Hi— I'm updating a timeseries data downloader that worked with the eikon C# .NET API that was deprecated some years ago to work with the new LSEG API.. I'm hitting a problem with data limits that seemed not to be a problem with the earlier C# API.
When the number of data points in the LSEG API hits a limit— this results in just the last portion of the data being returned, without the earlier time slots. If using the lseg.data.get_history API or the lseg.data.content.historical_pricing API, this happens completely silently without errors being returned or any other message indicating the data is truncated (at least that I can see). The only way to tell anything is wrong is to see that the first data point is not the same as the requested start (and even this check is questionable, since perhaps the stock did not trade the whole day, or perhaps the data is unavailable that day, etc.)
Questions:
a) Am I correct here? Or is there some way to detect this other than the first df datapoint not being the start date?
b) If we receive a date for any stock in a universe— can we guarantee that all the data for that date was received for all stocks requested at the same time? Or is it possible that different stocks have been filled in different amounts, or truncated differently?
c) If we are requesting intraday data (or interday for that matter)— how do/can we know whether a time point simply does not exist, or whether we are missing data for it because it was truncated, for example if we are requesting intraday event data?
