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getting 1-minute trading volume in RDP
Hello, I am using the Refinitiv data package and I am trying to get historical 1minute volume for futures (eg ticker ESc1) using rd.get_history. What is the right fieldname for 1minute volume? I tried VOLUME_1 and TRDVOL_1 but they dont seem to work.…
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What are the correct filed names for the Volume and Last Trade to get get_timeseries in Python?
I am using this instruction in Python to get tas data = ek.get_timeseries( "EMAR.DU", fields = ['LastTrade', "Volume", 'VWAP', 'Bid', 'BidSize', 'Ask', 'AskSize'], start_date='2024-02-28T00:00:00', end_date='2024-03-04T23:59:59', interval = 'tas', ) It is working for all the fields except 'LastTrade' abd "Volume". What are…
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Retrieving stock's volume. Mismatch between excel and python api
Hi I am looking for Microsoft's volume. I try =@TR("MSFT.O";"AVG(TR.Volume);TR.Volume;TR.TURNOVER;TR.ACCUMULATEDVOLUME";"SDate=0D EDate=0D-29D";B9) and the output is 25281455,920829953780019275720829953 It seems good Unfortunatly, i try on python and i obtain different value : df=ek.get_data(listRIC,…
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Average Daily Trading Volume (ADTV) for Stock in Refinitiv Excel
Hello everyone, I'm currently using the Refinitiv Excel add-in to analyze financial data, and I've hit a bit of a roadblock. I'm looking to find the Average Daily Trading Volume (ADTV) for a list of securities equities, but within the formula options provided by Refinitiv, I can only seem to locate 'Trading Volume' and…
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How to calculate the actual volume of the first tick of a new day
We let the RDP example code run overnight. It looks like the volume(CF_VOLUME) of the first tick (please see an example tick below) received on the second day includes the pre-market volume. I'd like to subtract the pre-market volume to get the actual volume of the first tick. I saw there is a "BLKVOLUM" field in the…
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How to Access Average Daily Volume and Minimum Order Size Data via the Historic Pricing API
I am trying to access Average Daily Volume and Minimum Order Size data via the Historical Interday API call. I have tried using the fields VMA_30D and MIN_ORD_SZ, but I get back the message "The universe does not support the following fields: [VMA_30D, MIN_ORD_SZ]." The exact url with field parameters I am using for the…
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Real time optimized - How to get volume and market board information(depth) in websocket ?
I can connect and get real time data by using below, but I can not find how to get volume and market board information(depth) by using websocket API. I am using this python file [market_price_rdpgw_service_discovery.py]. As for FX(ric = 'JPY='), I can not see the volume at all. I am glad if you tell me how to get these…
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Retrieving historic options volume across all expiries and strikes on a contract in python
Hi, I am looking for a method to find all of the options volume that was traded yesterday (across all strikes for all expiries) on the children of the ric 0#CFI2+. As in to answer the question 'how many EUA options traded yesterday in total?'. For futures I have used this method: all_rics = ['CFI2' + 'c{}'.format(x) for x…
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How can I get the monthly trading volume for FTSE All share index constituents in excel?
How can I get the monthly trading volume for FTSE All share index constituents in excel for every month in a year. I'm trying to calculate share turnover which is defined as trading volume/average shares outstanding.
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Received negative volume on June 24th from .AD.N ric
On June 24th, the volumes on NY were very high, with Advancing Volumes exceeding 2^31-1. ric = “.AD.N” fields = ['ISSUES_ADV','ISSUES_DEC','ISSUES_UNC','TOT_ISSUES','NEW_HIGHS','VOLUME_ADV','VOLUME_DEC','VOLUME_UNC','TOT_VOLUME','NEW_LOWS'] df,err = ek.get_data(ric,fields) Returned in df:…
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I have a question regarding the volume values. What is the unit of the values? Is it the number of t
I have a question regarding the volume values. What is the unit of the values? Is it the number of transactions per day or dollars? Thanks a lot
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Annual Total Traded Volume of Commodity
I need the total traded volume (annually) for Natural Gas commodity at NYMEX. For that purpose, if I write this code in Python API, I need to clarify what volumes does this code provides?Even if it provides the monthly total volume, it is still for just these future contracts and how to retrieve for all contracts in a…
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How to get traded volume data for natural gas commodity using Python API
I am searching for traded volume data for natural gas commodity for a period of last 10 years using Python API. I am in interested in natural gas prices and volume data for Germany and so I tested using this simple code but it gives NA for all values of volume. Is there some problem in the code that I am writing?…
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Missing minutes bar volume data in Hong Kong Index
I keep tracking minutes bar volume data for the Hong Kong exchange index. However, I found since 28/July, there are a lot of bars that have no volume information. This is not only limited to HSI index but apply to all index of HK exchanges. Can you fix it?
