get_timeseries trading calendar

jason.miller
jason.miller
in Eikon Data APIs

Hi,

I have the below identifiers/descriptions and fields for which i'm trying to pull a 3 year series.


#Identify Tickers/Indices

Ticker1= 'US3MT=RR'

Ticker1_desc = '3M'

Ticker2= 'US6MT=RR'

Ticker2_desc = '6M'

Ticker3= 'US1YT=RR'

Ticker3_desc = '1Y'

Ticker4= 'US2YT=RR'

Ticker4_desc = '2Y'

Ticker5= 'US5YT=RR'

Ticker5_desc = '5Y'

Ticker6= 'US7YT=RR'

Ticker6_desc = '7Y'

Ticker7= 'US10YT=RR'

Ticker7_desc = '10Y'

Ticker8= 'US20YT=RR'

Ticker8_desc = '20Y'

Ticker9= 'US30YT=RR'

Ticker9_desc = '30Y'

Ticker10= 'USBEI1Y=RR'

Ticker10_desc = '1Y_BE'

Ticker11= 'USBEI5Y=RR'

Ticker11_desc = '5Y_BE'

Ticker12= 'USBEI10Y=RR'

Ticker12_desc ='10Y_BE'

Ticker13= 'USBEI20Y=RR'

Ticker13_desc = '20Y_BE'

Ticker14= 'USBEI30Y=RR'

Ticker14_desc = '30Y_BE'


#Identify Fields

Field1 = 'CLOSE'


The example call i'm using is:

Ticker1_df = ek.get_timeseries(Ticker1, start_date=s_date,end_date=e_date,fields=Field1,calendar='tradingdays').rename(columns={"CLOSE": Ticker1_desc})

I combine all of the series' into one combined dataframe and when I downloaded the resultant concatenated dataframe, I noticed two things I wanted to ask about:

1. Why are holidays/weekends included in the series? 2/15/21 (a US holiday) shows up as a row but there are no prices for any vehicle on that day. Same thing for 5/9/21 which was a Sunday. Since I'm trying

2. Why do (on some trading days), the breakeven tickers not display a price? For example, I don't see prices for 3/22/21-3/24/21 for the 5 year breakeven rate (Ticker11 above).

Just want to make sure i'm not doing something wrong before i adjust for these situations within the code itself.

Thanks!

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Best Answer

  • Jirapongse
    Jirapongse admin
    Answer ✓

    @jason.miller

    It is better to verify the data with Eikon chart. If Eikon chart shows the same data, it could be a content question.

    For example, Eikon chart doesn't show prices on 3/22/21-3/24/21 for USBEI5Y=RR.

    image

    It shows the N/A value for Last for USBEI5Y=RR.

    image

    For these questions, please directly contact the content support team via MyRefinifiv to verify the problem.

Answers

  • jason.miller
    jason.miller

    Ok, I'll reach out to the help desk regarding the content. Regarding question #1, do you have any idea why holidays/weekends are showing up in the data series even though i used the 'tradingdays' argument?

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