Need to fetch options historical data

peeush

i need to fetch close and settlement prices for expired options and futures contracts . please assist for the following :

1. Please let know the exact syntax for constructing the RICs for expired contracts for both futures and options .

2. second need to know the exact command to get the close and settlement prices for the contracts since there are lot of commands like get_history , get_data etc. so getting confused among them ...or please let know the syntax for all if data available from all commands .

Jirapongse

@peeush

Thank you for reaching out to us.

For the first question, please refer to the Reconstructing RICs for expired futures contracts article. For more information, you may need to contact the content support team directly via MyRefinitiv regarding constructing RICs.

For the second question, typically there are two types of fields (TR fields and real-time fields). The TR fields are prefixed with TR, such as TR.SETTLEMENTPRICE and TR.ClosePrice. The real-time fields don't have the TR prefixed, such as BID, ASK, and TRDPRC_1.

The get_data method can be used to retreive the current values of both TR fields and real-time fields.

Regarding historical data, some TR fields can provide historical data. You can use the Data Item Browser tool to verify which TR fields can provide historical data.

To get historical data, you can use either the get_data or get_history method.

rd.get_data(
    universe=['LSEG.L', 'VOD.L'], 
    fields=['TR.Revenue.date', 'TR.Revenue'],
    parameters = {'SDate':0, 'EDate':-3}
)

Important note: get_data can be used with SDate and EDate parameters to retrieve fundamental time series. However, this practice (shown in the following two examples) is not recommended because it can cause alignment issues. This is due to the nature of get_data which was designed for retrieving current data. For time series please use get_history().

rd.get_history(universe=["LSEG.L", "VOD.L"], fields="TR.Revenue", interval="1Y", start="2015-01-01", end="2020-10-01")

However, to get historical data of the real-time fields, you need to use the get_history method and some real-time fields can provide historical data via the get_history method. For example:

Regarding RIC root, you can use the search functinality in the RD library to search for items. For example:

df = rd.discovery.search(
    view = rd.discovery.Views.SEARCH_ALL,
    top = 10,
    query = "nifty",
    select = "BusinessEntity,DocumentTitle, RIC, RicRoot"
)
df

You can refer to the examples on GitHub.