Tick Historical data

Good Morning,

I have a question regarding how to retrieve tick historical data for bonds using pycharm.

To get historical time series data i use the following code:

df = rd.get_history(
    universe=rics,
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start=start_date,
    end=end_date,
    interval='1M'

Does the same work or i need to adjust my script?

Thank you in advance,

Kind regards,

Kyriakos

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Accepted answers

aramyan.h

Hi @kyriakos.eleftheriadis ,

Thank you for your question.

To get the tick date you need to provide value "tick" under interval parameter. Please see below:

df = rd.get_history(
    universe='DE253877847=',
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start='2023-01-05',
    end='2023-05-10',
    interval='tick')
df

Please note that tick data goes back up to 3 month.

Hope this helps.

Best regards,

Haykaz

All comments

aramyan.h

Hi @kyriakos.eleftheriadis ,

Thank you for your question.

To get the tick date you need to provide value "tick" under interval parameter. Please see below:

df = rd.get_history(
    universe='DE253877847=',
    fields=['ASK', 'ASK_YIELD', 'BID', 'BID_YIELD'],
    start='2023-01-05',
    end='2023-05-10',
    interval='tick')
df

Please note that tick data goes back up to 3 month.

Hope this helps.

Best regards,

Haykaz

kyriakos.eleftheriadis

Dear @aramyan.h ,

Thank you very much for your answer.

Is it possible to do it for futures as well, specifically i try for this one 'ESXM23' but it does not work.

Also, we want to view data for more than 3 months and we got a datascope refinitiv account.

Is it possible to get data tick data for the future i mentioned above regarding bid/ask price and bid/ask size as well through datascope account?

Thank you again and wish you a nice afternoon,

Kind regards,

Kyriakos

aramyan.h

Hi @kyriakos.eleftheriadis ,

What error are you getting there? It worked for futures on my end:

df = rd.get_history(
    universe='ESXM23',
    start='2023-01-05',
    end='2023-05-10',
    interval='tick')
df

Above I didn't specify fields to see all available ones. You may specify also the ones you want as in the original example.

As for the Datascope I believe it should be possible, but I am not an expert on Datascope and would advice opening a separate ticket where my colleagues will address.

Best regards,

Haykaz

kyriakos.eleftheriadis

Hi @aramyan.h ,

Thank you for your answer.

There is no error at all. I can receive the data with this way.

I am just wondering if it's possible to do it through Datascope do get data more than 3 months.

Thank you again, wish you a nice day

Best,

Kyriakos

aramyan.h

HI @kyriakos.eleftheriadis ,

You are welcome, happy to be helpful. I am just not experienced with Datascope that is why suggested to open a separate ticket for that.

Best regards,

Haykaz

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