Eikon API Data Coverage

Jayden.Zhang

Hi, I want to know if it is available to extract 5 years 5-minute equity data (volume, price) from Eikon API?

Jirapongse

@Jayden.Zhang

There are several APIs for Eikon.

For this question, I assume that you mean Eikon Data API.

The get_timeseries method in the Eikon Data API doesn't support 5 years or 5-minute intervals. It supports the following intervals.

interval: string
        Data interval.
        Possible values: 'tick', 'minute', 'hour', 'daily', 'weekly', 'monthly', 'quarterly', 'yearly' (Default 'daily')
        Default: 'daily'

Jayden.Zhang

Thanks. One follow up question for tick data. I tried to extract tick data by the following formula as suggested previously. Want to know what the adjustments means?

response = rdp.HistoricalPricing.get_events(universe = 'VOD.L',

start = '2020-10-09T00:00:00.000000000Z',

end = '2020-10-10T23:59:59.999999999Z',

adjustments = [rdp.Adjustments.EXCHANGE_CORRECTION,rdp.Adjustments.MANUAL_CORRECTION])

Jirapongse

@Jayden.Zhang

From the code, you are using Refinitiv Data Platform Libraries. The adjustment has been explained in the https://apidocs.refinitiv.com/.

The supported values of adjustments:

• exchangeCorrection - Apply exchange correction adjustment to historical pricing
• manualCorrection - Apply manual correction adjustment to historical pricing i.e. annotations made by content analysts
• CCH - Apply Capital Change adjustment to historical Pricing due to Corporate Actions e.g. stock split
• CRE - Apply Currency Redenomination adjustment when there is redenomination of currency
• RTS - Apply Reuters TimeSeries adjustment to adjust both historical price and volume
• RPO - Apply Reuters Price Only adjustment to adjust historical price only not volume
• unadjusted - Not apply both exchange/manual correct and CORAX
• qualifiers - Apply price or volume adjustment to historical pricing according to trade/quote qualifier summarization actions e.g. noPrice, noVolume, noPriceAndVolume, noBid, noAsk, noBidAndAsk, outOfSessionIntraday, outOfSessionInterday.

Jayden.Zhang

I tried to search for the used API in API playground but cannot get it. May I have more detailed guidance? And want to know the real meaning and logic for the adjustment

Jayden.Zhang

BTW, how long minute level data is covered? Is there a data coverage document?

Jirapongse

@Jayden.Zhang

You can check the Reference page of the Historical Pricing API for more information.

From the reference page, the data depth available of 1 minute interval (PT1M) is one year.