Bid/Ask data mismatch on overlapping intervals

RogelynMayAgustin

I am using the lseg.data library, and when I am using .get_history to get bids and asks for gold, platinum, paladium and silver in 5 minute intervals, 1 minute intervals and 30 minute intervals which I have all done separately.

However when I run this and check the output, where there are overlapping times for example the bid and ask at 2:30pm for each of these separate cases, they give different bids and asks when I would expect them to give the same bid and ask as even though there's different time intervals, at that overlapping time the prices should be the same.

Why would this be, and is there anything I am doing wrong?

Script:
end_dt = dt.datetime.now()
start_dt = end_dt - dt.timedelta(hours = 6)
df = rd.get_history(
universe="XAU=",
fields=["BID","ASK"],
interval="5min",
start=start_dt,
end=end_dt
).tail(2)
df2 = rd.get_history(
universe="XAU=",
fields=["BID","ASK"],
interval="1min",
start=start_dt,
end=end_dt
).tail(2)

Gurpreet

Hello @RogelynMayAgustin

The historical data is intervalized over the asking period - i.e bar data aggregates all the data points and takes the max/min/average depending on the algorithm. If you are interested in a specific data points, then you should request tick data and do the aggregation in the code.

RogelynMayAgustin

Hi @Gurpreet , thank you for this. I am posting this on behalf of a client.
Would you be able to provide a sample script that integrates what you have mentioned?

Gurpreet

https://community.developers.refinitiv.com/discussion/comment/127041#Comment_127041

@RogelynMayAgustin, I would recommend that client check out the Get History samples provided with the LD library. We are unable to provide customized help — you can try to check with Professional Services Group.