If you adjust interval to "tick" you will get each tick... at this point you can't select individual second.
lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='tick')
Currently get_timeseries() supports
Available fields: 'TIMESTAMP', 'VALUE', 'VOLUME', 'HIGH', 'LOW', 'OPEN', 'CLOSE', 'COUNT'
this is being reviewed for the roadmap. It should be noted that 'VALUE' as a tick value is both Bid and Ask values ... it is whatever traded; some trades hit at the bid, others at the ask.
lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='minute')
there is no bid and ask prices in this. I received the bid - ask prices from another team - TREMO. It's the prices per second. Is that possible to retrieve from python api?
Hi @megha.pandit
You can also try using a tas (time and sales) interval:
ek.get_timeseries('LCOc1',['Bid','Ask'], start_date = "2019-09-06T06:00:00", end_date = "'2019-09-06T21:00:00", interval="tas")
@marcin.bunkowski is 'tas' the time and sales or trade at settlement?
TAS = Time and Sales
It's "time and sales".
James.Perkinsmarcin.bunkowski thanks and what is the time zone in the timeseries? London time or user defined?
James.Perkinsmarcin.bunkowski is there any more data in the tas interval format? like Ask size or bid size?
Yes, it looks that you can get those fields as well
ek.get_timeseries('LCOc1',['Bid','Ask','Bidsize','Asksize'],start_date = "2019-09-06T06:00:00",end_date = "'2019-09-06T06:01:00", interval="tas")
I have tried using the same fields that are available when retrieving that in Excel without a prefix. It looks that not all of them are yet supported.
@megha.pandit
It's GMT time zone
@James.PerkinsJames.Perkinsmarcin.bunkowski
This only gives me one day of data irrespective of the start and end time. Although for the LCOTc1 Ric I can find three months of history. Any work around this?
ts = ek.get_timeseries('LCOc1', ['Bid', 'Ask','Bidsize', 'Asksize'], start_date = "2019-06-10T18:28:00", end_date = "2019-09-20T18:30:00", interval = "tas")
The max output is 50000 rows. A workaround is to split your request.
