How to download forward chain for a given date?

Hi,

I am trying to access an entire forward chain for commodities on a given day.

For example, I would like to obtain all forwards/futures data for Henry Hub on 09/29/2023 or all forwards for 12/29/2023 for ERCOT North.

I have encountered the Commodity_Futures_RIC_Search.ipynb and have used a brute force method. However, it seems that the get_futures function does not always work for all commodities, such as NG, CL, and power.

Is there a more streamlined or simpler way to access entire forward data for a given day?

Thanks.

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Accepted answers

jonathan.legrand

Hi @anurag.rathore, does the below Python code using hte Refinitiv Data Library help?

import refinitiv.data as rd
rd.open_session()
NGG24 = rd.discovery.Chain("0#NGG24+")
_NGG24_df = rd.get_history(
    universe=[i.replace('/', '') for i in list(NGG24.constituents)[0:20]], # Only 1st 20
    fields=["ASK"],
    start="2024-01-01" # only that day
    )
NGG24_df = _NGG24_df.T.dropna().T

All comments

jonathan.legrand

Hi @anurag.rathore, does the below Python code using hte Refinitiv Data Library help?

import refinitiv.data as rd
rd.open_session()
NGG24 = rd.discovery.Chain("0#NGG24+")
_NGG24_df = rd.get_history(
    universe=[i.replace('/', '') for i in list(NGG24.constituents)[0:20]], # Only 1st 20
    fields=["ASK"],
    start="2024-01-01" # only that day
    )
NGG24_df = _NGG24_df.T.dropna().T

anurag.rathore

Hi @jonathan.legrand ,

Thank you for your response. I am trying to extract the entire forward curve for a specific date for valuation purposes. For example, is there a way to get all forwards/futures contracts for Natural Gas on 12-29-2023?

I used the FuturesRICs class from the codebook, but it doesn't seem to work for other RICs (the default RIC is LCO).

Please find the screenshot of the notebook attached below for your reference.

Thanks,

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