LSEG api get_history doesnt have CLOSE

valstar · 2025-03-26T08:35:39+00:00

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valstar

I’m migrating from eikon to lseg. I’ve been advised to migrate eikons get_timeseries to lseg get_history.

With eikon I can get the CLOSE values (see below in a.).

Lseg doesn’t have CLOSE or anything similar. (see below in b.)

This is using your own codebook.

Please advise.

a. Refinitiv.Eikon

df_hist_ek = ek.get_timeseries(

["CAD="],

start_date='2025-03-18',

end_date='2025-03-24',

interval='daily'

)

df_hist_ek

CAD=	CLOSE	HIGH	LOW	OPEN	COUNT
Date
2025-03-18	1.4299	1.4319	1.4267	1.4287	57761
2025-03-19	1.4324	1.4349	1.4293	1.4298	56450
2025-03-20	1.4323	1.4401	1.4311	1.4325	55030
2025-03-21	1.4349	1.4373	1.4311	1.4325	51312
2025-03-24	1.4318	1.4358	1.4287	1.4349	51661

b. Lseg-data

df_hist_ld=ld.get_history(

universe=["CAD="],

interval='daily',

start='2025-03-18',

end='2025-03-24'

)

df_hist_ld

CAD=	BID	ASK	BID_HIGH_1	BID_LOW_1	OPEN_BID	MID_PRICE	NUM_BIDS	ASK_LOW_1	ASK_HIGH_1	ASIAOP_BID	...	ASIACL_BID	EUROP_BID	EURHI_BID	EURLO_BID	EURCL_BID	AMEROP_BID	AMERHI_BID	AMERLO_BID	AMERCL_BID	OPEN_ASK
Date
2025-03-19	1.4324	1.4329	1.4349	1.4293	1.4298	1.43265	56450	1.4296	1.4352	1.4298	...	1.4326	1.4309	1.4337	1.4305	1.433	1.4328	1.4349	1.4306	1.4324	1.4303

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Accepted answers

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jonathan.legrand0

Hi @valstar ,

I would advise using the fields argument of the get_history function. you can find more information about it here:

https://developers.lseg.com/en/api-catalog/lseg-data-platform/lseg-data-library-for-python/tutorials#tutorial-4-get_history

nick.zincone

Hi @valstar

The new historical pricing service does not map to the exact same fields as the older APIs had limited fields and generally created a consolidated view independent of the type of asset. In the case of "CAD=", the field list will be more specific (and accurate) based on the actual type of asset (currency). So, for currencies, the actual accurate fields names will be different than that of an equity.

So, to create an equivalent, try this:

You will see this matches the ek.get_timeseries() call result.

valstar

Hello Jonathan and Nick,

Thanks for the answers.

Regarding Jonathan's response: I omitted the fields parameter in the get_history call because it fails when I include fields="CLOSE" and if I omit it I get the full list of available fields. Did that exactly to show that there were no obvious equivalents.

As for Nick's answer: Yes, I realized that I could emulate the old result in this specific case by selecting some of the fields. My issue is more, for example, on how can I be sure that the old CLOSE will always match the BID for currencies? Is there some resource/docs that I can use for dealing with this issue of equivalence between old and new apis, for currencies and for other assets?

Regards

jonathan.legrand0

Hi @valstar
In this case I would advise looking into the Data Item Browser to find the field you're after:

Data Item Browser | Devportal

Trying it myself, I got:

df= ld.get_history(

    universe=["CAD="],

    fields=["TR.AMERICACLOSEBIDPRICE", "TR.ASIACLOSEBIDPRICE", "TR.EUROPECLOSEBIDPRICE"],

    start='2025-03-18',

    end='2025-03-24',

    interval='daily')

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