Data values are different for 'tick' and 'minute' time-series requests

igorg
igorg
in Eikon Data APIs 
>>> dataFrame = ek.get_timeseries(rics=["AMXL.MX"], start_date="2018-12-11 21:00:00", end_date="2018-12-11 21:10:00", interval="tick", normalize=False)
>>> dataFrame
AMXL.MX                  VALUE     VOLUME
Date
2018-12-11 21:00:01.096    NaN   326400.0
2018-12-11 21:00:01.096    NaN   193800.0
2018-12-11 21:00:01.096    NaN   413800.0
2018-12-11 21:00:01.096    NaN      600.0
2018-12-11 21:00:01.096    NaN   934000.0
2018-12-11 21:00:01.096    NaN    65400.0
2018-12-11 21:00:01.096    NaN   855100.0
2018-12-11 21:00:01.096    NaN   855000.0
2018-12-11 21:00:01.096    NaN      100.0
2018-12-11 21:00:01.096    NaN   855000.0
2018-12-11 21:00:01.096    NaN   100500.0
2018-12-11 21:00:01.096    NaN   248144.0
2018-12-11 21:00:01.096    NaN    84700.0
2018-12-11 21:00:01.096    NaN   625356.0
2018-12-11 21:00:01.096    NaN  1054644.0
>>> dataFrame = ek.get_timeseries(rics=["AMXL.MX"], start_date="2018-12-11 21:00:00", end_date="2018-12-11 21:10:00", interval="minute", normalize=False)
>>> dataFrame
AMXL.MX               HIGH    LOW   OPEN  CLOSE  COUNT    VOLUME
Date
2018-12-11 21:00:00  13.85  13.81  13.83  13.82   83.0  299274.0
>>>

The sum of Volume field values for 'tick' request is 6612544. But in 'minute' it's 299274.

Shouldn't they be the same?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    No, they shouldn't. The one minute interval timestamped at 21:00:00 is the minute that ends at 21:00:00, i.e. the 60 seconds between 20:59:00 and 21:00:00. The tick data in your example falls into the next one minute interval: the one that ends and is timestamped at 21:01:00. That latter one minute interval is not returned when you ask for 1 minute timeseries because it falls outside of the trading session. I'm not sure what the volume after 9pm GMT refers to. There's no price associated with it. Perhaps it's related to a closing auction? I'm afraid I'm not an expert on the trading rules for Bolsa Mexicana. If you need to find out how to interpret this data the best resource is Refinitiv Helpdesk.

Answers

  • igorg
    igorg

    @Alex Putkov.

    We contacted that exchange with the question how to collect Closing Auction volume. So they told us that all trades between 21:00:00 and 21:05:00 (I don't remember exact time). So we collect all the ticks and calculate the summary. So I decided to check what if I collect 'minute' intervals for that period. It will return less rows with the same result.. I thought. So why is the data not available with minutes/hours intervals? Refinitiv Helpdesk?

  • igorg
    igorg

    I checked the ticks between 20:59:00 and 21:00:00.. The sum of Volume also does not match to 'minute' volume.

  • Alex Putkov.1
    Alex Putkov.1

    I just did the same and the sum of the volume for all ticks between 20:59:00 and 21:00:00 came to 299274, the same as the volume for 1 minute interval timestamped 21:00:00.

  • Alex Putkov.1
    Alex Putkov.1

    Yes, if you need an explanation how the closing auction volume is represented in the timeseries and why it is not shown in 1 minute summarization, the best resource is Refinitiv Helpdesk.

  • igorg
    igorg

    I'm sorry, I did it for wrong date.

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