Historical data for yearly average bid/ask spread for stocks

Emilymevo

Hello,

I would like to retrieve yearly average bid/ask spread for a list of stocks historically. How could I use Python to extract?

jonathan.legrand

Hi @Emilymevo

Please look into the LDL tutorials; I'd advise also using CodeBook, the DIB and CodeCreator (shown in the first screenshot below). Doing so myself I cam up with the below. Does this return the data you are after?

import lseg.data as ld

ld.open_session()

df = ld.get_data(

    universe = [

        'LSEG.L',

        'VOD.L'],

    fields=['TR.ASKPRICE(SDate=0,EDate=-3,Frq=FY,CALCMETHOD=AVG)'])

display(df)

ld.close_session()