pull equities 1 minute bar data with Python

gyuwa

As I'm new to this community, please allow me to post a basic question.

I'm trying to download equities 1 minute bar data with Python.

With Excel, we can do it with RHistory formula by setting start time and INTERVAL:1M.

=RHistory("6501.T","ASK.Close","START:2019-02-27:13:25 ADJUSTED:NO TIMEZONE:TOK INTERVAL:1M NBROWS:1",,,)

Is it impossible to do with Python?

chavalit-jintamalit

Hi @gyuwa

Here is the document.

Here is the sample code: (Replace your app key to a valid app key)

import eikon as ek
ek.set_app_key('xxxxxxxxxxxxxxxx')
ek.get_timeseries(['6501.T'],interval='minute',fields='CLOSE',start_date='2019-02-27T13:25:00',end_date='2019-02-28T13:25:00')

Here is the sample result:

6501.T                CLOSE
Date                       
2019-02-28 00:01:00  3405.0
2019-02-28 00:02:00  3399.0
2019-02-28 00:03:00  3390.0
...
...
...
2019-02-28 05:59:00  3345.0
2019-02-28 06:00:00  3333.0
2019-02-28 06:01:00  3335.0

gyuwa

Hi Chavalit,

Thank you very much for your reply. Seems like it's impossible to pull best bid/ask prices with 1 minute bar data?

chavalit-jintamalit

TimeSeries only supports these fields:

'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT'

So no, you cannot retrieve best bid/ask.