Historical Pricing with more than one underlying in excel vba

Jochen_Becker

Hi,

We used excel vba code with the old "RHistoryAPI.dll" to query the prices for several stock underlyings. In the new "LSEG COM Library for Workspace" I also looked at the example file for historical pricing from the website "https://developers.lseg.com/en/api-catalog/workspace-sdk/lseg-com-library-for-workspace".
However, only one underlying can be queried there. How do I have to adapt the code so that it also works for several underlyings?

I think that the call ".GetData strRICList" should also work with a list of underlyings.

Thanks & regards
Jochen

Jirapongse

@Jochen_Becker

Thank you for reaching out to us.

For the interday historical data, you can specify an array of items but it will return a single Interday summary record (the latest record not beyond the specified end date) for each instrument in the universe list.

    With history

        .fields Array("TRDPRC_1", "ACVOL_UNS")

        .Interval IntervalEnum_P1D

        .TimestampLabel TimestampEnum.TimestampEnum_endPeriod

        .DisplayCell startCell

        .Count 5

        .GetData Array("GOOG.O", "AAPL.O", "IBM.N")

    End With

nick.zincone

Hi @Jochen_Becker

If you want full history for multiple instruments, at present, you will have to make multiple requests for each instrument.

Jochen_Becker

Hi Nick,

Thanks for your answer. Is there already a plan for when it is possible to retrieve the history for multiple instruments? The request for each instrument will take a long time.

Jirapongse

The endpoint that provides full historical data supports only one RIC at a time. This likely explains the library's current behavior.

nick.zincone

https://community.developers.refinitiv.com/discussion/comment/126550#Comment_126550

Hi @Jochen_Becker

Regarding a plan to retrieve historical pricing for multiple instruments, we are looking into adding this capability. Once I get more details as to what this will include, I will post a response on here when I get more details. But the idea is to provide this capability for summary intervals (Intraday and Interday), not for tick-based events. Summary intervals allows for the merging of time slices which appears to be the value/requirement for this capability.

Jochen_Becker

This sounds good. We want to retrieve several intervals (30M and 60M) for several Underlyings for a given time horizon.

Since there are unfortunately not always the same number of quotes (because there are "holes" due to different trading times), it makes the individual query very cumbersome.