How to get historical future data with python api?

laturnus
laturnus
in Eikon Data APIs

I would like to get historical price, open interest and volume from Eurex futures, however, ek.get_timeseries() is not working and e.get_data() gives me only the values of the day, altough I have specified sdate and edate:


df, err = ek.get_data('VOWG_p2Q1',

['CF_DATE', 'CF_CLOSE','SETTLE'],

{'SDate': 0, 'EDate': -15, 'Frq':'D' })


How can I retrieve the data?

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Best Answer

  • pierre.faurel
    pierre.faurel
    Answer ✓

    {'SDate': 0, 'EDate': -15, 'Frq':'D' } should be replaced by {'SDate': -15, 'EDate': 0, 'Frq':'D' }

    And CLOSE field is a relatime data. You have to request TR.CLOSEPRICE to get historical.

    But it seems that historical price for Eurex futures isn't available.
    I requested timeserie in EXCEL and I got NULL value :

    image

Answers

  • marcin.bunkowski
    marcin.bunkowski

    Hi @laturnus

    To get the timeseries of settlement prices please try this:

    ek.get_data('VOWG_p2Q1',['TR.SETTLEMENTPRICE.date','TR.SETTLEMENTPRICE'],{'SDate':-15, 'EDate':0, 'Frq':'D' })

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