Retrieving daily historic TR.Volatility20D with Eikon Data API

Pocari Sweat
Pocari Sweat Newcomer
in Eikon Data APIs

Hi all,

I am trying to retrieve daily 20 day Volatility, using the Eikon Data API, over a period of time.

The code snippet below however only returns the most recent days close, and no historical data?


df, d = ek.get_data([ 'VOD.L', 'BHP.AX' ], ['TR.Volatility20D'], {'SDate':'2015-01-01', 'EDate':'2020-05-12','FRQ':'D'})


Any help appreciated,

thanks

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Best Answer

  • chavalit-jintamalit
    chavalit-jintamalit admin
    Answer ✓

    Hi @Pocari Sweat

    The TR.Volatility20D does not support timeseries so the input parameters in your API call is not applied to this field.

    You can use "Data Item Browser" to check what parameters are supported on the field.

    image


    You can contact Refinitiv Content Helpdesk to check if there is any field carrying historical data for Volatility20D.

    The helpdesk can be reached at https://my.refinitiv.com/

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