request expired commodity futures with get_data

arndf
arndf
in Eikon Data APIs

The chain ric 0#ATW: provides all futures that haven't expired yet, starting with ATWMJ0 which is still tradable.

I can't seem to find expired futures anywhere, e.g. for the previous month, it should be ATWMH0 but this ric doesn't seem to exist.

How to download e.g. a price history of settlements of already expired futures?

Thanks


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Best Answer

  • marcin.bunkowski
    marcin.bunkowski
    Answer ✓

    Hi @arndf

    You need to modify your RIC a bit to get the expired RIC.
    Assuming you wish to retrieve the March 2020 data, the RIC would begin as normal, (ATWMH0) RIC Root + Month Code + Last digit of year, then add a "^" followed by the decade of the Expiry of the contract --> ATWMH0^2. 

    df,err= ek.get_data('ATWMH0^2', ['TR.SETTLEMENTPRICE.date','TR.SETTLEMENTPRICE'], {'SDate':'-5M', 'EDate':'0D'})
    df


Answers

  • arndf
    arndf

    Thanks Marcin, very helpful. Is there a way to do that for continous chain rics as well, like ATWMc1 for the history?

  • marcin.bunkowski
    marcin.bunkowski

    Hi @arndf,

    The continuous chains have all the RIC codes including expired ones.

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