Eikon Data API - historical option data per minutes (get time series on option data)

vps_2021
vps_2021
in Eikon Data APIs

Hi, I am working on retrieve option historical data similar to what get time series function returns. Is there any way to do that?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    @vps_2021

    I'm afraid some of the timeseries data you're interested in is not available. To see what's available from RDP Historical Pricing service in daily and 1 minute aggregation try the following requests using RDP Library:

    #Daily
    rdp.get_historical_price_summaries('NDXf182150000.U', interval='P1D')
    #1 minute
    rdp.get_historical_price_summaries('NDXf182150000.U', interval='PT1M')

    RDP Historical Pricing service allows only 1 RIC per request. To retrieve the timeseries for all options in the chain you'll need to execute separate rdp.get_historical_price_summaries call for each option.

Answers

  • jonathan.legrand
    jonathan.legrand

    Hi @vps_2021,

    Would you have an example RIC/ISIN for such an Option in question? Also: would you have an example field (e.g.: TR.CLOSEPRICE) - or are you only just after HIGH, CLOSE, LOW, OPEN, COUNT & VOLUME?

  • vps_2021
    vps_2021

    I am checking '/NDXf182150000.U' but actually wish to get data for entire option chain in history

    1. Daily Historical option data (i.e. TR.CLOSEPRICE, TR.BIDPRICE, TR.ASKPRICE, GREEKS, UNDERLYING INFO, VOLUME etc)

    2. Recent month or week historical time series to minute or second on entire option chain on HIGH, CLOSE, LOW, OPEN, COUNT & VOLUME,BID/ASK

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