How can I repeat the data for last trading day
I have a need where I am select the price data for last 2 days. The issue is that when the previous day is a non-business day, it generates a dataframe with just one row instead of 2 rows when the previous day is a business day.
eikon.get_timeseries('PRCM.NS', start_date=datetime.datetime(2016,8,21),end_date=datetime.datetime(2016,8,22), fields='CLOSE', ,calendar='calenderdays')
When I submit this request I get
PRCM.NS CLOSE
Date
2016-08-22 145.0
I want it to show
PRCM.NS CLOSE
Date
2016-08-21 146.1 (which is the data for last business day)
2016-08-22 145.0
The actual data is
PRCM.NS CLOSE
Date
2016-08-19 146.1
2016-08-22 145.0
So basically, in case the first day is a non-business day, I want the data from the last business day to be used.
How can I do it ?
Best Answer
-
Hi @abanerj1
You can try with:
df, err = ek.get_data(['GRUH.NS'], ['TR.CLOSEPRICE.date','TR.CLOSEPRICE(Adjusted=0)'], {'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq':'C', 'FILL':'PREVIOUS' }) df
1
Answers
-
@abanerj1 Eikon API does not provide you with this functionality, use pandas:
from pandas.tseries.offsets import BDay
end_date = datetime.datetime(2016,8,22) - BDay(1)0 -
You can also do it using data cloud fields with TR. prefix like below, setting up frequency to C which is calendar days:
df, err = ek.get_data(['PRCM.NS'],
['TR.PriceClose.date','TR.PriceClose'],
{'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq':'C' })
df0 -
When I try with the following - given I want to use unadjusted price
eikon.get_data(['GRUH.NS'],['TR.OFFICIALCLOSEPRICE.date','TR.OFFICIALCLOSEPRICE'],{'SDate': '2016-08-21', 'EDate': '2016-08-22', 'Frq': 'C', 'Adjusted': '0'})
It does not work
I get
( Instrument Date Official Close Price
0 GRUH.NS 2016-08-21T00:00:00Z NaN
1 GRUH.NS 2016-08-22T00:00:00Z 310.85, None)
0 -
I somehow need to get Freq C and Unadjusted price working together. Is that possible ?
0 -
Thanks !
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