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Historic volume does not match realtime volume
I'm downloading historic data for Brent Crude volume using intraday summaries. This gives me raw data for every single volume update. Sometimes a few per second. I'm then summing these myself across a day to find cumulative volume up to that point each day. This has seemed fine but where I've started to analyse my realtime…
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How can we get historical data pricing including "Volume" in dollars and not in shares?
Hi, We are using the .Net Core library "Refinitiv.Data.Content" (https://www.nuget.org/packages/Refinitiv.Data.Content/1.0.0-beta1). We are connecting to the eikon app, running in our computer, using the AppKey we generated in the Eikon. How can we get historical data pricing including "Volume" in dollars and not in shares?
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trade bid and ask
Help with understanding. There are two examples. I need to understand trade by ask or bid I want to count VOL ACCUMULATED of ASK trade and VOL ACCUMULATED of BID trade. How do I correctly identify FID 178 (this is bid or ask)? the support service usually gives the FID dictionary, but I don't understand how it is correct to…
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ACVOL_1 drifts away from cumulative TRDVOL
Hi, I was observing the TRDVOL_1 / ACVOL_1 fields for ANHJ.J on 2021-03-29 and saw that at a few times during the day, trades came in that never seemed to be reflected in ACVOL_1. I was keeping a running tally of total TRDVOL_1 and comparing to ACVOL_1. Naturally, they deviate as trades are reported, but, usually ACVOL_1…
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Cause of large disparities between Eikon Volume and Volume from other sources?
I have noticed on several occasions that the volume metrics (notably `TR.AvgDailyVolume10Day` and `TR.Volume`) reported on Eikon are significantly lower than other sources of this data. For example, TR.AvgDailyVolume10Day for GOOGL right now is 923,557, but this doesn't seem right, since yahoo finance and QA Direct both…
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Retrieving volume traded for debt instrument
Hi team, I'm new to Eikon and naturally overwhelmed with the amount of features available on it (I'm more well versed with CapitalIQ) I'm looking at a debt instrument issued by L&G and can easily plot its price/yield chart using RIC <GB012146477=> However, while trying to plot traded volume, using code <GB012146477=>(VO)…
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Replicating Excel Add-ins function to Python
Hi, I am looking for data for closing auction, intraday auction and opening auction for stocks and ETF I am looking to replicate the below excel function into python: 1. =RHistory("BMWG.DE";"NDA_RAW.Nda_closing_auction_volume;NDA_RAW.Nda_close_auction_price;NDA_RAW.Nda_date";"INTERVAL:1D";;"CH:Fd";B2) I tried to replicate…
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Explosion of volumes of data on Eurodollar contracts during the last weeks
Hello, Even if this question is not purely technical, there is recently an explosion of data into the Eurodollar contracts (3 month interest rates) which Refinitiv cannot ignore. An average .csv file contained usually 1 500 000 events a day for an active contract. An event is a raw of data defined by one timestamp. The…
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Looking for daily settlement procedure volumes
Hi, I'm looking to extract historical daily settlement procedure trading volumes for many instruments and contract months. Is there any functionality in Eikon that tracks the volume traded in the settlement procedure window - similarly to how we can use TR.SettlementPrice to get the daily settlement price?
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Volume, Last, Close and Total number of stocks traded in the interval
Hi, I've some doubt about the data i get in the responses. Searching in the Field Descriptions document I've understand that the Volume is the sum of the prices of all the transactions, right? I can't understand which Field Name I've to use in order to get the: Total number of stocks traded in the interval. Also, just to…
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EIKON API Python - Volumes download (differentiated between bid / ask)
I'd like to download historical volumes for a certain symbol (e.g. Brent LCOc1 ) , with volumes differentiated between bid and ask volumes.
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How do I get MEDIAN volume instead of Average volume in python API?
Ringt now I have a list of RICs (Tickere) that I want to get Company name, revenues and median volume for: df2, err = ek.get_data(Tickere,["TR.CommonName",'TR.Revenue',"TR.AvgDailyVolume90D"]) What should I replace "TR.AvgDailyVolume90D" with to get median daily volume for last 90 days?
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How to get median of unscaled volume for each of the months in past one year for a stock
For a stock I want to get the median values of it's daily shares traded ( unscaled volume) over each of the months for the past one year. 1. I am aware of the field "TR.Volume" to extract Volume data for a given query date but this gives me Volume w.r.t Lot size, I want unscaled volume to get daily total number of shares…
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What is the COUNT field parameter in get_timeseries for currencies? Or how do i get currency pair vo
I am searching for currency pair daily traded volume data via the python api. I use the cross rates from the MONEY CROSS/1 guide for all pairs of the currencies: ['AUD','CHF','CNY','EUR','GBP','HKD','INR','JPY','RUB','USD'] The get_timeseries function which i used so far to get currency price time series, does not return…
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Retrieving panel data- where can I find documentation on syntax and values?
Hi all, I have a list of SEDOLs that I need to get time series data for. I know that I can convert the sedols into RICs and use that as an array, but I can't figure out how to get multiple values in the get_timeseries function and the appropriate names to use to get values. For example, I know I can use "Close" to get…