Tick History - Eikon premium user

hi, is it possible to get tick data through API for FGBL (bund futures), FGBX (BUXL futures), FGBM (BOBL futures) and EURIBOR futures. ( Eikon premium user)

If so what are the limitations, is there an article available explaining the steps, use case.

Thanks.

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Accepted answers

jason.ramchandani01

@asli.sahin01 Thanks for your question - so its best to use the Historical Pricing service on RDP - or you can simply use the get_history RD Library function. Data depth is 90 days of tick-level data.

import refinitiv.data as rd

rd.open_session()

df=rd.get_history(universe="FGBLc1", interval="tick", count=2000) #start="2023-09-01",end="2023-10-01",

df

There is an example notebooks available in Codebook both at the access layer and also at the content layer:

Access__Get_History.ipynb

Content__Historical_Pricing

Content__Historical_Pricing_Requests_With_Events.ipynb

Content__Historical_Pricing_Parallel_Requests.ipynb

Content__Historical_Pricing__Erorr_Management.ipynb

These are also available in the RD Library examples folder on github.

I hope this can help.

All comments

jason.ramchandani01

import refinitiv.data as rd

rd.open_session()

df=rd.get_history(universe="FGBLc1", interval="tick", count=2000) #start="2023-09-01",end="2023-10-01",

df

There is an example notebooks available in Codebook both at the access layer and also at the content layer:

Access__Get_History.ipynb

Content__Historical_Pricing

Content__Historical_Pricing_Requests_With_Events.ipynb

Content__Historical_Pricing_Parallel_Requests.ipynb

Content__Historical_Pricing__Erorr_Management.ipynb

These are also available in the RD Library examples folder on github.

I hope this can help.

aramyan.h

Hi @asli.sahin01 ,

You can access the recent 3-month tick data of these futures using our Eikon API. The code below returns the tick data for the Continuation RIC for FGBLc1, i.e:

ek.get_timeseries('FGBLc1', interval = 'tick', start_date = '2023-08-01', end_date = '2023-08-02')

If you want the actual RICs not the continuation one, you would need to reconstruct the expired futures RIC and the request the pricing data. In this article I show how to do that:

Reconstructing RICs for expired futures contracts | Devportal (lseg.com)

If you need tick data going far back you can check our Refinitiv Tick History offering:

Refinitiv Tick History (RTH) - REST API | Devportal (lseg.com)

Hope this helps.

Best regards,

Haykaz

nathan.simonis2

Hi @jason.ramchandani01,

Tthis method seems to be giving <NA> for most fields including crucial ones for tick data. With this example on FGBLc1, I only have <NA> for the columns TRDVOL_1 and ACVOL_UNS which should provide details about the size of the trade. TRDPRC_1 seems complete though. Do you know if I need to use another set of fields if I am interesting in Timestamp, Security, Price, Quantity for each 'tick'?

Thank you

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