.1

    Here's an example:

    =RHistory("S-BRZPAR-B1","NDA_RAW.Nda_date;NDA_RAW.Nda_delivered_in;NDA_RAW.Nda_delivered_out","INTERVAL:1D START:2018-01-01 END:2018-10-24",,"CH:Fd")

    You may want to watch a quick training video titled "Formula Builder - An Introduction" available by clicking Help - Thomson Reuters Eikon - Microsoft Office Help under Thomson Reuters tab in Excel ribbon. In the pop up window select Formula Builder.

  • COFFIN
    COFFIN

    Great, thank you Alex

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