Specifying a list of instruments for Market Prices for Historical Price Summaries

response = rdp.get_historical_price_summaries(
universe= ccy_pair,
interval=rdp.Intervals.DAILY,
# Supported intervals: ONE_MINUTE, FIVE_MINUTES, TEN_MINUTES, THIRTY_MINUTES, ONE_HOUR
#fields = ['BID','ASK'],
start=start_date_ts,
end=end_date_ts
)

I want to specify a list of ccy pairs instead of one ccy pair. Do you have an example of this in Python.

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Accepted answers

wasin.w

Hello @navtej.riyait

Did you try the new Data Library - Python yet? The RD historical_pricing.summaries.Definition object support list of string as follows:

Code:

response = historical_pricing.summaries.Definition(
    universe = ['HUF=', 'EUR=', 'GBP=', 'CNH='], 
    interval=Intervals.ONE_MINUTE,
    fields = ['BID','ASK'],
    start = '2023-08-01 01:00:00',
    end = '2023-08-02 01:00:00    '
).get_data()
response.data.df

Result:

All comments

raksina.samasiri

Hi @navtej.riyait ,

Could you please try using the list of instrument, for example, ['RIC1','RIC2','RIC3']

In addition, I
would recommend you look at the newer and strategic RD Library for Python

For a position statement on the older
RDP Library please see the overview page.

navtej.riyait

start_date = '2023-10-02 00:00:00.000'
end_date = '2023-10-03 00:00:00.000'
ccy_pair1 = ['HUF=', 'EUR=', 'GBP=', 'CNH=']

response = rdp.get_historical_price_summaries(
universe= ccy_pair1,
interval=rdp.Intervals.DAILY,
start=start_date,
end=end_date
)

I get an error when using an instrument list. See below

Traceback (most recent call last):

File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 134, in <module>

get_market_prices()

File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 116, in get_market_prices

historical_mkt_prices = get_historical_prices(ccy_pair, start_date, end_date)

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\FX Surveillance\FX Options\get_market_prices_options_underlying.py", line 70, in get_historical_prices

response = rdp.get_historical_price_summaries(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\factory\content_factory.py", line 646, in get_historical_price_summaries

return ContentFactory._get_historical_price_summaries(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\factory\content_factory.py", line 252, in _get_historical_price_summaries

historic_summaries = historical_pricing.get_summaries(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 302, in get_summaries

result = historical_pricing._get_summaries(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 327, in _get_summaries

return self._endpoint.session._loop.run_until_complete(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\nest_asyncio.py", line 59, in run_until_complete

return f.result()

^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\asyncio\futures.py", line 203, in result

raise self._exception.with_traceback(self._exception_tb)

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\asyncio\tasks.py", line 267, in __step

result = coro.send(None)

^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 523, in _get_summaries_async

_result = await self._get_historicalpricing(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\content\data\historical_pricing.py", line 665, in _get_historicalpricing

_result = await self._endpoint.send_request_async(

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\delivery\data\endpoint.py", line 518, in send_request_async

_url = self._update_url(

^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\site-packages\refinitiv\dataplatform\delivery\data\endpoint.py", line 410, in _update_url

value = urllib.parse.quote(value)

^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\urllib\parse.py", line 893, in quote

return quote_from_bytes(string, safe)

^^^^^^^^^^^^^^^^^^^^^^^^^^^^^^

File "C:\Users\U6082634\AppData\Local\Programs\Python\Python311\Lib\urllib\parse.py", line 923, in quote_from_bytes

raise TypeError("quote_from_bytes() expected bytes")

TypeError: quote_from_bytes() expected bytes

wasin.w

Hello @navtej.riyait

Did you try the new Data Library - Python yet? The RD historical_pricing.summaries.Definition object support list of string as follows:

Code:

response = historical_pricing.summaries.Definition(
    universe = ['HUF=', 'EUR=', 'GBP=', 'CNH='], 
    interval=Intervals.ONE_MINUTE,
    fields = ['BID','ASK'],
    start = '2023-08-01 01:00:00',
    end = '2023-08-02 01:00:00    '
).get_data()
response.data.df

Result:

navtej.riyait

Hi Wasin,

I haven't had time to try yet.

One question: Do I need to have Eikon running to use the RD libraries ?

Regards

Navtej

Hi Wasin,

I haven't had time to try yet.

One question: Do I need to have Eikon running to use the RD libraries ?

Regards

Navtej

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