Request different cut-off for FX pairs.

aquilesjlp300
aquilesjlp300
in Eikon Data APIs

Hello,


If I wanted to request a time-series of AUD= MidPrice at 16 hours, I would do a request like this:


import eikon as ek
ek.set_app_key('xxxxxxxxxxxxxxxxxxxxx')
data = ek.get_data(["AUD16H="], "TR.MIDPRICE")


But what if I wanted to do so for 16.30 hours? Or 15.30 hours? Would something like that be possible?


Thanks in advance for any help you may provide.


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Best Answer

  • Alex.Putkov12
    Alex.Putkov12
    Answer ✓

    @aquilesjlp300

    The example RIC you provided is a snapshot of FX spot rate at 4pm GMT with daily timeseries available. Such snapshots are only available hourly. If you need to know FX spot rate at a given time on a given day, you can use intraday timeseries. E.g.

    rdp.get_historical_price_summaries('AUD=',
                                       interval='PT30M',
                                       start='2021-04-07T15:30',
                                       end='2021-04-07T15:30',
                                       fields=['MID_PRICE'])

    The depth of history available for historical intraday summaries is 1 year. However, if you need daily timeseries of snapshots at say 15:30 GMT, constructing those from intraday timeseries would likely not be practical, as you would either need to request each datapoint separately or retrieve timeseries in say 30 min aggregation and discard all the datapoints you're not interested in.

Answers

  • aquilesjlp300
    aquilesjlp300

    Thank you @Alex Putkov.

    One question though, you're using a method I have not seen for the Python Eikon API (usually through get_data and get_timeseries functions).


    Is rdp another type of service or is it still Eikon's?


  • chavalit-jintamalit
    chavalit-jintamalit admin

    Hi @aquilesjlp300

    You can use this command to install RDP Lib.

    pip install refinitiv.dataplatform


    Then you can import it to your Python code.

    import refinitiv.dataplatform as rdp
    rdp.open_desktop_session('xxxxx')


  • aquilesjlp300
    aquilesjlp300

    Thanks again for your help @chavalit.jintamalit! Also @Alex Putkov., history then for this type of frequency (Intraday) can only go back a year?



    Would it be possible to request a daily time-series in which the only observation a day will have, is going to be on such cut-off? e.g. AUD at 16.30 hours?

    Or necessarily I have to request the full minutely intraday time-series for each day?



  • Alex Putkov.1
    Alex Putkov.1

    Yes, intraday price history available through Eikon only goes back one year for history in 1 minute aggregation and 90 days for full tick history. If you need longer intraday price history, you need Refinitiv Tick History product.
    Using Eikon you cannot retrieve daily timeseries of snapshots of AUDUSD exchange rate taken at 4:30pm each day. The only way to obtain such series using Eikon is to construct them from intraday timeseries, which would require retrieving either full intraday history and discarding all data points except one for each day or retrieving a single point (the price at 4:30pm on a given day) separately for each day (i.e. sending one request per day) and then combining these points into timeseries.
    For info about RDP Library, check out the article titled "Discover our Refinitiv Data Platform Library".

  • aquilesjlp300
    aquilesjlp300

    Thank you guys so much for such clear answers @Alex Putkov. @chavalit.jintamalit

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