Eikon Python API - get_timeseries() - bid/ask

Hello.

Do you plan to add bid and ask columns to the get_timeseries() function? According to the docs, bid and ask are not in list of available fields currently.

For example, for this RIC - /APCJ271702500.U - there no Close price, but there are Bid Close and Ask Close as of 2017-10-26, both can be retrieved using RHistory() in Excel. How to get them using get_timeseries()?

It seems that there is .WithView("BID") in C# API for this purpose, but is there any Python equivalent?

Thank you.

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Accepted answers

Hi,

Currently, timeseries service provides only a limited field list according to the selected interval:

'tick' => [TIMESTAMP, VALUE, VOLUME]
'daily', 'monthly', 'quarterly', 'yearly' => [TIMESTAMP, HIGH, CLOSE, LOW, OPEN, COUNT, VOLUME]

If you need other fields like ASK and BID, you should use get_data function:

>>> data, error=ek.get_data('MSFT.O', ['TR.ASKPRICE.Date', 'TR.ASKPRICE','TR.BIDPRICE'], parameters={'SDate':'2017-08-01', 'EDate':'2017-08-04'})
>>> data
  Instrument                  Date  Ask Price  Bid Price
0     MSFT.O  2017-08-01T00:00:00Z      72.56      72.55
1     MSFT.O  2017-08-02T00:00:00Z      72.25      72.24
2     MSFT.O  2017-08-03T00:00:00Z      72.15      72.14
3     MSFT.O  2017-08-04T00:00:00Z      72.66      72.65

All comments

Hi,

Currently, timeseries service provides only a limited field list according to the selected interval:

'tick' => [TIMESTAMP, VALUE, VOLUME]
'daily', 'monthly', 'quarterly', 'yearly' => [TIMESTAMP, HIGH, CLOSE, LOW, OPEN, COUNT, VOLUME]

If you need other fields like ASK and BID, you should use get_data function:

>>> data, error=ek.get_data('MSFT.O', ['TR.ASKPRICE.Date', 'TR.ASKPRICE','TR.BIDPRICE'], parameters={'SDate':'2017-08-01', 'EDate':'2017-08-04'})
>>> data
  Instrument                  Date  Ask Price  Bid Price
0     MSFT.O  2017-08-01T00:00:00Z      72.56      72.55
1     MSFT.O  2017-08-02T00:00:00Z      72.25      72.24
2     MSFT.O  2017-08-03T00:00:00Z      72.15      72.14
3     MSFT.O  2017-08-04T00:00:00Z      72.66      72.65

basilio.konstantin.kalus

Does the get_timeseries function allow for adding Bid and Ask now? I am looking for a function that returns Bid and ask on a minutes level for a given stock.

raksina.samasiri

Hi @basilio.konstantin.kalus ,

Please check the answer below from this thread

For your information, after this, please start the new post by asking a further question as the question with an accepted answer won't be monitored by the forum's moderator so the answer might not be provided.

I would recommend you look at the newer RD Library for Python - which is currently in Beta and due for release in the coming months.

The following code is able to get Bid and Ask in a minute interval

import refinitiv.data as rd
rd.open_session()
rd.get_history(universe="LSEG.L", fields=["BID", "ASK"], interval="1min")

You may follow its example in the Codebook app on Eikon Desktop/ Refinitiv Workspace in the directory __Examples__/01. Data Retrieval & Discovery/01.01. Refinitiv Data Library/EX_01_01_02__Access__Get_History.ipynb

It will also have fuller documentation - the RD Library team advised that they are awaiting the completion of the documentation to confirm the release date.

Please let me know in case there is any further questions

basilio.konstantin.kalus

Thanks for your response. However, I was not able to use the code snippet above.

import refinitiv.data as rd

always runs into an error (No module named 'refinitiv.data') and subsequently the code is not executing. I was not able to solve that issue. How can I avoid this error?

raksina.samasiri

Hi @basilio.konstantin.kalus

The refinitiv.data Python library needs to be installed before it can be imported.

It's recommended to follow this RD library quick start guide: getting started with Python.

Please let me know in case you have any questions.

basilio.konstantin.kalus

I have used this command to install the library:

pip install refinitiv-dataplatform
import refinitiv.dataplatform as rdp

However, it still does not work even if I open a desktop session and using my API key

rdp.open_desktop_session('MY API KEY')

The Dataframe I get is just empty, also if I run the code snippet provided on the refinitiv website like this one:

rdp.get_historical_price_summaries(
    universe = 'VOD.L',
    interval = rdp.Intervals.DAILY,
    fields = ['BID','ASK','OPEN_PRC','HIGH_1','LOW_1','TRDPRC_1','NUM_MOVES','TRNOVR_UNS']
)

raksina.samasiri

Hi @basilio.konstantin.kalus ,

The refinitiv.data (RD) and Refinitiv.dataplatform (RDP) are the different libraries

as mentioned in this comment, The RD library is recommended to be used.

However, if you'd like to use refinitiv-dataplatform one, you could update your code to be as the below (import the library as rdp and do the rdp.open_desktop_session(), so it's matched with the rdp.get_historical_price_summaries()

)

Hope this helps

basilio.konstantin.kalus

Hi @raksina.samasiri ,

thanks for your help. Unfortunately, this code only works in the codebook environment from Refinitiv (at least for me), it does not work if I run the code locally in Pycharm (while I am loged into Refintiv)

Do you have and recommendations to solve this issue?

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