call to get_data returns either open interest data or other fields data but not all at the same time

clangevin

I need to retrieve the following options fields for all days in 2020.

The following call to get_data either returns open interests data with NaN in all other columns OR the value of all columns except Open Interst.

Could you please point what I'm doing wrong?

data_temp, err = ek.get_data(instruments = '/TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST',\
                                       'TR.OPENINTEREST.Date',\
                                       'IMP_VOLT',\
                                       'EXPIR_DATE'], 
                             parameters = {'SDate':'2020-01-01','EDate':'2020-10-14'})

chavalit-jintamalit

Hi @clangevin

You can easily use "Data Item Browser" to confirm that the fields do not support timeseries on get_data() API call.

I capture 3 fields for your example:

DSPLY_NAME, PUTCALLIND = do not support timeseries

TR.OPENINTEREST = support time series

chavalit-jintamalit

Hi @clangevin

DSPLY_NAME, PUTCALLIND, STRIKE_PRC, CF_CLOSE, IMP_VOLT and EXPIR_DATE fields are from realtime database. They do no support timeseries data.

TR.OPENINTEREST and TR.OPENINTEREST.Date support timeseries data.

clangevin

@ chavalit.jintamalit Can you check with your colleagues? It makes no sense that

DSPLY_NAME, PUTCALLIND, STRIKE_PRC, CF_CLOSE, IMP_VOLT and EXPIR_DATE

come from realtime data as those are not realtime data by nature.

I should be able to display all of the above along with the open interest data at close each day.

I'm certain this is possible, could you please check further?

clangevin

Thanks, my point was that the nature of the data isn't realtime, why Refinitiv implements it that way is another discussion...

I'll try to see what I can get using 'TR.OPENINTEREST(-1d)' calls.

clangevin

@ chavalit.jintamalit

Running the call to get_data below, as of today (16/10/2020):

data_temp, err = ek.get_data(instruments = 'TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST(-1m)',\
                                       'TR.OPENINTEREST(-1m).Date',\
                                       'EXPIR_DATE'])

Returns:

Why is the date 31/08/2020? That doesn't see to be 1 month ago.

How should I edit the call to get-data above to retrieve open interest for that RIC as of a month ago?

Thanks

clangevin

Actually even the -1d call doesn't return yesterday's value:

data_temp, err = ek.get_data(instruments = 'TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST(-1d)',\
                                       'TR.OPENINTEREST(-1d).Date',\
                                       'EXPIR_DATE'])

Why does it return the 14th of October instead of the 15th?

chavalit-jintamalit

Hi @clangevin

For the -1m, I think the parameter effects the field to be in monthly period.

For -1d, I cannot answer the content behavior related question as I am not a content expert.

If you wish to clarify a specific field with its parameters behavior, you can open a ticket to Refinitiv Content Helpdesk at https://my.refinitiv.com/

The helpdesk can use Eikon Excel to retrieve the same field with parameters and clarify your question.