CBOEVIX Data not available for the Refinitiv Eikong API on R, I already have the license required...

... to see it, but the data is not dowloading

For almost two years I have been using the R API to download some data for an Option Strategy, which includes VIX and S&P values. Since May, the VIX Data became an extra service, which I am paying for. Nevertheless, the VIX Data works only on Excel, my code finds no data for it when trying to retrieve it, while all the other values will be download as usual.

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Accepted answers

mag

I just did it with different Securities to be sure, and the issue is that for CBOEVIX I get Value: "NA", while all the other show a value, which makes sense, since it is the only security also not working in my code. I know that VIX requires since May an extra license to see the data, but I do have it, and I can even pull data on Excel for this same ticker!

{"DataResponse": {"AdditionalResponses": null,

"DataTypeNames": null,

"DataTypeValues": [{"DataType": "PI",

"SymbolValues": [{

"Currency": "NA",
"Symbol": "CBOEVIX",
"Type": 6,
"Value": "NA"

}

]

}

"Dates": [

"2023-07-18T00:00:00"

"SymbolNames": null,

"Tag": null

"Properties": null

}

All comments

Jirapongse

@mag

Thank you for reaching out to us.

Are you using the Datastream R library (DatastreamDSWS2R)?

I ran the following code and could get the data properly.

For Eikon Data API for R, the code is:

get_data(instruments = list(".VIX"), 
         fields = list("TR.PriceClose"))

Please share the code that you are using.

mag

Yes, I am using DatastreamDSWS2R

This is the formula I use to get the data for VIX and other Indexes.

PARA[['VOLA_UNDERL_HEADER']] = 'VIX'

PARA[['VOLA_UNDERL_DS_DATA_KEY']] = 'CBOEVIX'

PARA[['VOLA_UNDERL_DS_DATA_VALUE_TYPE']] = 'PI'

All of the rest are working (and have been for 2 years) but since VIX data became a separate subscription, I get this error on my Logs, and I dot understand why this is happening.

INFO [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-16: Retrieve data from DS

WARN [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-16: Retrieved data is not valid! Value: NA

INFO [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-17: Retrieve data from DS

WARN [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-17: Retrieved data is not valid! Value: NA

INFO [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-18: Retrieve data from DS

WARN [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-18: Retrieved data is not valid! Value: NA

INFO [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-19: Retrieve data from DS

WARN [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-19: Retrieved data is not valid! Value: NA

INFO [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-20: Retrieve data from DS

WARN [2023-07-17 11:49:16] CBOEVIX|PI|2023-01-20: Retrieved data is not valid! Value: NA

Thanks

Jirapongse

@mag

You can check the request at https://product.datastream.com/DswsClient/Docs/TestRestV1.aspx.

First, use the Get Token to get a token.

Then, use the retrieved token with the Get Data to retrieve PI for CBOEVIX.

The retrieved response should be like this:

{"DataResponse": {"AdditionalResponses": null,
"DataTypeNames": null,
"DataTypeValues": [{"DataType": "PI",
"SymbolValues": [{
"Currency": "U$",
"Symbol": "CBOEVIX",
"Type": 5,
"Value": 13.3
}
]
}
],
"Dates": [
"2023-07-18T00:00:00"

],
"SymbolNames": null,
"Tag": null
},
"Properties": null
}

mag

{"DataResponse": {"AdditionalResponses": null,

"DataTypeNames": null,

"DataTypeValues": [{"DataType": "PI",

"SymbolValues": [{

"Currency": "NA",
"Symbol": "CBOEVIX",
"Type": 6,
"Value": "NA"

}

]

}

"Dates": [

"2023-07-18T00:00:00"

"SymbolNames": null,

"Tag": null

"Properties": null

}

Jirapongse

@mag

If you got NA while using the TestRest client, it could be a permission issue.

I submitted a ticket to the Datastream Web Service support team to verify your permission. The case number is 12749088. The support team will contact you regarding this issue.

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