How do I download ADJUSTED daily OHLC data for SP500 names using TRTH API with python?

vnigam
vnigam Newcomer
in TRTH

I'm currently downloading 1 min bars from TRTH using the Tick History Intraday Summaries Report.

Now I need to download daily OHLC data daily where prices are adjusted for corporate actions.

  1. How do I do that within TRTH API using python?
  2. On datascope site, when I select AAPL.OQ as RIC, I can see adjusted price history link, how do I download that data using TRTH's REST API for Python? See attachment below
    1. Does this data include cash dividend?
  3. Will the prices be adjusted for corporate actions like cash dividends, splits?

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Best Answer

  • veerapath.rungruengrayubkul
    veerapath.rungruengrayubkul LSEG
    Answer ✓

    Hi @vnigam,

    The price history information in the DSS GUI can be retrieved with PriceHistory report template of DSS REST API. The adjusted or unadjusted price can be selected with the "AdjustedPrices" condition parameter in the request payload. You can find more information and sample messages in this tutorial. You can find some Python examples in the download page.

    According to the DataScope Select GUI User guide, the history prices are adjusted from corporate actions and currency redenominations. Corporate Actions adjustment events are reported for Capital Change (CCH), Currency Redenomination (CRE), Reuters TimeSeries (RTS) and Reuters Price Only (RPO) events only. Dividend adjustments are not supported currently.

    Anyway, please note that the PriceHistory report template is available for DSS user.

    TRTH user can retrieve time series data using ElektronTimeseries report template. However, I cannot see the adjusted price option in the request, so it likely doesn't support the price adjustment. You can find more information including sample messages in this tutorial and Python example in the download page.

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