MID_SPREAD For CDX HY Index

emitiukov

Hello,

I'm trying to get CDX HY spreads via Python Eikon API with the following request.

cdx_data = ek.get_timeseries('CDXHY5Y23=R', fields='MID_SPREAD.Close', start_date='2014-09-22', end_date='2019-10-20',interval='weekly'). It returns the following result:

DXHY5Y23=RMID_SPREAD.CLOSEDate
2014-10-10NaN2014-10-17NaN2014-10-24NaN

While in excel it works fine and I'm able to receive CDX spreads history using the field MID_SPREAD.Close. Could you please tell me what's wrong with my Python data request?

Jirapongse

@emitiukov

The get_timeseries function can return the OPEN, HIGH, LOW, and CLOSE fields, as shown below. It doesn't support MID_SPREAD.Close.

I assume that you get MID_SPREAD.Close from the RHistory excel function. Refer to this thread, the data from the RHistory function may not be available via Python Eikon Data APIs.