Want to get the history data of TAIEX Futures/Mini-TAIEX Futures

apple.tsai · 2023-09-20T11:29:32+00:00

I want to get the history data of * TAIEX Futures TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-TAIEX Futures (taifex.com.tw) * Mini-TAIEX Futures TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-Mini-TAIEX Futures (taifex.com.tw) I know this should use eikon get_timeserise() And tried rics = ['TXc1'] I have 3…

apple.tsai

I want to get the history data of

TAIEX Futures
TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-TAIEX Futures (taifex.com.tw)
Mini-TAIEX Futures
TAIWAN FUTURES EXCHANGE-Products-Equity Index Futures-Mini-TAIEX Futures (taifex.com.tw)

I know this should use eikon get_timeserise()
And tried rics = ['TXc1']
I have 3 questions,
1. TX/MTX opens twice every trading day, 08:45-13:45 and 15:00-05:00(next day)
How can I get the day trading history and night trading history?

2. How can I see all the data items of TX/MTX via DIB in terminal?
I am not sure which code I should use, TXc1 or 0#Tx: or TXv3..., something like that. Basically I need open/high/low/close and expired date, if have things like gamma, delta (in BSM) would be better.

3. At each trading date, in fact we can trade the nearest 3 months TX/MTX, and up to 1 year's quarter TX/MTX, so there should have 6 different TX/MTX, how can I get all of those? I tried TXc1 to TXc6 but for some date there have no TXc6. Want to know what's should I do.

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Accepted answers

Jirapongse

@apple.tsai

Thank you for reaching out to us.

You can use 0#TX: and 0#MTX: to get all future RICs in TX and MTX, respectively.

For example, the code looks like this:

df, err = ek.get_data(["0#MTX:"],["DSPLY_NAME","EXPIR_DATE"])
df

The output is:

Then, you can use the returned list of RICs with the get_timeseries data to get historical data. For example, use the below code to get hourly data. The time in the output is in GMT.

ek.get_timeseries(rics = df[2:]["Instrument"].to_list(),
                  interval="hour",
                  start_date="2023-09-21T00:00:00", 
                  end_date="2023-09-22T00:00:00")

The output is:

You can run the help(ek.get_timeseries) statement to get the list of available parameters.

However, it is better to contact the helpdesk support team directly via MyRefinitiv to verify this method.

All comments

Jirapongse

@apple.tsai

Thank you for reaching out to us.

You can use 0#TX: and 0#MTX: to get all future RICs in TX and MTX, respectively.

For example, the code looks like this:

df, err = ek.get_data(["0#MTX:"],["DSPLY_NAME","EXPIR_DATE"])
df

The output is:

Then, you can use the returned list of RICs with the get_timeseries data to get historical data. For example, use the below code to get hourly data. The time in the output is in GMT.

ek.get_timeseries(rics = df[2:]["Instrument"].to_list(),
                  interval="hour",
                  start_date="2023-09-21T00:00:00", 
                  end_date="2023-09-22T00:00:00")

The output is:

You can run the help(ek.get_timeseries) statement to get the list of available parameters.

However, it is better to contact the helpdesk support team directly via MyRefinitiv to verify this method.

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