How can I get historical data for SPX3MO=R using the Python API?

I'm trying to retrieve the historical data for SPX3MO=R using the Python API. CF_CLOSE, CF_LAST fields as available, but they only give me the current data. However, when I open the daily charts I see the historical data is available. Can you please advise?

Sample formula used: ek.get_data("SPX3MO=R", "HST_CLOSE", {'SDate':'2020-04-30'})

I would like to see historical data at the longer date. Looking forward for your help.

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Accepted answers

umer.nalla

Hi @Paco Sebastian.Sunico

The following provides me with historical data

ric = 'SPX3MO=R'
startdate = '2015-01-01T00:00:00'
enddate = '2020-05-12T00:00:00'
interval = 'daily'
 
df = ek.get_timeseries(
        [ric],
        start_date=startdate,
        end_date=enddate,
        interval=interval )
print(df)

outputs:

SPX3MO=R    
VALUE Date             
2015-01-02  15.37 
2015-01-05  16.74 
2015-01-06  17.53 
2015-01-07  16.45 
2015-01-08  14.97 
...           ... 
2020-05-06  29.86 
2020-05-07  28.00 
2020-05-08  25.70 
2020-05-11  24.70 
2020-05-12  28.22

You can find more details on the get_timeseries method here

Note that not all the time intervals + fields listed in the documentation are available for all RICs.

If you do want to discuss what data is available you can create a Content ticket via MyRefinitiv

All comments

Romerson.Gadil1

This query was raised by an external user Jakub Januszewski from UBS AG London Branch. Please treat this query as urgent as the client is working to retrieve the historical data. We look forward for your response.

umer.nalla

Hi @Paco Sebastian.Sunico

The following provides me with historical data

ric = 'SPX3MO=R'
startdate = '2015-01-01T00:00:00'
enddate = '2020-05-12T00:00:00'
interval = 'daily'
 
df = ek.get_timeseries(
        [ric],
        start_date=startdate,
        end_date=enddate,
        interval=interval )
print(df)

outputs:

SPX3MO=R    
VALUE Date             
2015-01-02  15.37 
2015-01-05  16.74 
2015-01-06  17.53 
2015-01-07  16.45 
2015-01-08  14.97 
...           ... 
2020-05-06  29.86 
2020-05-07  28.00 
2020-05-08  25.70 
2020-05-11  24.70 
2020-05-12  28.22

You can find more details on the get_timeseries method here

Note that not all the time intervals + fields listed in the documentation are available for all RICs.

If you do want to discuss what data is available you can create a Content ticket via MyRefinitiv

Romerson.Gadil1

@Umer Nalla Per the user, he uses get_data formula. He needs the name of the field that can be used, please. Can you please advise? Looking forward for your response.

Romerson.Gadil1

Hi Umer,

The user has a followup.

"I'm essentially trying to get implied volatilities ATM data for equity indices. Can you please advise what's the best way to do it? SPX3MO=R looked like a good candidate RIC for SPX, but perhaps there are other better ones. "

I tried checking the link you have provided however I am afraid I may not be able to translate the right answers. https://community.developers.refinitiv.com/questions/45848/how-can-i-pull-historical-implied-vol-surfaces-to.html

Looking forward for your usual help. Thank you in advance.

umer.nalla

Hi @jakub.januszewski

Those two - RICS JNI1MO=R, JNI24MO=R - return the value in a 'CLOSE' field, whereas the others return the value in a 'VALUE' field.

I am not a content expert, so cannot explain why the fields returned are different.

One workaround would be to request the two sets of RICs separately - otherwise, pleaseask the Content Helpdesk why they field names differ.

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