<0#EXCHANGE/DATES> for discointinued data series and how to find the Date(s) - Eikon API

vibisogni

Dear Community.

I'm looking for a RIC of discontinued instruments to find a date in the SUPER RIC <0#EXCHANGE/DATES>.

Taking <GCZ0> as the RIC and looking for the "First Notice Date", the code

df, err = ek.get_data(

instruments = ['GCZ0FUTDATE1'],

fields = ['ROW80_8']

)

display(df)

will work.

In other hand, the RIC <GCZ0^1>, from DEC 2010, and the same logic

df, err = ek.get_data(

instruments = ['GCZ0^1FUTDATE1'],

fields = ['ROW80_8']

)

display(df)

don't retrive the data.

Need to know how to do it.

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Accepted answers

zoya faberov

Hello @vibisogni,

Let's look at Datascope Historical Reference Extraction Request:

"Name": "Start date",

"Description": "Starting date of the instrument. This field contains values formerly found under First Notice day.",

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
        "ContentFieldNames": [
           "RIC",  "Start date"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "GCZ0^1",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": {"AllowHistoricalInstruments": true},
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "StartDate": "2007-01-01T00:00:00.000Z",
            "EndDate": "2020-08-01T23:59:59.000Z"
        }
    }
}

The results include

   {
            "IdentifierType": "Ric",
            "Identifier": "GCZ0^1",
            "RIC": "GCZ0",
            "Start date": "2010-11-30"
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "GCZ0^1",
            "RIC": "GCZ0",
            "Start date": "2010-11-30"
        },

Hope this helps

All comments

zoya faberov

Hello @vibisogni,

Let's step back from Eikon Data API Python and review how you achieve this goal with the first example, GCZ0^1FUTDATE1, an active Gold Composite Commodity Future:

1. Request reference RIC: 0#EXCHANGE/DATES

It's a chain RIC, and you follow to LONGLINK4 = COMMOD/CTR/DATE

2. Request reference RIC: COMMOD/CTR/DATE

It's a chain RIC, GCZ is not on the first page, and you follow LONGNEXTLR = 1#COMMOD/CTR/DATE

3. Request reference RIC: 1#COMMOD/CTR/DATE

It's a chain RIC, and GCZ is not on this page, and you follow LONGNEXTLR = 2#COMMOD/CTR/DATE

4.Request reference RIC: 2#COMMOD/CTR/DATE

It's a chain RIC, we find GCZ in LONGLINK10 = GC/FUT/DATE

5. Request reference RIC: GC/FUT/DATE

It's a chain RIC and we follow to GCFUTDATE1

6. Request RIC: GCFUTDATE1

It's a page, we cut out ROW80_7 = GCZ0/FUT/DATE

7.Request RIC: GCZ0/FUT/DATE

It's a chain, we follow two links

HCMXFUTDATE1 for headers (field name locations, i.e. ROW80_8)

GCZ0FUTDATE1 for values (in ROW80_8)

8. Request RIC: HCMXFUTDATE1 and RIC: GCZ0FUTDATE1

This approach of "walking" down the reference tree to find what you need works. But to my best knowledge, references are up-to-date, do not include expired instruments with "^". So, in my understanding, you will not be able to pursue this approach via reference. I am a developer, so I have opened a content investigation case # 09230144 to confirm this with content experts.

I would consider to examine a solution with Reference data product such as Datascope.

zoya faberov

Hello @vibisogni,

Let's look at Datascope Historical Reference Extraction Request:

"Name": "Start date",

"Description": "Starting date of the instrument. This field contains values formerly found under First Notice day.",

{
    "ExtractionRequest": {
        "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.HistoricalReferenceExtractionRequest",
        "ContentFieldNames": [
           "RIC",  "Start date"
        ],
        "IdentifierList": {
            "@odata.type": "#ThomsonReuters.Dss.Api.Extractions.ExtractionRequests.InstrumentIdentifierList",
            "InstrumentIdentifiers": [
                {
                    "Identifier": "GCZ0^1",
                    "IdentifierType": "Ric"
                }
            ],
            "ValidationOptions": {"AllowHistoricalInstruments": true},
            "UseUserPreferencesForValidationOptions": false
        },
        "Condition": {
          "StartDate": "2007-01-01T00:00:00.000Z",
            "EndDate": "2020-08-01T23:59:59.000Z"
        }
    }
}

The results include

   {
            "IdentifierType": "Ric",
            "Identifier": "GCZ0^1",
            "RIC": "GCZ0",
            "Start date": "2010-11-30"
        },
        {
            "IdentifierType": "Ric",
            "Identifier": "GCZ0^1",
            "RIC": "GCZ0",
            "Start date": "2010-11-30"
        },

Hope this helps

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