How to get tick data for brent spread?

Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    CL-LCO1=R is not an exchange traded instrument. For this reason there are no TAS for it. However it's also true that at this time even for exchange traded instruments you cannot get full TAS record using Eikon Data APIs. The most you can get using Eikon Data APIs for exchange traded instruments at the moment is the timeseries of trade price and volume. And the only way at the moment to programmatically retrieve from Eikon full TAS that you can see in Time & Sales app in Eikon application is by using either Eikon .NET API or RHistory library of Eikon COM APIs. The latter can only be used in Excel VBA.

Answers

  • Alex Putkov.1
    Alex Putkov.1

    1. Find the RIC for the data you're interested in.
    2. Use get_timeseries method to retrieve tick data.
    E.g. the following call retrieves the latest 50K ticks for the front month WTI vs. Brent spread:

    ek.get_timeseries('CL-LCO1=R',interval='tick')
  • karthik.reddy
    karthik.reddy

    Thanks @Alex Putkov.: To be more accurate, I am looking for TAS data for brent. ek.get_timeseries('CL-LCO1=R',interval='tick') gives timestamp and price but nothing else.

Categories