Historical intraday bid ask in Eikon Excel

Philip
Philip
in Eikon Data APIs

Is it possible to pull historical bid ask prices for Microsoft, for the past 1 year, during regular trading hours only, at 5 min intervals?

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  • zoya faberov
    zoya faberov
    Answer ✓

    Hello @philipr,

    For Excel usage questions, for a customer, the best approach is to refer your questions directly to Refinitiv Helpdesk Online -> Eikon, so you can be connected with and helped by Eikon Excel expert. This forum is the way to reserch answers on APIs, this section is dedicated to EDAPI Python.

Answers

  • jason.ramchandani01
    jason.ramchandani01

    @philipr I believe it would be possible using the rhistory function in excel - please see the following thread. I am not however sure if that can specify normal market session only.

    You can certainly achieve this with our RDP Historical Pricing API:

    rdp.get_historical_price_summaries(
        universe = 'MSFT.O', 
        interval = rdp.Intervals.FIVE_MINUTES, # Supported intervals: ONE_MINUTE, FIVE_MINUTES, TEN_MINUTES, THIRTY_MINUTES, ONE_HOUR
        count = 500,
        sessions = [
            #rdp.MarketSession.PRE, 
            rdp.MarketSession.NORMAL 
            #rdp.MarketSession.POST
        ]
    )  

    However unfortunately at the moment there is an issue with this endpoint which means it returns minute intervals only (though its easy to resample this in python.). I hope this can help.

  • Philip
    Philip

    Both would be great, but ideally Excel.

  • Philip
    Philip

    both would be great, but ideally excel

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