Option tick data for multiple RICs

Is there a way through python API (or otherwise) to get option tick data for multiple RICs?

Getting option tick data (namely trade time, price and volume) into python through the API is possible when using eikon.get_timeseries(), but this falls apart when looking to get data for many RICs, which is the case if you want tick data for multiple options (given each option has a different RIC based on strike, expiry etc.).

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Accepted answers

elliot.keer

by 'falls apart' i'm referring to if I try and get tick data for multiple RICs, say 10 or more (in my case it's actually >4k RICs), then the get_timeseries() returns NoneType object.

Perhaps it's because some of the RICs do not have trades ? I am manually creating a list of EUA option RICs, and it's possible (probable even) that some do not have tick data for the given date range - would this prevent get_timeseries() from returning the tick data for RICs that have had trades ?

All comments

Alex Putkov.1

@elliot.keer

I'm not sure I know what you mean when you say that get_timeseries method of Eikon Data APIs "falls apart". Perhaps you're referring to the 50K limit on the number of rows returned in response to a single request? If you're referring to something else, would you mind elaborating?
An alternative to get_timeseries method of Eikon Data APIs to retrieve tick data is get_historical_price_events method of RDP Library. It allows to retrieve more fields than are available through get_timeseries method. But it only supports one instrument per request.

elliot.keer

by 'falls apart' i'm referring to if I try and get tick data for multiple RICs, say 10 or more (in my case it's actually >4k RICs), then the get_timeseries() returns NoneType object.

Alex Putkov.1

get_timeseries can handle invalid RICs and RICs that don't have timeseries in the requested date/time range. I think the problem is the amount of data you're requesting. Eikon is not designed to be used as a bulk datafeed. If you need to retrieve more than a handful of datapoints for thousands of RICs, I suggest you consider Refinitiv Tick History, which provides tick history on an industrial scale.

elliot.keer

Is there another way to get tick data for an options chain ? Instead of using get_timeseries() with one RIC at a time.
I'm only interested in option trades for one commodity (furthermore I would be fine with just seeing tick data for only one day at a time).

Alex Putkov.1

With Eikon there isn't. Apart from what I mentioned before, with Eikon you can access a service that returns a single point in history for multiple RICs. This service only returns one datapoint per RIC. E.g. you can get the value of the last trade for each RIC in the list as of 2pm on a given date. But if you need tick history for a day, then ek.get_timeseries and rdp.get_historical_price_events are the only options.

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