Hi all,
I am using python api to get daily volume and auction volume for instrument. However, I have confusing result as follow:
search_field =
['TR.Volume',
'TR.Volume.date',
'TR.Turnover',
'TR.NUMBEROFTRADES',
'TR.OPENINGAUCTIONVOLUME',
'TR.CLOSINGAUCTIONVOLUME',
'TR.INTRADAYAUCTIONVOLUME',
'TR.OPENINGAUCTIONPRICE',
'TR.CLOSINGAUCTIONPRICE',
'TR.INTRADAYAUCTIONPRICE']
result1 =
ek.get_data(['CFCG.DE'],search_fields,
{'SDate': '2020-03-02','EDate': '2020-03-05','Frq': 'D' })
result1
( Instrument Volume Date Turnover Number of Trades \
0 CFCG.DE 5188 2020-03-02T00:00:00Z 5468.40 4
1 CFCG.DE 10701 2020-03-03T00:00:00Z 11688.65 7
2 CFCG.DE 3400 2020-03-04T00:00:00Z 3830.00 2
3 CFCG.DE 20765 2020-03-05T00:00:00Z 21014.45 8
Opening Auction Volume Closing Auction Volume Intraday Auction Volume \
0 1089.0 NaN NaN
1 1277.0 NaN 40.0
2 NaN NaN 8517.0
3 NaN NaN NaN
Opening Auction Price Closing Auction Price Intraday Auction Price
0 1.05 1.020 NaN
1 1.00 1.070 1.11
2 NaN 1.100 1.01
3 NaN 0.995 NaN , None)
result2 =
ek.get_data(['CFCG.DE'],search_fields,
{'SDate': '2020-03-02','EDate': '2020-03-04','Frq': 'D' })
( Instrument Volume Date Turnover Number of Trades \
0 CFCG.DE 5188 2020-03-02T00:00:00Z 5468.40 4
1 CFCG.DE 10701 2020-03-03T00:00:00Z 11688.65 7
2 CFCG.DE 3400 2020-03-04T00:00:00Z 3830.00 2
Opening Auction Volume Closing Auction Volume Intraday Auction Volume \
0 1089.0 NaN NaN
1 1277.0 NaN 40.0
2 NaN NaN NaN
Opening Auction Price Closing Auction Price Intraday Auction Price
0 1.05 1.02 NaN
1 1.00 1.07 1.11
2 NaN 1.10 NaN , None)
result3 = vol= ek.get_data(['CFCG.DE'],search_fields,
{'SDate': '2020-03-04','EDate': '2020-03-04','Frq': 'D' })
( Instrument Volume Date Turnover Number of Trades \
0 CFCG.DE 3400 2020-03-04T00:00:00Z 3830 2
Opening Auction Volume Closing Auction Volume Intraday Auction Volume \
0 NaN NaN NaN
Opening Auction Price Closing Auction Price Intraday Auction Price
0 NaN 1.1 NaN , None)
Let us focus for date 2020-03-04 for result1,result2 and result3. As it can be seen at the above, the data for this particular date are consistent for result1, result2 and result3 except for Intraday Auction Volume. For result1, the intraday auction volume is 8517 for date 2020-03-04, while for result2 and result3 they are both NaN (no volume). This is inconsistent in my opinion as they are all supposed to be the same regardless how many dates I extract from the get_data() function. Kindly need your help. Thanks.
