call to get_data returns either open interest data or other fields data but not all at the same time

I need to retrieve the following options fields for all days in 2020.

The following call to get_data either returns open interests data with NaN in all other columns OR the value of all columns except Open Interst.

Could you please point what I'm doing wrong?

data_temp, err = ek.get_data(instruments = '/TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST',\
                                       'TR.OPENINTEREST.Date',\
                                       'IMP_VOLT',\
                                       'EXPIR_DATE'], 
                             parameters = {'SDate':'2020-01-01','EDate':'2020-10-14'})

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Accepted answers

chavalit-jintamalit

Hi @clangevin

You can easily use "Data Item Browser" to confirm that the fields do not support timeseries on get_data() API call.

I capture 3 fields for your example:

DSPLY_NAME, PUTCALLIND = do not support timeseries

TR.OPENINTEREST = support time series

All comments

chavalit-jintamalit

Hi @clangevin

DSPLY_NAME, PUTCALLIND, STRIKE_PRC, CF_CLOSE, IMP_VOLT and EXPIR_DATE fields are from realtime database. They do no support timeseries data.

TR.OPENINTEREST and TR.OPENINTEREST.Date support timeseries data.

clangevin

@ chavalit.jintamalit Can you check with your colleagues? It makes no sense that

DSPLY_NAME, PUTCALLIND, STRIKE_PRC, CF_CLOSE, IMP_VOLT and EXPIR_DATE

come from realtime data as those are not realtime data by nature.

I should be able to display all of the above along with the open interest data at close each day.

I'm certain this is possible, could you please check further?

chavalit-jintamalit

Hi @clangevin

You can easily use "Data Item Browser" to confirm that the fields do not support timeseries on get_data() API call.

I capture 3 fields for your example:

DSPLY_NAME, PUTCALLIND = do not support timeseries

TR.OPENINTEREST = support time series

clangevin

Thanks, my point was that the nature of the data isn't realtime, why Refinitiv implements it that way is another discussion...

I'll try to see what I can get using 'TR.OPENINTEREST(-1d)' calls.

clangevin

@ chavalit.jintamalit

Running the call to get_data below, as of today (16/10/2020):

data_temp, err = ek.get_data(instruments = 'TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST(-1m)',\
                                       'TR.OPENINTEREST(-1m).Date',\
                                       'EXPIR_DATE'])

Returns:

Why is the date 31/08/2020? That doesn't see to be 1 month ago.

How should I edit the call to get-data above to retrieve open interest for that RIC as of a month ago?

Thanks

clangevin

Actually even the -1d call doesn't return yesterday's value:

data_temp, err = ek.get_data(instruments = 'TFMB1900N1', \
                             fields = ['DSPLY_NAME',\
                                       'PUTCALLIND',\
                                       'STRIKE_PRC',\
                                       'CF_CLOSE',\
                                       'TR.OPENINTEREST(-1d)',\
                                       'TR.OPENINTEREST(-1d).Date',\
                                       'EXPIR_DATE'])

Why does it return the 14th of October instead of the 15th?

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