NaN in Python CUSIP query when asking for multiple securities; returns correctly with one security

Very bizarre behavior-- data which is showing up as NaN when requested with multiple securities, is showing up as valid when requested one security at a time. More oddly, if the multiple securities request is rerun after a single-security request, any securities singly-requested then have non-NaN values.

Reproduction instructions:

Suppose I set rics to a list of rics:

rics = [u'GLT', u'GLW', u'GATX.K', u'NEO.O', u'GNTX.O', u'CORT.O', u'COLM.O', u'GPC', u'GPS', u'MRC', u'CASH.O', u'GRC', u'GT.O',
u'ZBH', u'LBAI.O', u'ROCK.O', u'IAC.O', u'GWW', u'AJRD.K', u'KAI', u'UBSH.O', u'HAL', u'BECN.O', u'HAS.O', u'HRC', u'RDWR.O', u'HB
AN.O', u'ARNA.O', u'PTEN.O', u'ALLT.O', u'DECK.K', u'WELL.K', u'HCP', u'HCSG.O', u'BEL', u'HD', u'HOG', u'HE', u'UFPI.O', u'HEI',
u'SCHN.O', u'HELE.O', u'MOV', u'LXP', u'CHK', u'REG.O', u'CSEAF.PK', u'HL']

Consider the following base request:

In[19:] data, err = ek.get_data(rics, ['TR.CUSIPCode', 'TR.CinCUSIPCode'])

In the response to this first call, I get all NaN for every RIC:

In [20]: print data

NaN
TR.CUSIPCODE TR.CINCUSIPCODE

0
GLT
NaN
NaN

1
GLW
NaN
NaN

2
GATX.K
NaN
NaN

...

46
CSEAF.PK
NaN
NaN

47
HL NaN
NaN

In the second call, I request just the first RIC, and find a valid CUSIP for it:

In [21]: data, err = ek.get_data(rics[0], data_field)

In [22]: print data

Instrument CUSIP Code CIN

0 GLT
377316104 NaN

Note that requesting RIC GLT alone makes it non-NaN, even though in the multi-RIC request it was NaN.

Then if I immediately re-request all the RICs-- now GLT has a valid CUSIP code but none of the other RICs do:

In [23]: data, err = ek.get_data(rics, data_field)

In [24]: print data

Instrument CUSIP Code CIN

0 GLT
377316104.0 NaN

1
GLW NaN NaN

2
GATX.K NaN NaN

...

46
CSEAF.PK NaN NaN

47
HL NaN NaN

This seems really strange, and I have confirmed that it occurs on both pyeikon 0.1.13 and 1.0.0.

Any ideas what is going on here?

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Accepted answers

Zhenya Kovalyov

@davidk that's a backend oddity which seems like a bug. Here is a workaround, which is not ideal though:

Use TR.CUSIPExtended instead of both CUSIP and CIN, as it is designed to always return a value;
Do smaller batch requests, for instance, 10 at a time

df, err = ek.get_data(rics[:10], ['TR.CUSIPExtended'])

In the meantime, I will report it to the dev.

All comments

Zhenya Kovalyov

@davidk that's a backend oddity which seems like a bug. Here is a workaround, which is not ideal though:

Use TR.CUSIPExtended instead of both CUSIP and CIN, as it is designed to always return a value;
Do smaller batch requests, for instance, 10 at a time

df, err = ek.get_data(rics[:10], ['TR.CUSIPExtended'])

In the meantime, I will report it to the dev.

davidk

Thanks, we will use the CUSIPExtended field.

As for batching-- Any general rule as to what limit to use? We're quants who often ask for data fields for 1000-2000 securities. Limiting requests even for a single field to batches of 10 (or 1, the only thing we've found consistently works recently) really hampers the performance of the Python API. I know there are data limits associated with each API request IIRC they were orders of magnitude higher than this.

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