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

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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.

Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @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:

    1695794430191.png

    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:

    1695794922055.png

    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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