Cannot Match Excel Historical Data Using Python

thomas.goodman

Hi,

I am trying to translate an Excel sheet into Python, but cannot get the same data out.

In Excel if I use the following formula I get the data below:

=RHistory("GBP2Y=","ASK.Close","START:22-Apr-2020:16:10 END:22-Apr-2020:16:20 INTERVAL:1M")

04/22/2020 16:2023.204/22/2020 16:1923.504/22/2020 16:1823.3604/22/2020 16:1723.704/22/2020 16:1623.104/22/2020 16:1523.1604/22/2020 16:1423.1604/22/2020 16:1323.104/22/2020 16:1231.804/22/2020 16:1126.2504/22/2020 16:1022.24

This matches what I see using the GUI:

If I try the comparable formula in Python:

ek.get_timeseries('GBP2Y=', 'ASK.Close', start_date='2020-04-22 16:10:00', end_date='2020-04-22 16:20:00', interval='minute')

I get all NaNs. Same if I try 'BID.Close' as the field.

If I change the Field to '*', i.e. all available fields, I get the following:

This doesn't match at all and doesn't contain bid/ask information.

Do you know how I can get the same data using Python?

Thanks

Alex Putkov.1

@thomas.goodman

I believe you should be able to retrieve the timeseries you're interested in using Refinitiv Data Platform Library for Python. Follow the link above for the overview, then see Quick Start Guide and Historical Pricing examples under RDP Library Examples on Github.

Gurpreet

Hi @thomas.goodman,

Please see a comparable answer here. Essentially, RHistory is a COM API and not same as Eikon timeseries API call. I assume bar generation is not aligned to the exact same time, which is why you are seeing different high/low values etc.

I would ask you to open a content query at MyRefinitiv and talk to a content expert about it.

thomas.goodman

Hi,

Thanks for the answer. Do you know if/when this functionality is going to be included in the Eikon Python package?

Thanks