Python API get_timeseries use multiple RICs

Tried to call get_timeseries to get historical tick data over multiple RICs, and saw the error - Shape of passed values is (4, 106), indices imply (4, 16). However, it works when I used only one single RIC.

try:
    symbolList = list()
    list.append("AMXL.MX")
    list.append("CMXCPO.MX")
    ret = ek.get_timeseries(symbolList, start_date="2018-09-06T20:00:00", end_date="2018-09-06T20:10:00",interval="tick")

    print(ret)
except Exception as err:
    print(err)

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Accepted answers

I suggest to request raw data then extract each serie from result as below:

try:
	symbolList = ["AMXL.MX", "CMXCPO.MX"]
	ret = ek.get_timeseries(symbolList, start_date="2018-09-06T20:00:00", end_date="2018-09-06T20:10:00", interval="tick", raw_output=True)
	for data in ret['timeseriesData']:
		df = pd.DataFrame(data['dataPoints'], columns=[f['name'] for f in data['fields']]).set_index('TIMESTAMP', drop=True)
		print("Serie[{}]".format(data["ric"]))
		print(df)
except Exception as err:
	print(err)

All comments

Alex Putkov.1

Eikon Python library cannot combine tick data for multiple instruments into a single dataframe because the dataframe is indexed on the timestamp and the timestamps for tick data for multiple instruments don't match. I suppose we should handle this use case in the library: before submitting the request for data check if more than one instrument is passed and whether interval="tick" and raise an exception right away saying "Tick data can only be retrieved for a single instrument". I will raise this to the development team.
If you tell me what your end goal is, I may suggest a workaround.

leiy

Ok. I am trying to collect the tick data of an small time interval for multiple RICs. In this case, we can request the data for one RIC at a time. However, I am looking for more than 200 RICs here. I am thusly looking for a possible way to request data for multiple RICs all together, or any other more efficient way.

I suggest to request raw data then extract each serie from result as below:

try:
	symbolList = ["AMXL.MX", "CMXCPO.MX"]
	ret = ek.get_timeseries(symbolList, start_date="2018-09-06T20:00:00", end_date="2018-09-06T20:10:00", interval="tick", raw_output=True)
	for data in ret['timeseriesData']:
		df = pd.DataFrame(data['dataPoints'], columns=[f['name'] for f in data['fields']]).set_index('TIMESTAMP', drop=True)
		print("Serie[{}]".format(data["ric"]))
		print(df)
except Exception as err:
	print(err)

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