I am trying to get some data that I can get via Rhistory into python:

joris
joris Newcomer
in Eikon Data APIs

In excel I can get implied volatilities using:

=RHistory("COM37000T8;BL218000I8;1C400I8;1SM380G8";"IMP_VOLT.Value;IMP_VOLT.Timestamp";"START:"&$E$2&" INTERVAL:1D";;"TSREPEAT:NO CH:Fd";F4)

However when I try to use

df=ek.get_timeseries("COM37000T8","IMP_VOLT.Value") I only get nan s as returns

If I try to use df=ek.get_timeseries("COM37000T8") i get values in the CLOSE field but no volatilities

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Best Answer

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG
    Answer ✓

    @joris, it is a limitation of the beta time series API, only CLOSE fields are available for now. Should be expanded in the official release in Q2.

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