Getting latest data for continuous futures contracts

kevin_witt

Using the lseg.data library, I would like to download the latest traded price TRDPRC_1 and settle price if available. I have access to historical data using ld.get_history() but mostly empty data sets using ld.get_data(). Can you confirm python script that should work for Cc1 and Sc1 and/or a way to see if our subscription gives access to this data? Thank you.

Jirapongse

@kevin_witt

Thank you for reaching out to us.

I can retrieve the data properly with the following code.

ld.get_data(
    universe = ['Cc1','Sc1'],
    fields = ['TRDPRC_1','PRIMACT_1'])

To verfiy what the problem is, you can enable the debug log in the library by using the following code before opening a session.

config = ld.get_config()

config.set_param("logs.transports.file.enabled", True)

config.set_param("logs.transports.file.name", "lseg-data-lib.log")

config.set_param("logs.level", "debug")

Then, please share the lseg-data-lib.log file.