Get settle price using get_timeseries

leiy
leiy
in Eikon Data APIs

I am using get_timeseries to collect the historical settle price of Futures. According to the collected observations and the talk with Reuters support team, the close price collected via get_timeseries is the last trade price of Futures, not the settle price. Is there an approach that i can retrieve the settle price of Futures historically?

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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov
    Answer ✓

    @leiy you can get some time series from the reference database. This gives you the settlement date for the last three months:

    df, e = ek.get_data('EDc1', ['TR.SettlementPrice.date', 'TR.SettlementPrice.value'],{'SDate':'0D', 'EDate':'-3AM'})

Answers

  • leiy
    leiy

    Thanks for the suggestion. Can you please explain a little on the meaning of the parameters SDate and Edate?

  • Alex Putkov.1
    Alex Putkov.1

    These are the parameters that define the time range for the timeseries request. For the format of these parameters see this thread.
    You may also want to look at this tutorial that talks at length about generic metadata discovery, i.e. how you search for field names and parameters you can use in get_data method.

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