The open price obtained using eikon.get_timeseries with a time resolution of "daily" and the open pr

Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    There are 3 issues here

    1. The timestamps are in GMT

    get_timeseries method interprets the times in start_date and end_date values as GMT. The returned timestamps are also in GMT. For your request you need to use start_date='2021-07-09T13:30:00', end_date='2021-07-09T20:00:00'

    2. Summarized timeseries in Eikon are timestamped with the end of the time interval, not the with the beginning. The time interval between 9:30 and 9:31 is labeled "9:31", not "9:30". So, the 1 minute open that corresponds to the daily open for US stocks is the open of "9:31" interval. And since the timestamps are in GMT, for TSLA.O on 2021-07-09 it is actually "13:31".

    3. To have the 1 minute open at 13:31 GMT match the daily open you also need to include calendar='tradingdays' parameter.

    Try the following

    df = ek.get_timeseries('TSLA.O', 
                           start_date='2021-07-09T13:30:00',
                           end_date='2021-07-09T20:00:00', 
                           interval='minute', 
                           calendar='tradingdays')
    df.loc['2021-07-09 13:31:00']

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