Hi,
When pulling prices for all index components using async RDP library part of results are returned empty, it happens only with platform session which I need for calculator I am creating, whereas with desktop session it is significantly slower but all results are returned correctly. Could you confirm why it is happening, is there any limit that I am hitting and how can I bypass this to get all instruments queried?
Sample results:
0#.FTSE first run - 37 RICs missing, rest returned correctly
No CLOSE for 35 RIC(s): ['BLND.L', 'SKG.L', 'BP.L', 'ADML.L', 'SBRY.L', 'PHNX.L', 'FLTRF.L', 'IHG.L', 'BT.L', 'MNDI.L', 'CRH.L', 'SPX.L', 'PSN.L', 'RIO.L', 'RDSb.L', 'CCH.L', 'RSA.L', 'RR.L', 'BMEB.L', 'SSE.L', 'LLOY.L', 'NWG.L', 'NXT.L', 'ITRK.L', 'BDEV.L', 'AVV.L', 'RDSa.L', 'FERG.L', 'ICP.L', 'BAES.L', 'DCC.L', 'ULVR.L', 'OCDO.L', 'TSCO.L', 'LGEN.L'].
0#.FTSE second run 15 RICs missing, rest returned correctly
No CLOSE for 15 RIC(s): ['MNDI.L', 'BATS.L', 'SPX.L', 'CCH.L', 'SSE.L', 'SMT.L', 'POLYP.L', 'GLEN.L', 'BARC.L', 'BAES.L', 'DCC.L', 'ULVR.L', 'LSEG.L', 'TSCO.L', 'LGEN.L'].
0#.SPX 139 RICs missing, rest returned correctly
No 139 RIC(s): ['AMAT.OQ', 'FCX.N', 'MAS.N', 'UAA.N', 'PVH.N', 'CBRE.N', 'CINF.OQ', 'SEE.N', 'WMB.N', 'EA.OQ', 'TMUS.OQ', 'CB.N', 'MDLZ.OQ', 'BLL.N', 'PFG.OQ', 'JPM.N', 'TTWO.OQ', 'RMD.N', 'CMG.N', 'PCAR.OQ', 'CHTR.OQ', 'PWR.N', 'COO.N', 'SNA.N', 'CMI.N', 'OXY.N', 'F.N', 'CVS.N', 'PH.N', 'GILD.OQ', 'PNW.N', 'DE.N', 'HSY.N', 'GL.N', 'SLB.N', 'AWK.N', 'FLT.N', 'KLAC.OQ', 'AME.N', 'XLNX.OQ', 'NUE.N', 'WU.N', 'D.N', 'SRE.N', 'AVGO.OQ', 'WRB.N', 'RF.N', 'AES.N', 'ANTM.N', 'GWW.N', 'K.N', 'GOOGL.OQ', 'CCI.N', 'ROP.N', 'C.N', 'ODFL.OQ', 'LEG.N', 'A.N', 'MET.N', 'WYNN.OQ', 'PSA.N', 'BK.N', 'FAST.OQ', 'CFG.N', 'NI.N', 'MO.N', 'CMCSA.OQ', 'EIX.N', 'UPS.N', 'BAC.N', 'VIAC.OQ', 'IP.N', 'MDT.N', 'INTU.OQ', 'EQIX.OQ', 'CHD.N', 'MTD.N', 'PEG.N', 'BIIB.OQ', 'CTSH.OQ', 'ALB.N', 'NCLH.N', 'WAT.N', 'MAR.OQ', 'MNST.OQ', 'FRC.N', 'BMY.N', 'MCHP.OQ', 'CAT.N', 'PG.N', 'ZTS.N', 'STE.N', 'AFL.N', 'CPB.N', 'FITB.OQ', 'XEL.OQ', 'HSIC.OQ', 'MPC.N', 'ICE.N', 'IPGP.OQ', 'SPGI.N', 'ADBE.OQ', 'ADSK.OQ', 'WRK.N', 'FOXA.OQ', 'TSN.N', 'LUV.N', 'TSCO.OQ', 'AON.N', 'AMZN.OQ', 'KR.N', 'BKNG.OQ', 'SWK.N', 'INTC.OQ', 'TRMB.OQ', 'WBA.OQ', 'DISCK.OQ', 'OMC.N', 'GLW.N', 'FTNT.OQ', 'HBI.N', 'DOW.N', 'PPL.N', 'VFC.N', 'ETN.N', 'LNC.N', 'CI.N', 'XYL.N', 'DISH.OQ', 'LUMN.N', 'NRG.N', 'LMT.N', 'PSX.N', 'FLIR.OQ', 'SCHW.N', 'DXC.N', 'SNPS.OQ', 'J.N', 'SIVB.OQ'].
Code used:
import refinitiv.dataplatform as rdp
import asyncio
import pandas as pd
# session = rdp.open_desktop_session('')
session = rdp.open_platform_session(
'',
rdp.GrantPassword(
username = '',
password = ''
)
)
session.open()
default_df = rdp.get_data('0#.FTSE',
fields = ['TR.AssetCategoryCode']
)
async def pull_raw_data():
df = pd.DataFrame()
tasks = []
responses = []
for ric in default_df.instrument:
task = asyncio.ensure_future(rdp.HistoricalPricing.get_summaries_async(universe = ric, start = '04/20/2020, 00:00:00', end = '04/20/2021, 00:00:00', interval = 'P1D', fields = ['TRDPRC_1']))
tasks.append(task)
responses = await asyncio.gather(*tasks)
remaining_instruments = []
for i in range(len(default_df)):
ts = responses[i].data.df
if ts is not None:
ts.rename(columns = {'TRDPRC_1': default_df.instrument[i]}, inplace = True)
df = pd.concat([df, ts], axis=1)
else:
remaining_instruments.append(default_df.instrument[i])
if len(remaining_instruments):
print(f"No {str(len(remaining_instruments))} RIC(s): {str(remaining_instruments)}.")
display(df)
await pull_raw_data()
@marcin.bunkowski, @David Sobolewski
