Hello,
When using the function 'ek.get_data' with weekly frequency, I've noticed that some instruments are not recognised by the function (only NA are returns) while when using daily frequency they are recognised by the exact same function.
On my dataset, such cases represents about 2% of the instruments.
For example:
ek.get_data(['LU0133717503'], fields = ["TR.ASKPRICE.Date","TR.ASKPRICE","TR.BIDPRICE"], parameters={'SDate':'2019-12-27','EDate':'2019-12-27','Frq':'d'}) gives:
( Instrument Date Ask Price Bid Price
0 LU0133717503 2019-12-27T00:00:00Z 22.4073 21.9592, None)
ek.get_data(['LU0133717503'], fields = ["TR.ASKPRICE.Date","TR.ASKPRICE","TR.BIDPRICE"], parameters={'SDate':'2019-12-27','EDate':'2019-12-27','Frq':'W'}) gives :
( Instrument Date Ask Price Bid Price
0 LU0133717503 <NA> <NA> <NA>,
[{'code': 416,
'col': 1,
'message': "Unable to collect data for the field 'TR.ASKPRICE.DATE' and some specific identifier(s).",
'row': 0},
{'code': 416,
'col': 2,
'message': "Unable to collect data for the field 'TR.ASKPRICE' and some specific identifier(s).",
'row': 0},
{'code': 416,
'col': 3,
'message': "Unable to collect data for the field 'TR.BIDPRICE' and some specific identifier(s).",
'row': 0}])
Would you have a solution ?
Best,
Thomas
