How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

megha.pandit

How can I get bid and ask prices in a 1-min intervale from Python API for LCOc1 and LCOTc1?

James.Perkins

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.

James.Perkins

lco = ek.get_timeseries(['LCOc1'],start_date='2019-09-10T12:00:00',end_date='2019-09-10T15:00:00',interval='minute')

megha.pandit

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?

m.bunkowski

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")

megha.pandit

@marcin.bunkowski is 'tas' the time and sales or trade at settlement?

James.Perkins

https://community.developers.refinitiv.com/discussion/comment/48891#Comment_48891

TAS = Time and Sales

m.bunkowski

https://community.developers.refinitiv.com/discussion/comment/48891#Comment_48891

Hi @megha.pandit

It's "time and sales".

megha.pandit

James.Perkinsmarcin.bunkowski thanks and what is the time zone in the timeseries? London time or user defined?

meghapandit86

James.Perkinsmarcin.bunkowski is there any more data in the tas interval format? like Ask size or bid size?

m.bunkowski

https://community.developers.refinitiv.com/discussion/comment/49116#Comment_49116

Hi @megha.pandit

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.

m.bunkowski

https://community.developers.refinitiv.com/discussion/comment/49087#Comment_49087

@megha.pandit

It's GMT time zone

megha.pandit

@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")

m.bunkowski

https://community.developers.refinitiv.com/discussion/comment/49187#Comment_49187

@megha.pandit

The max output is 50000 rows. A workaround is to split your request.