start_date = '2021-12-31'
end_date = '2025-07-31'
isin = ['INNPCIL2826=', 'INMOFSA1618=', 'INAXBKF0621=', 'INKRNFV1125=', 'INPOTMK3034=', 'INNEEVM3034=']
bond_flds = ["TR.ASKPRICE.date","TR.ASKPRICE", "TR.BIDPRICE", "TR.ASKYIELD",
"TR.BIDYIELD", "TR.YIELDTOMATURITY", "TR.MODIFIEDDURATION",
"TR.AVERAGELIFE", "TR.ASSETSWAPSPREAD", "TR.BENCHMARKSPREAD",
"TR.ZSPREAD", "TR.OPTIONADJUSTEDSPREADBID",
]
df = ld.get_history(
universe = isin,
fields = bond_flds,
parameters = {
'SDate': start_date,
'EDate': end_date,
'Frq': 'M'
}
)
I'm trying to use the above structure to download pricing and analytics data using the LSEG data library. I face a problem that if any security is missing data, the code fails and and ends in error. I would like the partial data that was retrieved to be returned. If no security has any data available, an empty dataframe is also something I can work with. But the error message breaks the program without any data retrieved. Can you please help?
Currently I get a message like this
LDError: Unable to collect data for the field 'TR.ASKPRICE.DATE' and some specific identifier(s). Requested universes: ['INPOTMK3034=RRPS']. Requested fields: ['TR.ASKPRICE.DATE', 'TR.ASKPRICE', 'TR.BIDPRICE', 'TR.ASKYIELD', 'TR.BIDYIELD', 'TR.YIELDTOMATURITY', 'TR.MODIFIEDDURATION', 'TR.AVERAGELIFE', 'TR.ASSETSWAPSPREAD', 'TR.BENCHMARKSPREAD', 'TR.ZSPREAD', 'TR.OPTIONADJUSTEDSPREADBID']