Cannot reproduce in Python retrieval of historic corp bond data

grigorios.mamalis
grigorios.mamalis
in Eikon Data APIs

Hi, I tried to reproduce in Python (3.7) a calculation I ran in Excel but in Python I get no results: 


lstAttrs = ['NDA_RAW.Nda_date','NDA_RAW.Nda_z_spread','NDA_RAW.Nda_asset_swap_spread','NDA_RAW.Nda_ask_yield','NDA_RAW.Nda_ask_yield','NDA_RAW.Nda_bid_yield','NDA_RAW.Nda_mid_yield']
myRic = "GBBHLGTW0="
df = ek.get_timeseries(myRic,fields = lstAttrs,start_date= '2020-11-01',end_date = '2021-04-07', interval= 'daily')


df Out[23]:

Out[23]:

GBBHLGTW0= NDA_RAW.NDA_DATE ... NDA_RAW.NDA_MID_YIELD

Date ...

2020-11-02 <NA> ... <NA>

2020-11-03 <NA> ... <NA>

2020-11-04 <NA> ... <NA>

2020-11-05 <NA> ... <NA>

2020-11-06 <NA> ... <NA>

... ... ... ...

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Best Answer

  • Jirapongse
    Jirapongse admin
    Answer ✓

    @grigorios.mamalis

    The get_timeseries method of the Eikon Data API can't provide NDA_RAW data.

    To retrieve that data, you may need to use the RDP library instead.

    import refinitiv.dataplatform as rdp
    rdp.open_desktop_session('<app key>')
    response = rdp.HistoricalPricing.get_summaries('GBBHLGTW0=', fields=['ZSPREAD','AST_SWPSPD','A_YLD_1','B_YLD_1','MID_YLD_1'])

    display(response.data.df)

    image

    For more information, please refer to Getting Started with Python.

Answers

  • Marek.Kotwica
    Marek.Kotwica

    Hi Grigorios!


    thank you for raising it. NDA is Refinitiv internal Database used mainly to support historical data. In Eikon Desktop NDA is a source for applications like Chart or Eikon Excel Rhistory function. Fields NDA_RAW are showing exact fields, which are supported for specific ISIN/RIC in NDA database, but this data model is considered legacy and not supported in modern API's.

    image

    I have asked a specialist in my team to take over a ticket 09788593 which was raised on your behalf (communication form customersupport@refinitiv.com) and advise further regarding possibilities to obtain historical pricing of bonds in our API's.


    thank you

    Marek

  • grigorios.mamalis
    grigorios.mamalis

    Hi, many thanks to both of you. I also tried the rdp version and worked as a charm.

    Best regards, Grigoros

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