How to exclude pre and post market qoutes in get_timeseries request

oalexandere
oalexandere Explorer
in Eikon Data APIs

Hello! Is there any method to exclude pre and post market trades in get_timeseries request? It's about intervals less than daily:

image

In Eikon it's avaliable in chart properties with disabling checkbox parameter:

image

Raw code:

rics = ['NEE']
fields = ['TIMESTAMP', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'COUNT', 'VOLUME']
params = {'start_date': '2018-11-28', 'interval': 'hour'}
quotes = ek.get_timeseries(rics=rics, fields=fields, **params)
quotes

Thanks!

Tagged:

Best Answer

  • oalexandere
    oalexandere Explorer
    Answer ✓

    @Zhenya Kovalyov Thank you for your reply! But I think this method incorrect works when Europe and US changing their local time (with one week lag one from another).

    I tryed parameter 'calendar' in method get_timeseries with value 'tradingdays'. It looks like it works:

    image

Answers

  • Zhenya Kovalyov
    Zhenya Kovalyov LSEG

    @oalexandere the time series API does not support this out of the box, however, you can use pandas functionality to get only hours that your are interested in.

    df = ek.get_timeseries('NEE', start_date='2018-11-28', interval='hour')
    df.between_time('15:00', '22:00').head(10)

    image

    Let me know if this works for you.

  • sdittmar
    sdittmar Explorer
    https://community.developers.refinitiv.com/discussion/comment/36252#Comment_36252

    It is unfortunate that such functionality is not supported, it would reduce the server load on Refinitiv's side. Same with the big gap between 1h and 1min intraday data. If you need 30min intraday data you are forced to load 1 minute data and dispose 96% of the data... How efficient is that?

Categories