Is there any time series objects for moving average?

aryer
aryer
in Eikon Data APIs

We are looking for Moving Average time series objects which can return data on a historical date like 12/31/2018, as opposed to only current data. And we should be able to get that data through API.

For example, we want to find the value of the 20-day moving average of AAPL on 12/31/2018.

Is this doable? Thank you!

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    Sure this is doable, and there's more than one way to go about this. Here's one way.

    import datetime as dt
    import eikon as ek
    ...
    edate = dt.date(2018,12,31)
    sdate = edate + dt.timedelta(days=-20)
    df, err = ek.get_data('AAPL.O',['TR.PriceClose'],
                          {'SDate':str(sdate), 'EDate':str(edate)})
    ma = df['Price Close'].mean()

Answers

  • aryer
    aryer

    Sorry I need to clarify a little bit: I am looking at the "TR.PriceAvg10D" field on the Eikon terminal, and trying to get the data on a historical date like 12/31/2018, as opposed to only current data. I don't mean to pull all historical data out and using python to process it. Is there a way to do it?

    Thanks!

  • nick.zincone
    nick.zincone

    Hi @aryer,

    The 'TR.PriceAvg10D' is a convenience field that calculates average daily price close over the most recent 10 trading day. I don't believe the servers keep track of every rolling window of average daily prices based on date. I believe if you want to go back in time, you will have to perform the calculation as @Alex Putkov. suggested.

  • Alex Putkov.1
    Alex Putkov.1

    @aryer
    There's no history available for TR.PriceAvg10D field. To see how you can tell if a field has history in Eikon take a look at the answer on this thread.

  • Kirill.Sharikhin
    Kirill.Sharikhin

    @aryer

    or you can use ADC to calculate it for you:

    import datetime as dt
    import eikon as ek
    ...
    edate = dt.date(2018,12,31)
    sdate = edate + dt.timedelta(days=-20)
    df, err = ek.get_data('AAPL.O',['AVG(TR.PriceClose)'],
                          {'SDate':str(sdate), 'EDate':str(edate)})

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