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

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

The original conversation is this one:

Thanks

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Accepted answers

Jirapongse

@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.

All comments

Jirapongse

@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.

wayne02

Thanks very much for that.

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