OHCL for customer interval through EIKON API in R

Is it possible to get OHCL data for customer intervals such as 45 days or 72 days instead of the standard daily, monthly, quarter, yearly etc.

rics <- list("BB.TO","AC.TO")
query_fields <- list("OPEN", "CLOSE", "HIGH", "LOW")

Want something like following in the interval parameters

mydata <- eikonapir::get_timeseries(  rics, fields = query_fields,  start_date = "2020-01-01T00:00:00",   end_date = "2020-11-01T00:00:00", interval = "42days"

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Accepted answers

Alex Putkov.1

@azam.yahya123

As requested, please find below the example

df = ek.get_timeseries('EUR=',['OPEN','HIGH','LOW','CLOSE'])
custom_int = '10D'
resampled_df = pd.DataFrame()
resampled_df['OPEN'] = df['OPEN'].resample(custom_int).ohlc()['open']
resampled_df['HIGH'] = df['HIGH'].resample(custom_int).max()
resampled_df['LOW'] = df['LOW'].resample(custom_int).min()
resampled_df['CLOSE'] = df['CLOSE'].resample(custom_int).ohlc()['close']
resampled_df

All comments

Jirapongse

@azam.yahya123

Refer to the Eikon Data APIs for Python - Reference Guide, the possible values for the interval are tick, minute, hour, daily, weekly, monthly, quarterly, yearly.

This also applies to Eikon Data API R.

Alex Putkov.1

@azam.yahya123

To add to the response by @Jirapongse, to create OHLC timeseries with a custom frequency such as 45 days, you could resample daily timeseries. In Python pandas offers pandas.Series.resample method, which makes this task very easy. I'm not sure if R offers similar capability. If not, I'm sure it can be developed fairly easily. Or you could use reticulate to utilize pandas methods.

azam.yahya123

Would be great if you can share reproducible example in Python for OHCL data with a custom interval.

Alex Putkov.1

@azam.yahya123

As requested, please find below the example

df = ek.get_timeseries('EUR=',['OPEN','HIGH','LOW','CLOSE'])
custom_int = '10D'
resampled_df = pd.DataFrame()
resampled_df['OPEN'] = df['OPEN'].resample(custom_int).ohlc()['open']
resampled_df['HIGH'] = df['HIGH'].resample(custom_int).max()
resampled_df['LOW'] = df['LOW'].resample(custom_int).min()
resampled_df['CLOSE'] = df['CLOSE'].resample(custom_int).ohlc()['close']
resampled_df

Jirapongse

@azam.yahya123

Thank you @Alex Putkov.1 for sharing the code. I have tried to find the same function in R. The closest one is the to.period in XTS. However from my checking the date output looks strange.

Therefore, I have tried to implement the same function used to change the daily interval.

The function looks like:

ChangeDayIntervalMulRICs <- function(df, freq) {
  TIMESTAMP =  integer(0)
  class(TIMESTAMP) <- "Date"
  OPEN = c()
  HIGH = c()
  LOW = c()
  CLOSE = c()
  RIC = c()  
  for (p in unique(df$RIC)) {
      oneRIC = df[df$RIC == p,]
      firstDate = oneRIC[1,"TIMESTAMP"]
      lastDate = oneRIC[nrow(oneRIC),"TIMESTAMP"]
      intervalDate = firstDate + freq
        while(firstDate <= lastDate){
          temp = oneRIC[oneRIC$TIMESTAMP >= firstDate & oneRIC$TIMESTAMP < intervalDate,]
          TIMESTAMP = c(TIMESTAMP, firstDate)      
          OPEN = c(OPEN, temp[1,"OPEN"])     
          HIGH = c(HIGH, max(temp$HIGH))
          LOW = c(LOW, min(temp$LOW))
          CLOSE = c(CLOSE, temp[nrow(temp),"CLOSE"])
          RIC = c(RIC, p)
          firstDate = intervalDate
          intervalDate = intervalDate + freq
  }  
}       
  return(data.frame(TIMESTAMP,
                    OPEN,
                    HIGH,
                    LOW,
                    CLOSE,
                    RIC))
}

The code to use the function is:

rics <- list("BB.TO","AC.TO")
query_fields <- list("TIMESTAMP","OPEN","HIGH","LOW","CLOSE")
mydata <- eikonapir::get_timeseries(  rics, fields = query_fields,  
                                    start_date = "2020-01-01T00:00:00",   
                                    end_date = "2020-11-01T00:00:00",
                                    interval = "daily")
mydata$TIMESTAMP <- as.Date(mydata$TIMESTAMP,"%Y-%m-%d")
mydata$HIGH <- as.numeric(mydata$HIGH)
mydata$LOW <- as.numeric(mydata$LOW)
mydata$OPEN <- as.numeric(mydata$OPEN)
mydata$CLOSE <- as.numeric(mydata$CLOSE)
colnames(mydata)[[6]] <- "RIC"
mydata$RIC <- as.character(mydata$RIC)
ChangeDayIntervalMulRICs(mydata, 42)

This is the sample function so it is not fully tested. You need to verify the data before using it in the production.

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