Exact definition of fields some fields when using rd.get_history() in python (using refinitiv.dat...

felix.echtermeyer

...a as rd)

Hi,

I am using your get_history() method from the "refinitiv.data" library, e.g.:

import refinitiv.data as rd
rd.open_session()
df = rd.get_history(
    universe= "AAPL.OQ",
    start= dt.date.today() - dt.timedelta(days=300),
    end= dt.date.today(),
    interval= "5min",
    parameters= {"Fill": "None"}
)
rd.close_session()
print(df)

The example above will output something like:

AAPL.OQ
Timestamp…ASK_HIGH_1
ASK_LOW_1
OPEN_ASK
ASK
…3/27/2023 8:45…160159.8159.8160…3/27/2023 8:50…160159.78159.89160……………………

It is not clear to me to which point in time the following fields refer to exactly:

• MID_PRICE
• BID
• ASK
• TRDPRC_1

e.g. "ASK":

Let's look at "3/27/2023 8:45", it has the value "160". If I look at the description in the 'Data Item Browser' (DIB), it tells me that "ASK" refers to the "latest ask price". If you take this literally it would translate to the ask price that could have been observed on the instrument at exactly 8:45. If that is true, I would expect the OPEN_ASK for the next timestamp to be 160 (OPEN_ASK[t+1] == ASK[t]). In the returned data OPEN_ASK is 159.89 (please note: this is real data).

Could you please elaborate what the 4 mentioned fields show me exactly.
Your help is highly appreciated!

Best and thanks in advance

Maciej.Jasinski

There is no requirement for Open(t)=Close(t-1). Both the price (TRDPRC_1 or MID_PRICE) as well as quote (BID or ASK) can differ on the marking timestamps.Let's take OPEN_ASK and ASK (CLOSE) between 8:45 and 8:55 as an example. The OPEN_ASK stamped with 8:50 will be the first (open) available quote in the range of 8:50:01 to 8:55:00. Then ASK (CLOSE) at 8:45 will be the last (close) available quote in range of 8:45:01 to 8:50:00. As you can see quotes (or prices traded) do not have to be equal (even though they often will for the price can make no immediate shift over the period). The price will vary most often (sometimes even considerably) over the illiquid markets/instruments or during low frequency trading periods.

The most basic example can be observed on Daily prices / quotes and the gaps seen frequently especially during inflated volatility periods. This is similar to the aboce example only the interval is not 5-min but 24-hours.

To better understand, below is an example where I compare 5-min quotes to actual ticks (all available market quotes). Since RDP Excel does not allow to retrieve data older than 3 months I am using todays quotes for AAPL.OQ (trading in premarket). See how ASK (close) stamped 9:10 retrieves a 191.87 USD at 9:14:53 whereas OPEN_ASK stamped 9:15 retrieves 191.86 USD at 9:15:11.

Get.History_close.open.interval.logic.xlsx.zip