Historic Fixed Income Fields

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danny.mullins1
danny.mullins1 LSEG
in Eikon Data APIs

I just run into an issue with my get_data() function in Python API. For example:

check, err = ek.get_data(['00138CAK4='],

['TR.MIDPRICE.date', 'TR.ISIN', 'TR.CUSIP', 'TR.FiPrice', 'TR.FiCurrency', 'TR.MIDYIELD', 'TR.FiMaturityStandardYield','TR.FiOptionAdjustedSpreadDuration'],

{'SDate': '20191231', 'EDate': '20200930', 'FRQ': 'M'})


It turns out only the field “TR.MIDYIELD” would support historical data while the rest only gives current value whatever dates I put into the formula.

Is there’s any way to retrieve these fields historically (assuming RDP library but a sample code would be great) or indeed see what fields are time series without going into DIB.

Best,

Danny

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Best Answer

  • umer.nalla
    umer.nalla LSEG
    Answer ✓

    Hi @danny.mullins1

    Not all fields are available in the timeseries database.

    Please refer to this existing post which talks about the difference between historical and realtime data fields.

    It also shows how you can use the DIB to identify fields which support timeseries.


Answers

  • Alex Putkov.1
    Alex Putkov.1 ✭✭✭✭✭

    @danny.mullins1

    The easiest way to check what fields are available as timeseries from RDP is to visit Refinitiv API Playground, navigate to the API of interest (in this case /data/historical-pricing/v1/views/interday-summaries/), add the instrument to the sample request including all fields and see what comes back.

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