error while getting turnover data using get_timeseries

vamsi krishna

Hi, tried using the below formula to get turnover time series data

import datetime

from dateutil.relativedelta import relativedelta

endDate = datetime.datetime.today()
startDate = endDate - relativedelta(months = 3)

temp = eikon.get_timeseries('BATS.L', fields='VALUE', start_date=startDate, end_date=endDate)

but the result is

BATS.L VALUE
Date
2017-06-28 NaN
2017-06-29 NaN
2017-06-30 NaN
2017-07-03 NaN
2017-07-04 NaN
...
2017-09-21 NaN
2017-09-22 NaN
2017-09-25 NaN
2017-09-26 NaN

[64 rows x 1 columns]

Is there any syntax error or is there any alternate formula which I can use to get the data?

Also Can I get the turnover values in EUR only and I don't need to multiply be any factors.

ex: I need to multiply turnover value by 10^6 in excel to get actual turnover

=TR("BATS.L","TR.TURNOVER*1000000","Frq=D
SDate=2017-06-25 EDate=2017-09-25 Curn=EUR CH=Fd")

Jirapongse

For eikon.get_timeseries, if you don't specify the fields parameter, all fields will be returned. From the result, there is no "VALUE" field.

data = ek.get_timeseries('BATS.L', start_date=startDate, end_date=endDate)

...
BATS.L            HIGH         LOW    OPEN   CLOSE    COUNT      VOLUME
Date
2017-06-28  5426.00000  5346.00000  5409.0  5351.0  15958.0   3021602.0
2017-06-29  5371.00000  5235.00000  5340.0  5235.0  16880.0   3635156.0
2017-06-30  5280.00000  5189.17539  5235.0  5234.0  15255.0   3621102.0
2017-07-03  5253.00000  5210.00000  5214.0  5236.0  13974.0   2503098.0
2017-07-04  5228.00000  5177.00000  5205.0  5177.0   9081.0   2095120.0

I think that this is why the value of "VALUE" field returns NaN.

For TR.TURNOVER, you can apply the Eikon Excel formula to Eikon Scripting API. For example, if Eikon Excel formula is:

=TR("BATS.L","TR.TURNOVER*1000000","Frq=D SDate=2017-06-25 EDate=2017-09-25 Curn=EUR CH=Fd")

the python code will be:

data = ek.get_data(
    instruments=['BATS.L'],
    fields = [        
        'TR.TURNOVER*1000000'
    ],
    parameters = {
        'CH' : 'Fd',
        'SDate'  :   '2017-06-25',
        'EDate' : '2017-09-25',
        'Curn' : 'EUR',
        'Frq' : 'D'
    })

Refer to Data Item Browser app, TR.TURNOVER is the unscaled turnover value (summation of the value of all trades during the market day) for a particular instrument.

Moreover, I found that the TR function doesn't have a parameter to automatically apply factors to the turnover value as this is market specific. Therefore, Eikon Scripting API is unable to do it too.