How do I access alternative close prices via python API
Help!
Is it possible to access alternative close prices from the python API? For example BRTDTDMc1 has 2 close prices. ASIA_CLOSE, EU_CLOSE, US_CLOSE, I want to access the ASIA close price as I am trying to find a common timestamp for the below list of prices.
Reuters Code' : ['DUBSGSWMc2', 'MRBN1MMASc1', 'OQc1', 'LCO1MMASc1', 'BRTDTDMc2'
The other alternative close I want to acces is the ALT_SETTLE on the OQc1 curve.
My code is here: I took snip and pasted raw code for any testing.
#Import Curve data
import pandas as pd
import numpy as np
import datetime as dt
import eikon as ek
from pandas.tseries.offsets import BDay
today = dt.date.today()
reportDate = (today - BDay(1)).strftime('%Y-%m-%d')
print(reportDate)
curves = pd.DataFrame({'Simplified Underlyer' : ['Dubai', 'Murban', 'Oman', 'Ice_Brent' , 'Dated_Brent'],
'Reuters Code' : ['DUBSGSWMc2', 'MRBN1MMASc1', 'OQc1', 'LCO1MMASc1', 'BRTDTDMc2']})
curves.set_index('Simplified Underlyer')
curveList = curves['Reuters Code'].tolist()
curveData = ek.get_timeseries(curveList, ['CLOSE'],start_date="2021-01-01",end_date= reportDate)
curveData1 = ek.get_timeseries(curveList, ['ASIA_CLOSE'],start_date="2021-01-01",end_date= reportDate)
curveData2 = ek.get_timeseries(curveList, ['ALT_SETTLE'],start_date="2021-01-01",end_date= reportDate)
prices = curveData.dropna()
returns = curveData.pct_change()
returns = returns.dropna()
returnsCov = returns.cov()
volatility = returns.std()
latestPrices = prices.loc[reportDate]
latestPrices
print(curveData1)
print(curveData2)
Best Answer
-
Hi @joe.wright ,
ek.get_timeseries provides only a limited list of fields (TIMESTAMP, VALUE, VOLUME, HIGH, LOW, OPEN, CLOSE & COUNT).
In your case, following ek.get_data() calls could return expected values:
curveData, err = ek.get_data(
curveList,
['TR.CLOSEPRICE.date', 'TR.CLOSEPRICE'],
parameters={'SDate': "2021-01-01", "EDate": reportDate})
curveData1, err = ek.get_data(
curveList,
['TR.ASIACLOSINGTRADEPRICE.date', 'TR.ASIACLOSINGTRADEPRICE'],
parameters={'SDate': "2021-01-01", 'EDate': reportDate})
curveData2, err = ek.get_data(
curveList,
['TR.SETTLEMENTPRICE.date', 'TR.SETTLEMENTPRICE'],
parameters={'SDate': "2021-01-01", 'EDate': reportDate0
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