Different values returned by get_timeseries and get_data

christopher.songer

In comparing the results returned by get_data and get_timeseries, I found one example where they return different results for the same field:

ek.get_data(['ESH9^1'], ['TR.OPENPRICE.Date', 'TR.OPENPRICE', 'TR.HIGHPRICE', 'TR.LOWPRICE', 'TR.CLOSEPRICE', 'TR.ACCUMULATEDVOLUME'], {'SDate': '2019-03-01', 'EDate': '2019-03-01', 'FRQ': 'D'})

returns:

Instrument Date Open Price High Price Low Price Close Price Accumulated Volume

0 ESH9^1 2019-03-01T00:00:00Z 2785.25 2808.25 2783 2807 1265597

while:

ek.get_timeseries(['ESH9^1'], fields=['TIMESTAMP', 'OPEN', 'HIGH', 'LOW', 'CLOSE', 'VOLUME'], start_date='2019-03-01', end_date='2019-03-01', interval='daily')

returns:

ESH9^1 OPEN HIGH LOW CLOSE VOLUME

Date

2019-03-01 2785.25 2808.25 2783.0 2805.0 1265597.0

In this example, the Close field values differ between the two function calls (2807 returned from get_data, 2805 returned from get_timeseries). Should these functions be returning the same data for all of these fields?

Alex Putkov.1

When using get_data method with these futures TR.CLOSEPRICE returns the last trade price of the day. The official close price aka the settlement price can be retrieved using the field TR.SETTLEMENTPRICE. The value returned by TR.SETTLEMENTPRICE field corresponds to the CLOSE value returned by get_timeseries method.