Total return time series request

Is there a way to get a total return time series for a given equity (e.g., IBM)? I'm able to get the total return for an equity for a single day, but not every day between a start date and end date.

get_data("IBM=", fields = "TR.TotalReturn(Frq=D)")  <--- Gives me total return on the day you run it.

I can see how this is done in Excel. E.g.,

=TR($D$5,"TR.TotalReturn1D.date;TR.TotalReturn1D","Frq=NA SDate=#1 EDate=#2  CH=Fd NULL=ZERO",,edate,sdate)

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Accepted answers

Jirapongse

You can specify SData, EDate, and other options from Excel to the parameters argument in Python. For example, the python code is:

data_grid, err = ek.get_data(
    "IBM",
    fields = ['TR.TotalReturn1D.date','TR.TotalReturn1D'],
    parameters={'SDate':'2018-02-01','EDate':'2018-04-03','Frq':'D','CH':'Fd'})

The output is:

All comments

Jirapongse

You can specify SData, EDate, and other options from Excel to the parameters argument in Python. For example, the python code is:

data_grid, err = ek.get_data(
    "IBM",
    fields = ['TR.TotalReturn1D.date','TR.TotalReturn1D'],
    parameters={'SDate':'2018-02-01','EDate':'2018-04-03','Frq':'D','CH':'Fd'})

The output is:

johnverberkmoes

Great. That worked.

Syntax for the R library in case anyone cares.

get_data("IBM", fields = list('TR.TotalReturn1D.date','TR.TotalReturn1D'),parameters=list(SDate ='2018-02-01' ,EDate='2018-04-03',Frq='D',CH='Fd'))

Joris.Hoendervangers

Hi @johnverberkmoes, are you based in The Netherlands?

rajanraju

@Jirapongse is it possible to get index total returns? I was looking for the TR for the Straits Times index (.STI)

ek.get_data( ".STI", fields = ['TR.TotalReturn1D.date','TR.TotalReturn1D'], parameters={'SDate':'2019-03-01','EDate':'2019-03-05','Frq':'D','CH':'Fd'})

This is the response

Out[43]:
( Instrument Date Daily Total Return

0 .STI 2019-03-01T00:00:00Z NaN

1 .STI 2019-03-04T00:00:00Z NaN

2 .STI 2019-03-05T00:00:00Z NaN, None)

Thanks

Alex Putkov.1

@rajanraju
If you'd like to ask a new question, please always start a new thread. Threads that already have an accepted answer are not monitored by moderators. If you post your question on an existing thread, there's a high chance it will not receive an answer because nobody will see your post.

Alex Putkov.1

To the best of my knowledge total returns for indices are not available through Eikon Data APIs. For an authoritative answer you may contact Refinitiv Helpdesk and ask if total returns for indices can be retrieved into Excel using a formula. If this data is available through =TR function in Eikon Excel, it is also available through Eikon Data APIs and vice versa.
If your Eikon subscription includes Datastream for Office, you may be able to retrieve total returns for indices using Datastream Web Service.

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