Is tick level and level 2 data available through Eikon API? If so, can you give me the formula
@Jayden.Zhang ok great - so to set a daterange use the following - now note Eikon only carries 3 months worth of intraday tick data.
response = rdp.HistoricalPricing.get_events(universe = 'VOD.L', start = '2020-10-09T00:00:00.000000000Z', end = '2020-10-10T23:59:59.999999999Z', adjustments = [rdp.Adjustments.EXCHANGE_CORRECTION,rdp.Adjustments.MANUAL_CORRECTION])display(response.data.df)
Also note that the maximum return per API call is 10k rows. So for very liquid instruments you may need to check the earliest date of the response and re-request another call using the earliest datetime you got returned as 10k rows could be only a few minutes of ESc1 which can easily do 500+ updates per second in busy bursts.
In terms of data model - you can use the data item browser app to get the descriptions of the fields returned.
I hope this can help.
@Jayden.Zhang We do provide Level 1 tick and quote data both historically and streaming live in Eikon. You are also able to get a stream of Level 2 order book data depending on your entitlements - but no history of this.
To do this you would use our Refinitiv Data Platform (RDP) API & library - which you also have access to via a desktop session and using an Eikon App Key (same as for the Eikon Data API).
Please see these articles which cover the both the historical Level 1 tick data (using Historical Pricing Events function), Streaming Level 1 & Level 2 data. Article 1, Article 2, Article 3.
You can 'pip install refinitiv.dataplatform' library from PyPi. once you have done that you are ready to open a desktop session:
import refinitiv.dataplatform as rdpsession = rdp.open_desktop_session('YOUR APP KEY HERE')
Once your desktop session is open you can start making RDP requests.
The historical pricing events (trades and quotes) is very simple to use:
response = rdp.get_historical_price_events('VOD.L', count =10000)display(response)
For the streaming prices, there are complete samples in the articles.
You can also find further details on the RDP API page which has quick start guides as well as tutorials and also the RDP libraries page.
For full Level 2 History you would need to use our Tick History service which can give you all full order book Level 2 data going back to 1996 (this is not included in Eikon product).
Thanks Jason! It helped. I have downloaded the data. 2 Follow up question:
1. How to specify date range when using rdp.get_historical_price_events
2. Is there an user-guide to check the definition for the fields?
Thanks. It helps a lot!
