Bid/Ask fields on Eikon Data API

karl.kwok
karl.kwok
in Eikon Data APIs

Hi team,

Using 0700.HK and 7832.T as the example instruments

1) Does Eikon Data API provide multiple bid and ask levels beyond the best one?

2) For the field 'Bid' and 'Ask', does it support interval of tick and minute? If so, how long is the history we can have through Eikon Data API?

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Best Answer

  • Alex Putkov.1
    Alex Putkov.1
    Answer ✓

    @karl.kwok

    1. If your Eikon account is entitled to Level 2 data for these exchanges you can retrieve several levels of best bid/ask using Level 2 RICs. The number of levels available varies by exchange. The code snippet below retrieves 10 best bid/ask levels for 7832.T (using Level 2 RIC D7832.T) and constructs the dataframe mimicking the market by price orderbook view.

    bid_flds = ['BEST_BID' + str(x) for x in range(1,11)]
    ask_flds = ['BEST_ASK' + str(x) for x in range(1,11)]
    df_tmp, err = ek.get_data('D7832.T', bid_flds + ask_flds)
    df=pd.DataFrame()
    df['BID'] = df_tmp.loc[0,bid_flds].reset_index(drop=True)
    df['ASK'] = df_tmp.loc[0,ask_flds].reset_index(drop=True)
    df

    screen-shot-2021-07-20-at-95906-am.png

    2. Using RDP Library you can retrieve tick timeseries for bid and ask and OHLC for bid and ask in 1 minute aggregation. Tick history goes back 90 days, 1 minute history goes back 1 year.

    rdp.get_historical_price_summaries('7832.T', 
                                       fields=['OPEN_BID', 'BID_HIGH_1', 
                                               'BID_LOW_1', 'BID',
                                               'OPEN_ASK', 'ASK_HIGH_1', 
                                               'ASK_LOW_1', 'ASK'],
                                      interval='PT1M')

    screen-shot-2021-07-20-at-100603-am.png

Answers

  • karl.kwok
    karl.kwok
    Thank you.

    On 2) does the history support 10 best bid/ask as well given the license is there?

    And does it mean I can access RDP library if I have Eikon Data API access?

  • Alex Putkov.1
    Alex Putkov.1
    Yes, you can use RDP Library to retrieve historical pricing data from RDP, if you have Eikon account that includes access to Eikon Data APIs. No, you cannot retrieve Level 2 history this way. To the best of my knowledge the only Refinitiv product that provides Level 2 history is Refinitiv Tick History.

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