How can we get historical data pricing including "Volume" in dollars and not in shares?

Hi,

We are using the .Net Core library "Refinitiv.Data.Content" (https://www.nuget.org/packages/Refinitiv.Data.Content/1.0.0-beta1). We are connecting to the eikon app, running in our computer, using the AppKey we generated in the Eikon.
How can we get historical data pricing including "Volume" in dollars and not in shares?

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eikon

historical

volume

rdp-api

refinitiv-data-platform

Accepted answers

Alex Putkov.1

@eugenelimtbc

The following request retrieves daily volume in shares, VWAP and turnover (or volume in monetary units) for the RIC IBM.N.

string[] fields = { "ACVOL_UNS", "VWAP", "TRNOVR_UNS" };
var response = Summaries.Definition("IBM.N")
                .Fields(fields)
                .Interval(Summaries.Interval.P1D)
                .GetData();

The list of fields available differs by instrument. As @nick.zincone said, you can retrieve all fields available for a given instrument by omitting the Fields method from the above.

All comments

nick.zincone

Hi @eugenelimtbc,

The Refinitiv Data Library for .Net creates a wrapper around the RDP HistoricalPricing endpoint. I don't believe the service provides a field for the Volume in dollars within the native response. You can actually see the all historical pricing fields available by simply leaving out the.Fields() specification in the request, i.e:

response = Summaries.Definition("VOD.L").Count(2)
                                        .Interval(Summaries.Interval.P1M)
                                        .GetData();

The response data will contain the values for all available fields within the response. To get a complete list of the field name, you can do this:

Console.WriteLine($"Fields:\n{string.Join("\n", 
             response.Data.Fields?.Select(f => $"\t{f.Name} ({f.Type})"))}");

The library is only an interface to the backend service. I would suggest you contact the helpdesk if you want to better understand what data is available within this service.

eugenelimtbc

Hi @nick.zincone

Thanks for your answer.

So, how can we get historical data with volume in dollars? Is there some other endpoint, or can we get it from eikon api? Maybe we can calculate it somehow?