Cumulative volume and Open Interest of futures
I'd like to download cumulative volume and Open Interest (i.e. across all the maturities) for LCO, CL, RB , HO and LGO futures and the respective exchange traded pairs. I know that for LCO and LGO there are the rics LCOTOT and LGOTOT exactly for that purpose, but I'd like to find a way to download :
1) Cumulative volume for:
- HO
- RB
- CL
- all the pairs (e.g. LCOc1-LCOc2 + LCOc2-LCOc3 + etc..)
2) Cumulative Open Interest for:
- HO
- RB
-CL
- all the pairs (e.g. LCOc1-LCOc2 + LCOc2-LCOc3 + etc..)
thank you very much
Best Answer
-
For futures you can always try to add suffix "TOT" to the RIC root to check whether there are RIC codes with that summarization:
ek.get_data(['HOTOT','RBTOT','CLTOT'],['OPINT_1','HST_VOL'])
For future spread RICs we don't have them but you can easily do the summary in pandas. However it seems that there is only volume for those contracts available.
df, e = ek.get_data('0#LCO-:','ACVOL_1')
df['ACVOL_1'].sum()0
Answers
-
Please directly contact the Eikon support team via MyRefinitiv and ask for the formula (=TR) that can be used in the Eikon Excel to get the required data.
If the formula is available, it can be applied to the get_data method in the Eikon Data API to retrieve the same data.
Otherwise, you can use the Data Item Browser tool to find the required data. To use the Data Item Browser, please refer to this article.
0
Categories
- All Categories
- 6 AHS
- 39 Alpha
- 162 App Studio
- 4 Block Chain
- 5 Bot Platform
- 17 Connected Risk APIs
- 47 Data Fusion
- 30 Data Model Discovery
- 608 Datastream
- 1.3K DSS
- 577 Eikon COM
- 4.9K Eikon Data APIs
- 7 Electronic Trading
- Generic FIX
- 7 Local Bank Node API
- Trading API
- 2.7K Elektron
- 1.3K EMA
- 236 ETA
- 519 WebSocket API
- 33 FX Venues
- 10 FX Market Data
- 1 FX Post Trade
- 1 FX Trading - Matching
- 12 FX Trading – RFQ Maker
- 5 Intelligent Tagging
- 2 Legal One
- 20 Messenger Bot
- 2 Messenger Side by Side
- 9 ONESOURCE
- 7 Indirect Tax
- 59 Open Calais
- 264 Open PermID
- 39 Entity Search
- 2 Org ID
- PAM
- PAM - Logging
- 8.4K Private Comments
- 6 Product Insight
- Project Tracking
- ProView
- ProView Internal
- 20 RDMS
- 1.4K Refinitiv Data Platform
- 370 Refinitiv Data Platform Libraries
- 3 Refinitiv Due Diligence
- LSEG Due Diligence Portal API
- 3 Refinitiv Due Dilligence Centre
- Rose's Space
- 1.1K Screening
- 18 Qual-ID API
- 13 Screening Deployed
- 23 Screening Online
- 10 World-Check Customer Risk Screener
- 990 World-Check One
- 44 World-Check One Zero Footprint
- 45 Side by Side Integration API
- Test Space
- 3 Thomson One Smart
- 1.2K TR Internal
- Global Hackathon 2015
- 2 Specialists Who Code
- 10 TR Knowledge Graph
- 150 Transactions
- 142 REDI API
- 1.7K TREP APIs
- 4 CAT
- 21 DACS Station
- 117 Open DACS
- 1.1K RFA
- 103 UPA
- 172 TREP Infrastructure
- 224 TRKD
- 886 TRTH
- 5 Velocity Analytics
- 5 Wealth Management Web Services
- 60 Workspace SDK
- 9 Element Framework
- 5 Grid
- 13 World-Check Data File
- Yield Book Analytics
- 46 中文论坛