How to exclude the 'weird' prices in a time series?

yaokoffi.kouassi
yaokoffi.kouassi LSEG
in Refinitiv Data Platform Libraries

Hello team.

Can someone help with this email from one of our customers?

Here is the code he is currently using:

df = rd.get_history(universe=Universe, fields=["BID", "ASK"], interval=Interval, start=Startdate, end=Enddate)

Here is the results. What is highlighted is the 'weird' results

1699618299443.png


The original conversation is this one:


1699618368314.png


Thanks

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Best Answer

  • Jirapongse
    Jirapongse ✭✭✭✭✭
    Answer ✓

    @yaokoffi.kouassi

    Thank you for reaching out to us.

    You can set the sessions to normal in the RD content layer, as shown belwo. 

    response = historical_pricing.summaries.Definition(
        universe = ["GTO"],
        start="2023-05-15T19:50:00.000000000Z", 
        end="2023-05-16T14:00:00.000000000Z",
        fields=["BID","ASK"],
        interval=Intervals.MINUTE,
        sessions = [MarketSession.NORMAL]
    ).get_data()
    df = response.data.df
    df

    You can also refer to the example on GitHub.

    However, if the client still gets stange prices, please contact the helpdesk teamp directly via MyRefinitiv to verify the content.

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