Time series with get_data

emmanuel.chaslin
emmanuel.chaslin
in Eikon Data APIs

Hello,


I am using the below formula that gives me a data frame with historic values of the attached parameters, between two dates, for a list of rics. What FIELDS should I use to obtain CLOSING PRICE and VOLUMES?


Where should I lookg for the appropriate fields for the get_data formula ? I tried TR.Volume, TR.PriceClose, but I get only "na"


df_1,e = ek.get_data(list_rics,['TR.OPENINTEREST.Date','TR.OPENINTEREST'], {'SDate':fst_dt,'EDate':lst_dt})

Thanks in advance.

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Best Answer

  • jason.ramchandani01
    jason.ramchandani01
    Answer ✓

    @emmanuel.chaslin - unfortunately that rdp function is only single ric - a multi-ric endpoint is coming soon. I had another look at the instrument and have come up with the following:

    df_1,e = ek.get_data('1SB1200P1',['TR.OPENINTEREST.Date','TR.AccumulatedVolume','TR.ClosePrice','TR.SettlementPrice',
                                      'TR.OPENINTEREST'],
                        {'SDate':'2020-12-01', 'EDate': '0', 'Frq':'D'})
    df_1

    This gets all your fields - so the volume field for derivatives is 'TR.AccumulatedVolume' and instead of using TR.PriceClose i used TR.ClosePrice and it worked fine. I hope this can help.

Answers

  • jason.ramchandani01
    jason.ramchandani01

    @emmanuel.chaslin please can you give me an example of a RIC that you would use. ALso please be aware you can launch the Data Item Browser app (type DIB into eikon search bar) where you can type in any RIC and it will allow you to search for a term such as Volume and get back a list of field options and their accompanying values - which can quickly help you zero in on what you need. I hope this can help.

  • emmanuel.chaslin
    emmanuel.chaslin

    Thanks Jason,


    Can you please tell me what field I should use for obtaining historical volume with a get_data formula ? Using below ric example?


    1SB1200P1
  • jason.ramchandani01
    jason.ramchandani01

    @emmanuel.chaslin for this task I would use our RDP library - please see the following code:

    import refinitiv.dataplatform as rdp
    session = rdp.open_desktop_session('YOUR APP KEY HERE')

    df1 = rdp.get_historical_price_summaries(universe = "1SB1200P1",
                                             interval = rdp.Intervals.DAILY,
                                             count=500)

    df1

    image

    As this is an option you should use the official settlement price (SETTLE) as the closing price and volume is (ACVOL_UNS). You can find out more about the RDP libraries here. I hope this can help.

  • emmanuel.chaslin
    emmanuel.chaslin

    Thansk Jason,


    Can I use this with a list of rics? I want to do that for more than one option.


    Why isnt "get_data" appropriate in this case?

  • emmanuel.chaslin
    emmanuel.chaslin

    Dear Jason, thanks a lot it works well as below:

    df_1,e = ek.get_data(list_rics,['TR.SettlementPrice.date','TR.AccumulatedVolume','TR.SettlementPrice'], {'SDate':fst_dt,'EDate':lst_dt})


    Can I push and add one more question ? do you think it would be possible to have the settlement of the main options greeks (Delta, Gamma, Vega, Theta would be nice)? Thanks in advance.

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