Python API not returning all tick values

D
D Newcomer
in Eikon Data APIs

Hi,

Having some trouble returning block trades using the python API. Using SHL.AX as an example, the code below doesnt seem to be able to show the 2m block done on the 23rd (or any of the other large trades I was expecting. Also ignoring time zones as I can adjust for this later).

Any ideas would be greatly appreciated!

image

image

rics_blocks = ['SHL.AX']
Sdate='2019-08-20'
Edate='2019-08-25'
Interval = 'tick'
fields_blocks = ['TIMESTAMP', 'VALUE', 'VOLUME']

blocks = ek.get_timeseries(rics_blocks, fields_blocks, start_date = Sdate, end_date = Edate, interval = Interval).query('VOLUME>30000')
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Best Answer

  • m.bunkowski
    m.bunkowski LSEG
    Answer ✓

    Hi @D

    It looks, that you are using different interval. The application retrieves Time and Sales where you are doing it on a tick interval.

    Those trades are not available on tick interval and now this is more of a question to a Refinitiv Helpdesk to explain that.

    To match results in TASV app it you need to use the same tas interval

    rics_blocks = ['SHL.AX'] 
    Sdate='2019-08-23' 
    Edate='2019-08-24' 
    Interval = 'tas' 
    fields_blocks = ['Timestamp','Bid','Ask','Count','Trdprc_1']
    blocks = ek.get_timeseries(rics_blocks, fields_blocks, start_date = Sdate, end_date = Edate, debug=True, interval = Interval).query('COUNT>300000')
    blocks = blocks.sort_values(by=['COUNT'],ascending=False)

    image

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